Natixis Funds Trust II

N-CSRS 1 d66319dncsrs.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2015

Item 1. Reports to Stockholders.

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

SEMIANNUAL REPORT

June 30, 2015

LOGO

CGM Advisor Targeted Equity Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 15

Financial Statements page 33

Notes to Financial Statements page 62

CGM ADVISOR TARGETED EQUITY FUND


Manager		Symbols
G. Kenneth Heebner, CFA^®		Class A NEFGX
Capital Growth Management Limited Partnership		Class B NEBGX
Capital Growth Management Limited Partnership		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.

Average Annual Total Returns — June 30, 2015



	6 Months			1 Year			5 Years			10 Years

Class A (Inception 11/27/68)
NAV		2.58	%		4.94	%		12.87	%		7.29	%
With 5.75% Maximum Sales Charge		-3.28			-1.12			11.54			6.66

Class B (Inception 2/28/97)
NAV		2.18			4.20			12.02			6.49
With CDSC¹		-2.82			-0.29			11.76			6.49

Class C (Inception 9/1/98)
NAV		2.20			4.13			12.02			6.50
With CDSC¹		1.20			3.23			12.02			6.50

Class Y (Inception 6/30/99)
NAV		2.75			5.29			13.15			7.56

Comparative Performance
S&P 500^® Index²		1.23			7.42			17.34			7.89

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. It is not possible to invest directly in an index.

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.

Objective

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2015³



	6 Months			1 Year			5 Years			10 Years

Class A (Inception 5/6/31)
NAV		-0.44	%		3.19	%		16.58	%		7.11	%
With 5.75% Maximum Sales Charge		-6.18			-2.76			15.21			6.48

Class B (Inception 9/13/93)
NAV		-0.77			2.43			15.72			6.31
With CDSC¹		-5.71			-2.05			15.49			6.31

Class C (Inception 5/1/95)
NAV		-0.77			2.45			15.71			6.30
With CDSC¹		-1.76			1.55			15.71			6.30

Class Y (Inception 11/18/98)
NAV		-0.33			3.47			16.88			7.42

Comparative Performance
S&P 500^® Index²		1.23			7.42			17.34			7.89

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

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NATIXIS OAKMARK INTERNATIONAL FUND


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

Objective

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2015³



	6 Months			1 Year			Life of Fund

Class A (Inception 12/15/10)
NAV		5.10	%		-3.04	%		7.94	%
With 5.75% Maximum Sales Charge		-0.95			-8.60			6.54

Class C (Inception 12/15/10)
NAV		4.69			-3.73			7.15
With CDSC¹		3.69			-4.66			7.15

Comparative Performance
MSCI World ex USA Index (Net)²		4.34			-5.28			5.08

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

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

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

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VAUGHAN NELSON SMALL CAP VALUE FUND


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

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

Objective

The Fund seeks capital appreciation.

Average Annual Total Returns — June 30, 2015⁴



	6 Months			1 Year			5 Years			10 Years

Class A (Inception 12/31/96)
NAV		8.16	%		10.53	%		18.07	%		11.71	%
With 5.75% Maximum Sales Charge		1.94			4.15			16.68			11.05

Class B (Inception 12/31/96)
NAV		7.83			9.77			17.20			10.88
With CDSC¹		2.83			5.24			17.02			10.88

Class C (Inception 12/31/96)
NAV		7.78			9.72			17.19			10.88
With CDSC¹		6.78			8.82			17.19			10.88

Class Y (Inception 8/31/06)²
NAV		8.31			10.81			18.37			11.97

Comparative Performance
Russell 2000^® Value Index³		0.76			0.78			14.81			6.87

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

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

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

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VAUGHAN NELSON VALUE OPPORTUNITY FUND


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

Objective

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2015³



	6 Months			1 Year			5 Years			Life of Fund
Class A (Inception 10/31/08)										Class A/C/Y			Class N
NAV		7.47	%		10.41	%		19.59	%		17.10	%		—	%
With 5.75% Maximum Sales Charge		1.29			4.04			18.19			16.07			—

Class C (Inception 10/31/08)
NAV		7.08			9.59			18.70			16.24			—
With CDSC¹		6.08			8.59			18.70			16.24			—

Class N (Inception 5/1/13)
NAV		7.64			10.80			—			—			20.35

Class Y (Inception 10/31/08)
NAV		7.58			10.69			19.87			17.40			—

Comparative Performance
Russell Midcap^® Value Index²		0.41			3.67			17.73			16.96			14.83

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

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

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

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ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the 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, 2015 is available from the Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2015 through June 30, 2015. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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


CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,025.80		$5.73
Hypothetical (5% return before expenses)		$1,000.00		$1,019.14		$5.71
Class B
Actual		$1,000.00		$1,021.80		$9.47
Hypothetical (5% return before expenses)		$1,000.00		$1,015.42		$9.44
Class C
Actual		$1,000.00		$1,022.00		$9.48
Hypothetical (5% return before expenses)		$1,000.00		$1,015.42		$9.44
Class Y
Actual		$1,000.00		$1,027.50		$4.47
Hypothetical (5% return before expenses)		$1,000.00		$1,020.38		$4.46

Expenses are equal to the Fund's annualized expense ratio: 1.14%, 1.89%, 1.89% and 0.89% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$995.60		$5.64
Hypothetical (5% return before expenses)		$1,000.00		$1,019.14		$5.71
Class B
Actual		$1,000.00		$992.30		$9.29
Hypothetical (5% return before expenses)		$1,000.00		$1,015.47		$9.39
Class C
Actual		$1,000.00		$992.30		$9.34
Hypothetical (5% return before expenses)		$1,000.00		$1,015.42		$9.44
Class Y
Actual		$1,000.00		$996.70		$4.41
Hypothetical (5% return before expenses)		$1,000.00		$1,020.38		$4.46

Expenses are equal to the Fund's annualized expense ratio: 1.14%, 1.88%, 1.89% and 0.89% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,051.00		$6.56
Hypothetical (5% return before expenses)		$1,000.00		$1,018.40		$6.46
Class C
Actual		$1,000.00		$1,046.90		$10.35
Hypothetical (5% return before expenses)		$1,000.00		$1,014.68		$10.19

*	Expenses are equal to the Fund's annualized expense ratio: 1.29% and 2.04% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,081.60		$7.02
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05		$6.80
Class B
Actual		$1,000.00		$1,078.30		$10.82
Hypothetical (5% return before expenses)		$1,000.00		$1,014.38		$10.49
Class C
Actual		$1,000.00		$1,077.80		$10.87
Hypothetical (5% return before expenses)		$1,000.00		$1,014.33		$10.54
Class Y
Actual		$1,000.00		$1,083.10		$5.73
Hypothetical (5% return before expenses)		$1,000.00		$1,019.29		$5.56

Expenses are equal to the Fund's annualized expense ratio: 1.36%, 2.10%, 2.11% and 1.11% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,074.70		$6.28
Hypothetical (5% return before expenses)		$1,000.00		$1,018.74		$6.11
Class C
Actual		$1,000.00		$1,070.80		$10.11
Hypothetical (5% return before expenses)		$1,000.00		$1,015.03		$9.84
Class N
Actual		$1,000.00		$1,076.40		$4.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.38		$4.46
Class Y
Actual		$1,000.00		$1,075.80		$4.99
Hypothetical (5% return before expenses)		$1,000.00		$1,019.98		$4.86

Expenses are equal to the Fund's annualized expense ratio: 1.22%, 1.97%, 0.89% and 0.97% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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

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

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

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2015. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

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

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

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

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

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

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factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain periods, was stronger over the long term; and (3) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement when compared to relevant performance benchmarks and categories.

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

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

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that four of the five Natixis Equity Funds included in this report have expense caps in place. The Trustees noted that several Funds had total advisory fee rates that were above the median of a peer group of funds. The Trustees considered the factors which management believed justified such relatively higher fees. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s net expense ratio was near, at, or below the median of a peer group of funds; (2) that the Fund’s advisory fee rate was not significantly above its peer group median; and (3) that the Fund’s investment discipline was capacity constrained. The Trustees also considered management’s proposal to add a breakpoint to the advisory fee for the Vaughan Nelson Value Opportunity Fund.

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

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

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

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

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

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

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

13 |

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

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

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, with the addition of the breakpoint with respect to the Vaughan Nelson Value Opportunity Fund described above, should be continued through June 30, 2016.

| 14

Portfolio of Investments – as of June 30, 2015 (Unaudited)

CGM Advisor Targeted Equity Fund


Shares		Description	Value (†)
	Common Stocks — 98.3% of Net Assets
		Banks — 16.6%
	1,370,000	Bank of America Corp.	$	23,317,400
	620,000	Citigroup, Inc.		34,248,800
	380,000	JPMorgan Chase & Co.		25,748,800

				83,315,000

		Biotechnology — 2.5%
	110,000	Celgene Corp.(b)		12,730,850

		Capital Markets — 17.6%
	150,000	Ameriprise Financial, Inc.		18,739,500
	750,000	Charles Schwab Corp. (The)		24,487,500
	1,170,000	Morgan Stanley		45,384,300

				88,611,300

		Household Durables — 23.2%
	1,470,000	DR Horton, Inc.		40,219,200
	810,000	Lennar Corp., Class A		41,342,400
	920,000	Toll Brothers, Inc.(b)		35,134,800

				116,696,400

		Insurance — 9.8%
	430,000	MetLife, Inc.		24,075,700
	285,000	Prudential Financial, Inc.		24,943,200

				49,018,900

		IT Services — 5.6%
	420,000	Visa, Inc., Class A		28,203,000

		Leisure Products — 5.5%
	185,000	Polaris Industries, Inc.		27,400,350

		Media — 8.2%
	360,000	Walt Disney Co. (The)		41,090,400

		Specialty Retail — 4.9%
	220,000	Home Depot, Inc. (The)		24,448,600

		Textiles, Apparel & Luxury Goods — 4.4%
	320,000	VF Corp.		22,316,800

		Total Common Stocks (Identified Cost $408,304,808)		493,831,600


Principal Amount
	Short-Term Investments — 1.6%
$	8,105,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $8,105,002 on 7/01/2015 collateralized by $8,180,000 U.S. Treasury Note, 2.125% due 6/30/2021 valued at $8,272,025 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,105,000)	$	8,105,000

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

CGM Advisor Targeted Equity Fund – (continued)


	Description	Value (†)
	Total Investments — 99.9% (Identified Cost $416,409,808)(a)	$	501,936,600
	Other assets less liabilities — 0.1%		483,063

	Net Assets — 100.0%	$	502,419,663


(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2015, the net unrealized appreciation on investments based on a cost of $416,409,808 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	87,943,585
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,416,793	)

	Net unrealized appreciation	$	85,526,792


(b)	Non-income producing security.

Industry Summary at June 30, 2015 (Unaudited)


Household Durables	23.2	%
Capital Markets	17.6
Banks	16.6
Insurance	9.8
Media	8.2
IT Services	5.6
Leisure Products	5.5
Specialty Retail	4.9
Textiles, Apparel & Luxury Goods	4.4
Biotechnology	2.5
Short-Term Investments	1.6

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks — 94.9% of Net Assets
		Aerospace & Defense — 1.1%
	16,350	Precision Castparts Corp.	$	3,267,875

		Air Freight & Logistics — 1.9%
	32,700	FedEx Corp.		5,572,080

		Automobiles — 3.2%
	201,700	Fiat Chrysler Automobiles NV(b)		2,930,701
	128,400	General Motors Co.		4,279,572
	35,300	Harley-Davidson, Inc.		1,989,155

				9,199,428

		Banks — 10.1%
	586,800	Bank of America Corp.		9,987,336
	138,000	Citigroup, Inc.		7,623,120
	101,600	JPMorgan Chase & Co.		6,884,416
	87,000	Wells Fargo & Co.		4,892,880

				29,387,752

		Beverages — 1.5%
	36,400	Diageo PLC, Sponsored ADR		4,223,856

		Capital Markets — 7.9%
	104,600	Bank of New York Mellon Corp. (The)		4,390,062
	88,000	Franklin Resources, Inc.		4,314,640
	28,100	Goldman Sachs Group, Inc. (The)		5,866,999
	72,000	State Street Corp.		5,544,000
	38,000	T. Rowe Price Group, Inc.		2,953,740

				23,069,441

		Chemicals — 2.0%
	55,800	Monsanto Co.		5,947,722

		Communications Equipment — 1.5%
	70,400	QUALCOMM, Inc.		4,409,152

		Consumer Finance — 3.3%
	48,500	American Express Co.		3,769,420
	66,500	Capital One Financial Corp.		5,850,005

				9,619,425

		Electronic Equipment, Instruments & Components — 1.8%
	82,800	TE Connectivity Ltd.		5,324,040

		Energy Equipment & Services — 2.4%
	10,300	Baker Hughes, Inc.		635,510
	81,000	Halliburton Co.		3,488,670
	58,400	National Oilwell Varco, Inc.		2,819,552

				6,943,732

		Food Products — 3.3%
	95,600	General Mills, Inc.		5,326,832
	57,000	Nestle S.A., Sponsored ADR		4,113,120

				9,439,952

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Health Care Equipment & Supplies — 1.7%
	68,300	Medtronic PLC	$	5,061,030

		Health Care Providers & Services — 1.8%
	42,200	UnitedHealth Group, Inc.		5,148,400

		Hotels, Restaurants & Leisure — 1.1%
	60,900	Las Vegas Sands Corp.		3,201,513

		Household Durables — 1.1%
	17,850	Whirlpool Corp.		3,088,943

		Industrial Conglomerates — 2.4%
	259,400	General Electric Co.		6,892,258

		Insurance — 7.4%
	84,100	Aflac, Inc.		5,231,020
	118,700	American International Group, Inc.		7,338,034
	51,000	Aon PLC		5,083,680
	76,100	Principal Financial Group, Inc.		3,903,169

				21,555,903

		Internet & Catalog Retail — 4.2%
	16,910	Amazon.com, Inc.(b)		7,340,462
	176,800	Liberty Interactive Corp., Class A(b)		4,906,200

				12,246,662

		Internet Software & Services — 2.5%
	13,530	Google, Inc., Class A(b)		7,306,741

		IT Services — 7.7%
	33,200	Accenture PLC, Class A		3,213,096
	69,400	Automatic Data Processing, Inc.		5,567,962
	83,200	MasterCard, Inc., Class A		7,777,536
	87,120	Visa, Inc., Class A		5,850,108

				22,408,702

		Machinery — 2.6%
	46,200	Caterpillar, Inc.		3,918,684
	31,700	Parker Hannifin Corp.		3,687,661

				7,606,345

		Media — 4.1%
	65,200	Comcast Corp., Special Class A		3,908,088
	342,200	News Corp., Class A(b)		4,992,698
	44,800	Omnicom Group, Inc.		3,113,152

				12,013,938

		Metals & Mining — 1.0%
	740,200	Glencore PLC		2,968,350

		Oil, Gas & Consumable Fuels — 3.0%
	110,700	Apache Corp.		6,379,641
	197,000	Chesapeake Energy Corp.		2,200,490

				8,580,131

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Personal Products — 1.4%
	91,300	Unilever PLC, Sponsored ADR	$	3,922,248

		Pharmaceuticals — 1.6%
	93,100	Sanofi, ADR		4,611,243

		Road & Rail — 0.9%
	27,800	Union Pacific Corp.		2,651,286

		Semiconductors & Semiconductor Equipment — 4.4%
	120,000	Applied Materials, Inc.		2,306,400
	191,100	Intel Corp.		5,812,306
	91,400	Texas Instruments, Inc.		4,708,014

				12,826,720

		Software — 3.8%
	108,600	Microsoft Corp.		4,794,690
	155,500	Oracle Corp.		6,266,650

				11,061,340

		Specialty Retail — 0.2%
	5,100	Home Depot, Inc. (The)		566,763

		Technology Hardware, Storage & Peripherals — 2.0%
	46,600	Apple, Inc.		5,844,805


		Total Common Stocks (Identified Cost $245,509,528)		275,967,776


Principal Amount
	Short-Term Investments — 5.2%
$	15,300,046	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $15,300,050 on 7/01/2015 collateralized by $15,650,000 Federal Home Loan Mortgage Corp., 2.500% due 7/05/2022 valued at $15,610,875 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $15,300,046)		15,300,046


		Total Investments — 100.1% (Identified Cost $260,809,574)(a)		291,267,822
		Other assets less liabilities — (0.1)%		(383,145	)

		Net Assets — 100.0%	$	290,884,677

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark Fund – (continued)


(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2015, the net unrealized appreciation on investments based on a cost of $260,809,574 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	$	41,757,847
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,299,599	)

	Net unrealized appreciation	$	30,458,248

(b)	Non-income producing security.

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

Industry Summary at June 30, 2015 (Unaudited)


Banks	10.1	%
Capital Markets	7.9
IT Services	7.7
Insurance	7.4
Semiconductors & Semiconductor Equipment	4.4
Internet & Catalog Retail	4.2
Media	4.1
Software	3.8
Consumer Finance	3.3
Food Products	3.3
Automobiles	3.2
Oil, Gas & Consumable Fuels	3.0
Machinery	2.6
Internet Software & Services	2.5
Energy Equipment & Services	2.4
Industrial Conglomerates	2.4
Chemicals	2.0
Technology Hardware, Storage & Peripherals	2.0
Other Investments, less than 2% each	18.6
Short-Term Investments	5.2

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark International Fund



Shares		Description	Value (†)

	Common Stocks — 95.2% of Net Assets
		Australia — 3.1%
	3,502,768	AMP Ltd.	$	16,253,928
	1,393,962	Orica Ltd.		22,881,691

				39,135,619

		France — 14.6%
	915,500	BNP Paribas S.A.		55,555,032
	210,000	Bureau Veritas S.A.		4,840,911
	32,600	Christian Dior SE		6,382,064
	432,123	Danone		27,990,501
	209,600	Kering		37,473,765
	107,700	LVMH Moet Hennessy Louis Vuitton SE		18,934,762
	147,400	Pernod-Ricard S.A.		17,039,788
	52,376	Publicis Groupe S.A.		3,882,262
	207,800	Safran S.A.		14,121,956

				186,221,041

		Germany — 11.7%
	89,600	Adidas AG		6,855,681
	324,450	Allianz SE, (Registered)		50,598,303
	387,800	Bayerische Motoren Werke AG		42,469,677
	432,600	Daimler AG, (Registered)		39,407,954
	130,000	SAP SE		9,109,916

				148,441,531

		Hong Kong — 1.5%
	998,600	Melco Crown Entertainment Ltd., Sponsored ADR		19,602,518

		Ireland — 2.1%
	1,433,531	Experian PLC		26,073,616

		Israel — 0.2%
	27,900	Check Point Software Technologies Ltd.(b)		2,219,445

		Italy — 4.9%
	250,300	Exor SpA		11,956,804
	7,633,200	Intesa Sanpaolo SpA		27,719,837
	4,847,800	Prada SpA		23,304,722

				62,981,363

		Japan — 15.3%
	4,858,000	Daiwa Securities Group, Inc.		36,341,266
	1,495,400	Honda Motor Co. Ltd.(c)		48,331,077
	377,500	Komatsu Ltd.		7,573,896
	131,400	Meitec Corp.		4,898,665
	4,799,900	Nomura Holdings, Inc.		32,408,195
	266,600	Olympus Corp.		9,204,367
	115,500	Omron Corp.		5,017,119
	65,000	Secom Co. Ltd.		4,222,760
	711,100	Toyota Motor Corp.		47,584,871

				195,582,216

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark International Fund – (continued)



Shares		Description	Value (†)
		Korea — 3.4%
	38,405	Samsung Electronics Co. Ltd.	$	43,573,744

		Netherlands — 6.4%
	66,731	Akzo Nobel NV		4,871,967
	4,271,900	CNH Industrial NV		38,980,836
	72,500	Heineken Holding NV		5,081,486
	1,286,344	Koninklijke Philips NV		32,830,657

				81,764,946

		Sweden — 2.8%
	245,800	Atlas Copco AB, B Shares		6,123,032
	127,000	Hennes & Mauritz AB, Series B		4,888,066
	790,800	SKF AB, Series B		18,044,481
	250,811	Swedish Match AB		7,130,714

				36,186,293

		Switzerland — 16.5%
	127,600	Adecco S.A., (Registered)		10,355,688
	517,700	Cie Financiere Richemont S.A., (Registered)		42,077,518
	2,272,957	Credit Suisse Group AG, (Registered)(c)		62,705,133
	4,198,500	Glencore PLC		16,836,827
	332,600	Holcim Ltd., (Registered)		24,541,069
	145,800	Kuehne & Nagel International AG, (Registered)		19,359,774
	234,900	Nestle S.A., (Registered)		16,948,176
	68,300	Schindler Holding AG		11,170,539
	16,700	Swatch Group AG (The)		6,507,621

				210,502,345

		United Kingdom — 12.7%
	1,300,800	Diageo PLC(c)		37,670,873
	574,600	G4S PLC		2,422,817
	671,600	GlaxoSmithKline PLC		13,963,864
	21,326,300	Lloyds Banking Group PLC		28,624,113
	1,203,604	Meggitt PLC		8,813,661
	304,000	Schroders PLC		15,168,614
	100	Schroders PLC, (Non Voting)		3,824
	922,300	Smiths Group PLC		16,348,361
	514,200	Willis Group Holdings PLC		24,115,980
	46,496	Wolseley PLC		2,965,251
	522,200	WPP PLC		11,721,392

				161,818,750

		Total Common Stocks (Identified Cost $1,257,857,122)		1,214,103,427

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark International Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 4.8%
$	60,853,900	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $60,853,917 on 7/01/2015 collateralized by $63,020,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $62,074,700 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $60,853,900)	$	60,853,900


		Total Investments — 100.0% (Identified Cost $1,318,711,022)(a)		1,274,957,327
		Other assets less liabilities — 0.0%		146,688

		Net Assets — 100.0%	$	1,275,104,015

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2015, the net unrealized depreciation on investments based on a cost of $1,318,711,022 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	$	32,684,279
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(76,437,974	)

		Net unrealized depreciation	$	(43,753,695	)


	(b)	Non-income producing security.
	(c)	A portion of this security has been designated to cover the Fund’s obligation under open forward foreign currency contracts.

	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 June 30, 2015, 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		3/16/2016	Australian Dollar		8,984,000	$	6,841,176	$	(32,562	)
Sell		9/16/2015	Swiss Franc		11,035,000		11,837,614		789,111
Sell		9/16/2015	Swiss Franc		43,799,000		46,984,653		(1,578,267	)

Total								$	(821,718	)

¹ Counterparty is State Street Bank and Trust Company.

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Oakmark International Fund – (continued)

Industry Summary at June 30, 2015 (Unaudited)


Automobiles	13.9	%
Capital Markets	11.5
Textiles, Apparel & Luxury Goods	11.1
Banks	8.8
Insurance	7.2
Machinery	6.4
Beverages	4.7
Industrial Conglomerates	3.9
Professional Services	3.7
Food Products	3.6
Technology Hardware, Storage & Peripherals	3.4
Chemicals	2.2
Other Investments, less than 2% each	14.8
Short-Term Investments	4.8

Total Investments	100.0
Other assets less liabilities (including forward foreign currency contracts)	0.0

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2015 (Unaudited)


Euro	35.8	%
Japanese Yen	15.3
Swiss Franc	15.2
British Pound	14.2
United States Dollar	8.4
South Korean Won	3.4
Australian Dollar	3.1
Swedish Krona	2.8
Hong Kong Dollar	1.8

Total Investments	100.0
Other assets less liabilities (including forward foreign currency contracts)	0.0

Net Assets	100.0	%

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks — 97.7% of Net Assets
		Aerospace & Defense — 1.5%
	99,400	Engility Holdings, Inc.	$	2,500,904
	27,475	Esterline Technologies Corp.(b)		2,619,467

				5,120,371

		Auto Components — 1.6%
	95,175	Tenneco, Inc.(b)		5,466,852

		Banks — 9.5%
	141,025	Capital Bank Financial Corp., Class A(b)		4,099,597
	380,255	FirstMerit Corp.		7,920,712
	90,375	Prosperity Bancshares, Inc.		5,218,252
	223,000	Union Bankshares Corp.		5,182,520
	251,300	Webster Financial Corp.		9,938,915

				32,359,996

		Biotechnology — 0.9%
	45,675	AMAG Pharmaceuticals, Inc.(b)		3,154,316

		Building Products — 1.6%
	51,450	Lennox International, Inc.		5,540,650

		Capital Markets — 1.6%
	40,225	LPL Financial Holdings, Inc.		1,870,060
	241,150	TCP Capital Corp.		3,687,184

				5,557,244

		Commercial Services & Supplies — 2.4%
	217,225	KAR Auction Services, Inc.		8,124,215

		Consumer Finance — 1.4%
	105,325	First Cash Financial Services, Inc.(b)		4,801,767

		Containers & Packaging — 4.1%
	513,400	Graphic Packaging Holding Co.		7,151,662
	127,225	Silgan Holdings, Inc.		6,712,391

				13,864,053

		Diversified Consumer Services — 1.9%
	179,250	ServiceMaster Global Holdings, Inc.(b)		6,483,472

		Electrical Equipment — 1.1%
	149,700	Thermon Group Holdings, Inc.(b)		3,603,279

		Electronic Equipment, Instruments & Components — 1.6%
	58,225	Littelfuse, Inc.		5,524,970

		Energy Equipment & Services — 0.5%
	88,825	Forum Energy Technologies, Inc.(b)		1,801,371

		Health Care Equipment & Supplies — 6.9%
	141,325	Alere, Inc.(b)		7,454,894
	53,300	Haemonetics Corp.(b)		2,204,488

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Health Care Equipment & Supplies — continued
	112,650	Integra LifeSciences Holdings Corp.(b)	$	7,589,230
	47,725	Teleflex, Inc.		6,464,351

				23,712,963

		Health Care Providers & Services — 6.3%
	143,225	Amsurg Corp.(b)		10,018,589
	134,850	Civitas Solutions, Inc.(b)		2,876,350
	101,000	LifePoint Health, Inc.(b)		8,781,950

				21,676,889

		Hotels, Restaurants & Leisure — 1.3%
	210,975	Bloomin’ Brands, Inc.		4,504,316

		Household Durables — 1.2%
	88,650	Ryland Group, Inc. (The)		4,110,701

		Insurance — 10.8%
	135,000	American Equity Investment Life Holding Co.		3,642,300
	112,150	Aspen Insurance Holdings Ltd.		5,371,985
	262,525	CNO Financial Group, Inc.		4,817,334
	165,550	First American Financial Corp.		6,160,115
	150,012	HCC Insurance Holdings, Inc.		11,526,922
	51,941	RenaissanceRe Holdings Ltd.		5,272,531

				36,791,187

		Internet & Catalog Retail — 1.6%
	79,450	HSN, Inc.		5,576,595

		IT Services — 6.9%
	108,850	Black Knight Financial Services, Inc., Class A(b)		3,360,200
	142,050	Broadridge Financial Solutions, Inc.		7,103,920
	66,550	CACI International, Inc., Class A(b)		5,383,230
	159,850	iGATE Corp.(b)		7,623,246

				23,470,596

		Life Sciences Tools & Services — 5.2%
	141,350	Albany Molecular Research, Inc.(b)		2,858,097
	184,725	PRA Health Sciences, Inc.(b)		6,711,059
	305,250	VWR Corp.(b)		8,159,333

				17,728,489

		Machinery — 4.8%
	185,925	Hillenbrand, Inc.		5,707,897
	195,850	Rexnord Corp.(b)		4,682,774
	49,225	Standex International Corp.		3,934,554
	39,775	Watts Water Technologies, Inc., Series A		2,062,334

				16,387,559

		Metals & Mining — 1.4%
	79,525	Reliance Steel & Aluminum Co.		4,809,672

		Paper & Forest Products — 1.4%
	208,750	KapStone Paper and Packaging Corp.		4,826,300

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Professional Services — 3.9%
	49,950	Dun & Bradstreet Corp. (The)	$	6,093,900
	107,425	ICF International, Inc.(b)		3,744,835
	144,675	TransUnion(b)		3,631,343

				13,470,078

		REITs – Hotels — 1.3%
	173,025	Hersha Hospitality Trust		4,436,361

		Road & Rail — 0.3%
	30,950	Con-way, Inc.		1,187,552

		Software — 6.4%
	64,525	BroadSoft, Inc.(b)		2,230,629
	84,000	CommVault Systems, Inc.(b)		3,562,440
	13,725	Ellie Mae, Inc.(b)		957,868
	103,500	SS&C Technologies Holdings, Inc.		6,468,750
	142,675	Verint Systems, Inc.(b)		8,666,793

				21,886,480

		Specialty Retail — 5.3%
	142,275	GNC Holdings, Inc., Class A		6,328,392
	42,000	Group 1 Automotive, Inc.		3,814,860
	125,725	Men’s Wearhouse, Inc. (The)		8,055,201

				18,198,453

		Textiles, Apparel & Luxury Goods — 2.4%
	96,150	Steven Madden Ltd.(b)		4,113,297
	139,350	Wolverine World Wide, Inc.		3,968,688

				8,081,985

		Wireless Telecommunication Services — 0.6%
	112,000	RingCentral, Inc., Class A(b)		2,070,880

		Total Common Stocks (Identified Cost $254,862,215)		334,329,612


Principal Amount
	Short-Term Investments — 2.5%
$	8,390,627	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $8,390,630 on 7/01/2015 collateralized by $8,580,000 Federal Home Loan Mortgage Corp., 2.500% due 7/05/2022 valued at $8,558,550 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,390,627)		8,390,627


		Total Investments — 100.2% (Identified Cost $263,252,842)(a)		342,720,239
		Other assets less liabilities — (0.2)%		(547,454	)

		Net Assets — 100.0%	$	342,172,785

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2015, the net unrealized appreciation on investments based on a cost of $263,252,842 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	$	83,808,293
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,340,896	)

	Net unrealized appreciation	$	79,467,397

(b)	Non-income producing security.

REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2015 (Unaudited)


Insurance	10.8	%
Banks	9.5
Health Care Equipment & Supplies	6.9
IT Services	6.9
Software	6.4
Health Care Providers & Services	6.3
Specialty Retail	5.3
Life Sciences Tools & Services	5.2
Machinery	4.8
Containers & Packaging	4.1
Professional Services	3.9
Commercial Services & Supplies	2.4
Textiles, Apparel & Luxury Goods	2.4
Other Investments, less than 2% each	22.8
Short-Term Investments	2.5

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks — 94.1% of Net Assets
		Auto Components — 3.0%
	216,050	Delphi Automotive PLC	$	18,383,694
	245,650	Tenneco, Inc.(b)		14,110,136

				32,493,830

		Banks — 6.0%
	441,125	CIT Group, Inc.		20,507,901
	1,713,025	Investors Bancorp, Inc.		21,070,208
	477,125	PacWest Bancorp		22,310,365

				63,888,474

		Capital Markets — 3.2%
	334,375	LPL Financial Holdings, Inc.		15,545,094
	375,525	SEI Investments Co.		18,411,990

				33,957,084

		Commercial Services & Supplies — 1.1%
	307,375	KAR Auction Services, Inc.		11,495,825

		Communications Equipment — 1.8%
	623,750	CommScope Holding Co., Inc.(b)		19,030,612

		Containers & Packaging — 7.0%
	334,375	Avery Dennison Corp.		20,376,813
	438,550	Crown Holdings, Inc.(b)		23,203,680
	210,925	Packaging Corp. of America		13,180,703
	297,075	Rock-Tenn Co., Class A		17,883,915

				74,645,111

		Diversified Consumer Services — 1.5%
	441,125	ServiceMaster Global Holdings, Inc.(b)		15,955,491

		Diversified Financial Services — 1.8%
	401,250	NASDAQ OMX Group, Inc. (The)		19,585,012

		Food & Staples Retailing — 1.7%
	2,199,175	Rite Aid Corp.(b)		18,363,111

		Health Care Equipment & Supplies — 1.4%
	281,650	Alere, Inc.(b)		14,857,038

		Health Care Providers & Services — 7.4%
	372,950	Amsurg Corp.(b)		26,087,853
	357,525	Community Health Systems, Inc.(b)		22,513,349
	334,375	HCA Holdings, Inc.(b)		30,334,500

				78,935,702

		Household Durables — 4.4%
	75,875	Harman International Industries, Inc.		9,024,573
	461,687	Jarden Corp.(b)		23,892,302
	273,925	Lennar Corp., Class A		13,981,132

				46,898,007

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Household Products — 1.4%
	146,600	Spectrum Brands Holdings, Inc.	$	14,951,734

		Insurance — 5.5%
	414,100	Arthur J. Gallagher & Co.		19,586,930
	524,725	First American Financial Corp.		19,525,017
	208,350	Reinsurance Group of America, Inc., Class A		19,766,165

				58,878,112

		Internet & Catalog Retail — 1.6%
	245,650	HSN, Inc.		17,242,174

		IT Services — 9.6%
	271,350	Broadridge Financial Solutions, Inc.		13,570,213
	160,750	CACI International, Inc., Class A(b)		13,003,068
	231,500	Fiserv, Inc.(b)		19,175,145
	185,200	Global Payments, Inc.		19,158,940
	733,050	Sabre Corp.		17,446,590
	474,550	Total System Services, Inc.		19,821,953

				102,175,909

		Life Sciences Tools & Services — 2.1%
	829,500	VWR Corp.(b)		22,172,535

		Machinery — 3.2%
	86,175	Snap-on, Inc.		13,723,369
	162,050	WABCO Holdings, Inc.(b)		20,048,826

				33,772,195

		Metals & Mining — 3.8%
	357,525	Carpenter Technology Corp.		13,829,067
	1,116,300	Constellium NV, Class A(b)		13,205,829
	228,925	Reliance Steel & Aluminum Co.		13,845,384

				40,880,280

		Oil, Gas & Consumable Fuels — 1.6%
	195,475	Gulfport Energy Corp.(b)		7,867,869
	109,325	Noble Energy, Inc.		4,665,991
	141,475	Whiting Petroleum Corp.(b)		4,753,560

				17,287,420

		Pharmaceuticals — 3.5%
	776,775	Catalent, Inc.(b)		22,782,811
	124,750	Mallinckrodt PLC(b)		14,685,570

				37,468,381

		Professional Services — 1.0%
	419,250	TriNet Group, Inc.(b)		10,627,988

		Road & Rail — 1.5%
	194,200	Con-way, Inc.		7,451,454
	479,700	Hertz Global Holdings, Inc.(b)		8,692,164

				16,143,618

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 4.6%
	149,175	Avago Technologies Ltd.	$	19,829,833
	727,900	Micron Technology, Inc.(b)		13,713,636
	151,750	Skyworks Solutions, Inc.		15,797,175

				49,340,644

		Software — 1.3%
	172,325	Check Point Software Technologies Ltd.(b)		13,708,454

		Specialty Retail — 4.8%
	237,925	Cabela’s, Inc.(b)		11,891,491
	385,825	Men’s Wearhouse, Inc. (The)		24,719,808
	109,325	Signet Jewelers Ltd.		14,019,838

				50,631,137

		Technology Hardware, Storage & Peripherals — 1.7%
	610,875	NCR Corp.(b)		18,387,337

		Textiles, Apparel & Luxury Goods — 3.8%
	636,600	Gildan Activewear, Inc.		21,160,584
	172,325	PVH Corp.		19,851,840

				41,012,424

		Trading Companies & Distributors — 2.8%
	586,450	HD Supply Holdings, Inc.(b)		20,631,311
	101,600	United Rentals, Inc.(b)		8,902,192

				29,533,503

		Total Common Stocks (Identified Cost $864,853,082)		1,004,319,142

	Closed-End Investment Companies — 2.2%
	1,421,100	Ares Capital Corp. (Identified Cost $23,714,407)		23,391,306


Principal Amount
	Short-Term Investments — 2.8%
$	29,687,050	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $29,687,058 on 7/01/2015 collateralized by $30,745,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $30,283,825 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $29,687,050)		29,687,050


		Total Investments — 99.1% (Identified Cost $918,254,539)(a)		1,057,397,498
		Other assets less liabilities — 0.9%		9,183,451

		Net Assets — 100.0%	$	1,066,580,949

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2015, the net unrealized appreciation on investments based on a cost of $918,254,539 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	$	176,109,784
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(36,966,825	)

	Net unrealized appreciation	$	139,142,959

(b)	Non-income producing security.

Industry Summary at June 30, 2015 (Unaudited)


IT Services	9.6	%
Health Care Providers & Services	7.4
Containers & Packaging	7.0
Banks	6.0
Insurance	5.5
Specialty Retail	4.8
Semiconductors & Semiconductor Equipment	4.6
Household Durables	4.4
Textiles, Apparel & Luxury Goods	3.8
Metals & Mining	3.8
Pharmaceuticals	3.5
Capital Markets	3.2
Machinery	3.2
Auto Components	3.0
Trading Companies & Distributors	2.8
Closed-End Investment Companies	2.2
Life Sciences Tools & Services	2.1
Other Investments, less than 2% each	19.4
Short-Term Investments	2.8

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 32

Statements of Assets and Liabilities

June 30, 2015 (Unaudited)


	CGM Advisor Targeted Equity Fund			Natixis Oakmark Fund		Natixis Oakmark International Fund
ASSETS
Investments at cost	$	416,409,808		$	260,809,574	$	1,318,711,022
Net unrealized appreciation (depreciation)		85,526,792			30,458,248		(43,753,695	)

Investments at value		501,936,600			291,267,822		1,274,957,327
Cash		3,654			—		—
Foreign currency at value (identified cost $0, $0 and $656, respectively)		—			—		656
Receivable for Fund shares sold		27,702			721,627		6,070,623
Receivable for securities sold		2,508,124			—		1,751,461
Dividends and interest receivable		—			248,338		1,621,023
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—		789,111
Tax reclaims receivable		—			25,949		1,646,574

TOTAL ASSETS		504,476,080			292,263,736		1,286,836,775

LIABILITIES
Payable for securities purchased		—			55,956		6,993,523
Payable for Fund shares redeemed		1,040,204			653,533		2,022,180
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—		1,610,829
Management fees payable (Note 6)		297,848			167,213		898,665
Deferred Trustees’ fees (Note 6)		598,303			434,278		38,626
Administrative fees payable (Note 6)		17,581			10,388		44,857
Payable to distributor (Note 6d)		2,044			1,577		14,068
Other accounts payable and accrued expenses		100,437			56,114		110,012

TOTAL LIABILITIES		2,056,417			1,379,059		11,732,760

NET ASSETS	$	502,419,663		$	290,884,677	$	1,275,104,015

NET ASSETS CONSIST OF:
Paid-in capital	$	420,331,294		$	252,824,911	$	1,298,039,045
Accumulated net investment (loss)/Undistributed net investment income		(512,777	)		297,251		7,926,630
Accumulated net realized gain (loss) on investments and foreign currency transactions		(2,925,646	)		7,304,267		13,785,892
Net unrealized appreciation (depreciation) on investments and foreign currency translations		85,526,792			30,458,248		(44,647,552	)

NET ASSETS	$	502,419,663		$	290,884,677	$	1,275,104,015

See accompanying notes to financial statements.

33 |

Statements of Assets and Liabilities (continued)

June 30, 2015 (Unaudited)


	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	$	443,838,086	$	196,753,309	$	881,260,814

Shares of beneficial interest		40,879,195		9,703,011		67,785,771

Net asset value and redemption price per share	$	10.86	$	20.28	$	13.00

Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.52	$	21.52	$	13.79

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	292,615	$	200,058	$	—

Shares of beneficial interest		32,168		11,049		—

Net asset value and offering price per share	$	9.10	$	18.11	$	—

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	27,595,455	$	74,742,813	$	393,843,201

Shares of beneficial interest		3,060,181		4,155,314		30,898,731

Net asset value and offering price per share	$	9.02	$	17.99	$	12.75

Class Y shares:
Net assets	$	30,693,507	$	19,188,497	$	—

Shares of beneficial interest		2,712,514		907,198		—

Net asset value, offering and redemption price per share	$	11.32	$	21.15	$	—

See accompanying notes to financial statements.

| 34

Statements of Assets and Liabilities (continued)

June 30, 2015 (Unaudited)


	Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	263,252,842	$	918,254,539
Net unrealized appreciation		79,467,397		139,142,959

Investments at value		342,720,239		1,057,397,498
Receivable for Fund shares sold		752,826		12,813,346
Dividends and interest receivable		278,293		307,763

TOTAL ASSETS		343,751,358		1,070,518,607

LIABILITIES
Payable for Fund shares redeemed		1,089,563		3,050,530
Management fees payable (Note 6)		254,751		682,298
Deferred Trustees’ fees (Note 6)		153,610		71,122
Administrative fees payable (Note 6)		12,023		36,218
Payable to distributor (Note 6d)		3,403		11,496
Other accounts payable and accrued expenses		65,223		85,994

TOTAL LIABILITIES		1,578,573		3,937,658

NET ASSETS	$	342,172,785	$	1,066,580,949

NET ASSETS CONSIST OF:
Paid-in capital	$	247,568,055	$	900,285,194
Undistributed net investment income		925,010		2,160,212
Accumulated net realized gain on investments		14,212,323		24,992,584
Net unrealized appreciation on investments		79,467,397		139,142,959

NET ASSETS	$	342,172,785	$	1,066,580,949

See accompanying notes to financial statements.

35 |

Statements of Assets and Liabilities (continued)

June 30, 2015 (Unaudited)


	Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	126,628,680	$	92,147,297

Shares of beneficial interest		5,750,786		4,050,776

Net asset value and redemption price per share	$	22.02	$	22.75

Offering price per share (100/94.25 of net asset value) (Note 1)	$	23.36	$	24.14

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	298,334	$	—

Shares of beneficial interest		18,350		—

Net asset value and offering price per share	$	16.26	$	—

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	25,876,544	$	57,710,122

Shares of beneficial interest		1,593,600		2,644,207

Net asset value and offering price per share	$	16.24	$	21.83

Class N shares:
Net assets	$	—	$	54,568,613

Shares of beneficial interest		—		2,371,510

Net asset value, offering and redemption price per share	$	—	$	23.01

Class Y shares:
Net assets	$	189,369,227	$	862,154,917

Shares of beneficial interest		8,391,163		37,451,515

Net asset value, offering and redemption price per share	$	22.57	$	23.02

See accompanying notes to financial statements.

| 36

Statements of Operations

For the Six Months Ended June 30, 2015 (Unaudited)


	CGM Advisor Targeted Equity Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund
INVESTMENT INCOME
Dividends	$	3,360,231		$	2,753,061		$	23,196,647
Interest		712			940			2,954
Less net foreign taxes withheld		(49,560	)		(41,254	)		(2,172,500	)

		3,311,383			2,712,747			21,027,101

Expenses
Management fees (Note 6)		1,811,110			996,256			4,778,112
Service and distribution fees (Note 6)		701,688			603,502			2,764,733
Administrative fees (Note 6)		106,884			61,778			238,355
Trustees’ fees and expenses (Note 6)		15,220			11,906			15,351
Transfer agent fees and expenses (Note 6)		214,969			135,409			523,331
Audit and tax services fees		22,446			19,722			20,343
Custodian fees and expenses		9,720			8,489			160,461
Legal fees		2,380			1,354			5,043
Registration fees		33,372			37,413			53,705
Shareholder reporting expenses		21,599			13,202			38,618
Miscellaneous expenses		9,735			7,799			19,822

Total expenses		2,949,123			1,896,830			8,617,874

Net investment income		362,260			815,917			12,409,227

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(2,921,263	)		7,765,653			12,830,191
Foreign currency transactions		—			1,737			3,701,871
Net change in unrealized appreciation (depreciation) on:
Investments		15,257,556			(10,021,387	)		16,553,553
Foreign currency translations		—			—			(4,923,726	)

Net realized and unrealized gain (loss) on investments and foreign currency transactions		12,336,293			(2,253,997	)		28,161,889

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	12,698,553		$	(1,438,080	)	$	40,571,116

See accompanying notes to financial statements.

37 |

Statements of Operations (continued)

For the Six Months Ended June 30, 2015 (Unaudited)


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	3,278,813	(a)	$	6,898,431	(a)
Interest		811			1,374
Less net foreign taxes withheld		—			(10,848	)

		3,279,624			6,888,957

Expenses
Management fees (Note 6)		1,499,453			3,580,354
Service and distribution fees (Note 6)		291,039			314,362
Administrative fees (Note 6)		70,670			189,808
Trustees’ fees and expenses (Note 6)		11,128			13,923
Transfer agent fees and expenses (Note 6 and 7)		175,103			386,037
Audit and tax services fees		19,736			20,151
Custodian fees and expenses		10,064			16,555
Legal fees		1,556			3,978
Registration fees		34,877			85,204
Shareholder reporting expenses		15,048			29,794
Miscellaneous expenses		7,902			13,176

Total expenses		2,136,576			4,653,342
Less waiver and/or expense reimbursement (Note 6)		—			(170	)

Net expenses		2,136,576			4,653,172

Net investment income		1,143,048			2,235,785

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		15,150,473			25,632,225
Net change in unrealized appreciation (depreciation) on:
Investments		10,142,368			32,302,378

Net realized and unrealized gain on investments		25,292,841			57,934,603

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	26,435,889		$	60,170,388

(a)	Includes non-recurring dividends of $1,495,750 and $1,989,000 for Vaughan Nelson Small Cap Value Fund and Vaughan Nelson Value Opportunity Fund, respectively.

See accompanying notes to financial statements.

| 38

Statements of Changes in Net Assets


	CGM Advisor Targeted Equity Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income (loss)	$	362,260		$	(1,340,175	)
Net realized gain (loss) on investments		(2,921,263	)		65,609,954
Net change in unrealized appreciation (depreciation) on investments		15,257,556			(21,344,530	)

Net increase in net assets resulting from operations		12,698,553			42,925,249

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(6,029,383	)		(63,610,439	)
Class B		(9,969	)		(177,582	)
Class C		(477,706	)		(5,241,159	)
Class Y		(416,755	)		(5,034,635	)

Total distributions		(6,933,813	)		(74,063,815	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(29,643,724	)		(24,383,469	)

Net decrease in net assets		(23,878,984	)		(55,522,035	)
NET ASSETS
Beginning of the period		526,298,647			581,820,682

End of the period	$	502,419,663		$	526,298,647

ACCUMULATED NET INVESTMENT LOSS	$	(512,777	)	$	(875,037	)

See accompanying notes to financial statements.

39 |

Statements of Changes in Net Assets (continued)


	Natixis Oakmark Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income	$	815,917		$	781,395
Net realized gain on investments and foreign currency transactions		7,767,390			33,607,229
Net change in unrealized appreciation (depreciation) on investments		(10,021,387	)		(12,934,590	)

Net increase (decrease) in net assets resulting from operations		(1,438,080	)		21,454,034

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(18,674	)		(582,642	)
Class B		(41	)		—
Class C		(7,521	)		(61,330	)
Class Y		(1,721	)		(130,544	)
Net realized capital gains
Class A		(572,561	)		(25,448,063	)
Class B		(1,266	)		(115,777	)
Class C		(230,780	)		(7,987,538	)
Class Y		(52,804	)		(3,299,099	)

Total distributions		(885,368	)		(37,624,993	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		7,843,864			132,132,840

Net increase in net assets		5,520,416			115,961,881
NET ASSETS
Beginning of the period		285,364,261			169,402,380

End of the period	$	290,884,677		$	285,364,261

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	297,251		$	(490,709	)

See accompanying notes to financial statements.

| 40

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income	$	12,409,227		$	9,824,395
Net realized gain on investments and foreign currency transactions		16,532,062			21,894,715
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		11,629,827			(99,645,940	)

Net increase (decrease) in net assets resulting from operations		40,571,116			(67,926,830	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,961,299	)		(12,092,911	)
Class C		(919,713	)		(4,207,529	)
Net realized capital gains
Class A		(2,681,646	)		(10,563,438	)
Class C		(1,257,503	)		(5,813,413	)

Total distributions		(6,820,161	)		(32,677,291	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		296,651,321			493,477,560

Net increase in net assets		330,402,276			392,873,439
NET ASSETS
Beginning of the period		944,701,739			551,828,300

End of the period	$	1,275,104,015		$	944,701,739

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	7,926,630		$	(1,601,585	)

See accompanying notes to financial statements.

41 |

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income (loss)	$	1,143,048		$	(718,673	)
Net realized gain on investments		15,150,473			48,304,361
Net change in unrealized appreciation (depreciation) on investments		10,142,368			(19,409,424	)

Net increase in net assets resulting from operations		26,435,889			28,176,264

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(1,806,485	)		(20,240,252	)
Class B		(10,684	)		(221,933	)
Class C		(515,720	)		(5,709,846	)
Class Y		(2,580,319	)		(26,912,401	)

Total distributions		(4,913,208	)		(53,084,432	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(9,715,744	)		4,930,798

Net increase (decrease) in net assets		11,806,937			(19,977,370	)
NET ASSETS
Beginning of the period		330,365,848			350,343,218

End of the period	$	342,172,785		$	330,365,848

UNDISTRIBUTED NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	925,010		$	(218,038	)

See accompanying notes to financial statements.

| 42

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Value Opportunity Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income (loss)	$	2,235,785		$	(1,154,548	)
Net realized gain on investments		25,632,225			54,468,033
Net change in unrealized appreciation (depreciation) on investments		32,302,378			16,777,310

Net increase in net assets resulting from operations		60,170,388			70,090,795

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(451,459	)		(5,399,669	)
Class C		(258,314	)		(2,482,970	)
Class N		(303,911	)		(785,557	)
Class Y		(4,243,658	)		(44,268,540	)

Total distributions		(5,257,342	)		(52,936,736	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		234,442,283			310,528,319

Net increase in net assets		289,355,329			327,682,378
NET ASSETS
Beginning of the period		777,225,620			449,543,242

End of the period	$	1,066,580,949		$	777,225,620

UNDISTRIBUTED NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	2,160,212		$	(75,573	)

See accompanying notes to financial statements.

43 |

Financial Highlights

For a share outstanding throughout each period.


	CGM Advisor Targeted Equity Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	10.73		$	11.46		$	10.23		$	9.36		$	11.12		$	9.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.01			(0.02	)		(0.02	)		0.08	^(b)		0.05			0.05	^(c)
Net realized and unrealized gain (loss)		0.27			0.91			2.94			1.36			(1.76	)		1.58

Total from Investment Operations		0.28			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		(0.15	)		(1.62	)		(1.69	)		(0.48	)		—			—

Total Distributions		(0.15	)		(1.62	)		(1.69	)		(0.57	)		(0.05	)		(0.05	)

Net asset value, end of the period	$	10.86		$	10.73		$	11.46		$	10.23		$	9.36		$	11.12

Total return^(e)		2.58	%^(f)		8.27	%		29.01	%		15.44	%^(b)		(15.36	)%		17.14	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	443,838		$	458,975		$	493,102		$	438,288		$	503,330		$	753,518
Net expenses		1.14	%^(g)		1.15	%		1.17	%		1.18	%		1.13	%		1.16	%
Gross expenses		1.14	%^(g)		1.15	%		1.17	%		1.18	%		1.13	%		1.16	%
Net investment income (loss)		0.17	%^(g)		(0.21	)%		(0.17	)%		0.78	%^(b)		0.45	%		0.52	%^(c)
Portfolio turnover rate		74	%		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.

(f)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

| 44

Financial Highlights (continued)

For a share outstanding throughout each period.


	CGM Advisor Targeted Equity Fund—Class B
	Six Months Ended June 30, 2015 (Unaudited)			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	$	9.05		$	9.98		$	9.15		$	8.41		$	10.01		$	8.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.02	)		(0.10	)		(0.10	)		(0.00	)^(b)(c)		(0.03	)		(0.02	)^(d)
Net realized and unrealized gain (loss)		0.22			0.79			2.62			1.22			(1.57	)		1.42

Total from Investment Operations		0.20			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		(0.15	)		(1.62	)		(1.69	)		(0.48	)		—			—

Total Distributions		(0.15	)		(1.62	)		(1.69	)		(0.48	)		—			(0.00	)

Net asset value, end of the period	$	9.10		$	9.05		$	9.98		$	9.15		$	8.41		$	10.01

Total return^(e)		2.18	%^(f)		7.47	%		28.06	%		14.54	%^(c)		(15.98	)%		16.26	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	293		$	932		$	2,205		$	3,447		$	5,296		$	9,934
Net expenses		1.89	%^(g)		1.89	%		1.91	%		1.93	%		1.88	%		1.91	%
Gross expenses		1.89	%^(g)		1.89	%		1.91	%		1.93	%		1.88	%		1.91	%
Net investment loss		(0.54	)%^(g)		(0.98	)%		(0.94	)%		(0.05	)%^(c)		(0.32	)%		(0.28	)%^(d)
Portfolio turnover rate		74	%		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.

(f)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

45 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	CGM Advisor Targeted Equity Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	8.97		$	9.91		$	9.09		$	8.37		$	9.96		$	8.57

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.03	)		(0.09	)		(0.10	)		(0.00	)^(b)(c)		(0.03	)		(0.02	)^(d)
Net realized and unrealized gain (loss)		0.23			0.77			2.61			1.20			(1.56	)		1.41

Total from Investment Operations		0.20			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		(0.15	)		(1.62	)		(1.69	)		(0.48	)		—			—

Total Distributions		(0.15	)		(1.62	)		(1.69	)		(0.48	)		—			(0.00	)

Net asset value, end of the period	$	9.02		$	8.97		$	9.91		$	9.09		$	8.37		$	9.96

Total return^(e)		2.20	%^(f)		7.43	%		28.13	%		14.45	%^(c)		(15.96	)%		16.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	27,595		$	31,462		$	36,417		$	35,225		$	47,416		$	81,291
Net expenses		1.89	%^(g)		1.90	%		1.91	%		1.93	%		1.88	%		1.91	%
Gross expenses		1.89	%^(g)		1.90	%		1.91	%		1.93	%		1.88	%		1.91	%
Net investment loss		(0.57	)%^(g)		(0.96	)%		(0.92	)%		(0.02	)%^(c)		(0.32	)%		(0.23	)%^(d)
Portfolio turnover rate		74	%		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.

(f)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

| 46

Financial Highlights (continued)

For a share outstanding throughout each period.


	CGM Advisor Targeted Equity Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			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	$	11.16		$	11.83		$	10.49		$	9.59		$	11.40		$	9.78

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.02			0.00	^(b)		0.01			0.11	^(c)		0.07			0.07	^(d)
Net realized and unrealized gain (loss)		0.29			0.95			3.02			1.39			(1.80	)		1.63

Total from Investment Operations		0.31			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		(0.15	)		(1.62	)		(1.69	)		(0.48	)		—			—

Total Distributions		(0.15	)		(1.62	)		(1.69	)		(0.60	)		(0.08	)		(0.08	)

Net asset value, end of the period	$	11.32		$	11.16		$	11.83		$	10.49		$	9.59		$	11.40

Total return		2.75	%^(e)		8.52	%		29.34	%		15.69	%^(c)		(15.16	)%		17.39	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	30,694		$	34,930		$	50,096		$	49,884		$	57,003		$	137,631
Net expenses		0.89	%^(f)		0.89	%		0.91	%		0.93	%		0.87	%		0.91	%
Gross expenses		0.89	%^(f)		0.89	%		0.91	%		0.93	%		0.87	%		0.91	%
Net investment income		0.43	%^(f)		0.04	%		0.08	%		1.02	%^(c)		0.62	%		0.69	%^(d)
Portfolio turnover rate		74	%		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%.

(e)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

47 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	20.43		$	21.40		$	16.09		$	13.86		$	14.17		$	12.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.07			0.10			0.06			0.12			0.08			0.05
Net realized and unrealized gain (loss)		(0.16	)		2.11			6.03			2.24			(0.30	)		1.60

Total from Investment Operations		(0.09	)		2.21			6.09			2.36			(0.22	)		1.65

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)^(b)		(0.07	)		(0.07	)		(0.13	)		(0.09	)		(0.06	)
Net realized capital gains		(0.06	)		(3.11	)		(0.71	)		—			—			—

Total Distributions		(0.06	)		(3.18	)		(0.78	)		(0.13	)		(0.09	)		(0.06	)

Net asset value, end of the period	$	20.28		$	20.43		$	21.40		$	16.09		$	13.86		$	14.17

Total return^(c)		(0.44	)%^(d)		10.43	%		37.82	%		17.03	%^(e)		(1.56	)%		13.08	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	196,753		$	195,061		$	145,270		$	113,870		$	107,978		$	118,938
Net expenses		1.14	%^(f)		1.22	%		1.30	%^(g)		1.30	%^(h)		1.30	%⁽ⁱ⁾		1.30	%^(h)
Gross expenses		1.14	%^(f)		1.22	%		1.30	%^(g)		1.33	%		1.30	%⁽ⁱ⁾		1.39	%
Net investment income		0.72	%^(f)		0.44	%		0.33	%		0.77	%		0.57	%		0.36	%
Portfolio turnover rate		8	%		64	%^(j)		29	%		25	%		36	%		32	%

(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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

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

(j)	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.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class B
	Six Months Ended June 30, 2015 (Unaudited)			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	$	18.31		$	19.57		$	14.83		$	12.76		$	13.07		$	11.65

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.01	)		(0.06	)		(0.07	)		(0.01	)		(0.03	)		(0.05	)
Net realized and unrealized gain (loss)		(0.13	)		1.91			5.52			2.08			(0.28	)		1.48

Total from Investment Operations		(0.14	)		1.85			5.45			2.07			(0.31	)		1.43

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)^(b)		—			—			—			(0.00	)^(b)		(0.01	)
Net realized capital gains		(0.06	)		(3.11	)		(0.71	)		—			—			—

Total Distributions		(0.06	)		(3.11	)		(0.71	)		—			(0.00	)		(0.01	)

Net asset value, end of the period	$	18.11		$	18.31		$	19.57		$	14.83		$	12.76		$	13.07

Total return^(c)		(0.77	)%^(d)		9.56	%		36.75	%		16.22	%^(e)		(2.34	)%		12.31	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	200		$	669		$	1,532		$	2,145		$	3,341		$	5,614
Net expenses		1.88	%^(f)		1.97	%		2.05	%^(g)		2.05	%^(h)		2.05	%⁽ⁱ⁾		2.05	%^(h)
Gross expenses		1.88	%^(f)		1.97	%		2.05	%^(g)		2.08	%		2.05	%⁽ⁱ⁾		2.13	%
Net investment loss		(0.09	)%^(f)		(0.31	)%		(0.43	)%		(0.04	)%		(0.21	)%		(0.40	)%
Portfolio turnover rate		8	%		64	%^(j)		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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

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

(j)	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.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	18.19		$	19.48		$	14.75		$	12.72		$	13.02		$	11.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		(0.00	)^(b)		(0.06	)		(0.07	)		0.00	^(b)		(0.03	)		(0.05	)
Net realized and unrealized gain (loss)		(0.14	)		1.90			5.51			2.05			(0.27	)		1.47

Total from Investment Operations		(0.14	)		1.84			5.44			2.05			(0.30	)		1.42

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)^(b)		(0.02	)		—			(0.02	)		(0.00	)^(b)		(0.01	)
Net realized capital gains		(0.06	)		(3.11	)		(0.71	)		—			—			—

Total Distributions		(0.06	)		(3.13	)		(0.71	)		(0.02	)		(0.00	)		(0.01	)

Net asset value, end of the period	$	17.99		$	18.19		$	19.48		$	14.75		$	12.72		$	13.02

Total return^(c)		(0.77	)%^(d)		9.55	%		36.88	%		16.13	%^(e)		(2.28	)%		12.26	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	74,743		$	62,941		$	8,425		$	6,016		$	5,667		$	7,399
Net expenses		1.89	%^(f)		1.97	%		2.05	%^(g)		2.05	%^(h)		2.05	%⁽ⁱ⁾		2.05	%^(h)
Gross expenses		1.89	%^(f)		1.97	%		2.05	%^(g)		2.08	%		2.05	%⁽ⁱ⁾		2.14	%
Net investment income (loss)		(0.01	)%^(f)		(0.30	)%		(0.42	)%		0.02	%		(0.19	)%		(0.39	)%
Portfolio turnover rate		8	%		64	%^(j)		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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

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

(j)	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.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			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	$	21.28		$	22.16		$	16.63		$	14.32		$	14.65		$	12.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.10			0.15			0.11			0.17			0.12			0.08
Net realized and unrealized gain (loss)		(0.17	)		2.20			6.24			2.31			(0.33	)		1.67

Total from Investment Operations		(0.07	)		2.35			6.35			2.48			(0.21	)		1.75

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)^(b)		(0.12	)		(0.11	)		(0.17	)		(0.12	)		(0.09	)
Net realized capital gains		(0.06	)		(3.11	)		(0.71	)		—			—			—

Total Distributions		(0.06	)		(3.23	)		(0.82	)		(0.17	)		(0.12	)		(0.09	)

Net asset value, end of the period	$	21.15		$	21.28		$	22.16		$	16.63		$	14.32		$	14.65

Total return		(0.33	)%^(c)		10.70	%		38.21	%		17.33	%^(d)		(1.40	)%		13.47	%^(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	19,188		$	26,694		$	14,176		$	12,100		$	7,567		$	9,586
Net expenses		0.89	%^(e)		0.97	%		1.05	%^(f)		1.05	%^(g)		1.05	%^(h)		1.05	%^(g)
Gross expenses		0.89	%^(e)		0.97	%		1.05	%^(f)		1.09	%		1.05	%^(h)		1.14	%
Net investment income		0.94	%^(e)		0.67	%		0.54	%		1.04	%		0.80	%		0.61	%
Portfolio turnover rate		8	%		64	%⁽ⁱ⁾		29	%		25	%		36	%		32	%

(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)	Periods less than one year are not annualized.

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

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

(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)	Includes fee/expense recovery of 0.01%.

(i)	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.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	12.44		$	13.74		$	10.94		$	8.68		$	10.16		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income^(a)		0.16			0.18			0.07			0.14			0.09	^(b)		0.00	^(c)
Net realized and unrealized gain (loss)		0.47			(1.01	)		2.99			2.35			(1.57	)		0.16

Total from Investment Operations		0.63			(0.83	)		3.06			2.49			(1.48	)		0.16

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.25	)		(0.08	)		(0.23	)		(0.00	)^(c)		(0.00	)^(c)
Net realized capital gains		(0.04	)		(0.22	)		(0.18	)		—			(0.00	)^(c)		—

Total Distributions		(0.07	)		(0.47	)		(0.26	)		(0.23	)		(0.00	)		(0.00	)

Net asset value, end of the period	$	13.00		$	12.44		$	13.74		$	10.94		$	8.68		$	10.16

Total return^(d)		5.10	%^(e)		(6.05	)%		28.13	%		28.78	%^(f)		(14.55	)%^(b)(f)		1.62	%^(e)(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	881,261		$	617,383		$	314,579		$	35,555		$	33,852		$	5,487
Net expenses		1.29	%^(g)		1.31	%		1.44	%^(h)		1.45	%⁽ⁱ⁾		1.45	%⁽ⁱ⁾		1.45	%^(g)(i)
Gross expenses		1.29	%^(g)		1.31	%		1.44	%^(h)		1.64	%		1.87	%		22.77	%^(g)
Net investment income		2.50	%^(g)		1.34	%		0.52	%		1.50	%		0.93	%^(b)		0.23	%^(g)
Portfolio turnover rate		14	%		31	%		20	%		53	%		48	%		0	%^(j)

*	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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

(j)	Amount rounds to less than 1%.

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	12.25		$	13.53		$	10.82		$	8.61		$	10.15		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.10			0.08			(0.02	)		0.06			0.02	^(b)		(0.00	)^(c)
Net realized and unrealized gain (loss)		0.47			(0.98	)		2.94			2.34			(1.56	)		0.15

Total from Investment Operations		0.57			(0.90	)		2.92			2.40			(1.54	)		0.15

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.16	)		(0.03	)		(0.19	)		(0.00	)^(c)		(0.00	)^(c)
Net realized capital gains		(0.04	)		(0.22	)		(0.18	)		—			(0.00	)^(c)		—

Total Distributions		(0.07	)		(0.38	)		(0.21	)		(0.19	)		(0.00	)		(0.00	)

Net asset value, end of the period	$	12.75		$	12.25		$	13.53		$	10.82		$	8.61		$	10.15

Total return^(d)		4.69	%^(e)		(6.67	)%		27.13	%		27.93	%^(f)		(15.17	)%^(b)(f)		1.52	%^(e)(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	393,843		$	327,319		$	237,250		$	34,142		$	13,501		$	700
Net expenses		2.04	%^(g)		2.05	%		2.19	%^(h)		2.20	%⁽ⁱ⁾		2.20	%⁽ⁱ⁾		2.20	%^(g)(i)
Gross expenses		2.04	%^(g)		2.05	%		2.19	%^(h)		2.39	%		2.59	%		25.08	%^(g)
Net investment income (loss)		1.60	%^(g)		0.61	%		(0.14	)%		0.59	%		0.20	%^(b)		(0.08	)%^(g)
Portfolio turnover rate		14	%		31	%		20	%		53	%		48	%		0	%^(j)

*	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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

(j)	Amount rounds to less than 1%.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	20.65		$	22.34		$	18.97		$	17.74		$	22.69		$	22.31

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.07	^(b)		(0.06	)		0.07	^(c)		0.13	^(d)		0.10			(0.01	)
Net realized and unrealized gain (loss)		1.43			1.95			7.14			2.50			(0.83	)		5.27

Total from Investment Operations		1.50			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		(0.13	)		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)

Total Distributions		(0.13	)		(3.58	)		(3.84	)		(1.40	)		(4.22	)		(4.90	)

Increase from class action/regulatory settlements		—			—			—			—			—			0.02

Net asset value, end of the period	$	22.02		$	20.65		$	22.34		$	18.97		$	17.74		$	22.69

Total return^(e)		8.16	%^(b)(f)		8.79	%		39.01	%^(c)		14.93	%^(d)		(3.77	)%		23.67	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	126,629		$	125,201		$	152,792		$	160,400		$	228,445		$	267,192
Net expenses		1.36	%^(g)		1.37	%		1.39	%^(h)		1.39	%		1.36	%		1.41	%
Gross expenses		1.36	%^(g)		1.37	%		1.39	%^(h)		1.39	%		1.36	%		1.41	%
Net investment income (loss)		0.62	%^(b)(g)		(0.27	)%		0.33	%^(c)		0.67	%^(d)		0.44	%		(0.03	)%
Portfolio turnover rate		15	%		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 non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.03), total return would have been 7.67% and the ratio of net investment loss to average net assets would have been (0.29)%.

(c)	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%.

(d)	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%.

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

(f)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class B
	Six Months Ended June 30, 2015 (Unaudited)			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	$	15.37		$	17.63		$	15.65		$	14.84		$	19.73		$	20.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.00	)^(b)(c)		(0.19	)		(0.07	)^(d)		(0.02	)^(e)		(0.07	)		(0.17	)
Net realized and unrealized gain (loss)		1.02			1.51			5.84			2.09			(0.69	)		4.72

Total from Investment Operations		1.02			1.32			5.77			2.07			(0.76	)		4.55

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.01	)		—			0.00	^(b)		—
Net realized capital gains		(0.13	)		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)

Total Distributions		(0.13	)		(3.58	)		(3.79	)		(1.26	)		(4.13	)		(4.90	)

Increase from class action/regulatory settlements		—			—			—			—			—			0.02

Net asset value, end of the period	$	16.26		$	15.37		$	17.63		$	15.65		$	14.84		$	19.73

Total return^(f)		7.83	%^(c)(g)		7.87	%		38.03	%^(d)		14.12	%^(e)		(4.51	)%		22.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	298		$	967		$	2,239		$	3,106		$	4,657		$	7,996
Net expenses		2.10	%^(h)		2.12	%		2.14	%⁽ⁱ⁾		2.14	%		2.11	%		2.16	%
Gross expenses		2.10	%^(h)		2.12	%		2.14	%⁽ⁱ⁾		2.14	%		2.11	%		2.16	%
Net investment loss		(0.03	)%^(c)(h)		(1.08	)%		(0.40	)%^(d)		(0.14	)%^(e)		(0.38	)%		(0.78	)%
Portfolio turnover rate		15	%		58	%		58	%		73	%		88	%		80	%

(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 $(0.09), total return would have been 7.38% and the ratio of net investment loss to average net assets would have been (1.20)%.

(d)	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)%.

(e)	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)%.

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

(g)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	15.36		$	17.61		$	15.64		$	14.85		$	19.74		$	20.07

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.01	)^(b)		(0.18	)		(0.07	)^(c)		(0.01	)^(d)		(0.06	)		(0.16	)
Net realized and unrealized gain (loss)		1.02			1.51			5.83			2.08			(0.70	)		4.71

Total from Investment Operations		1.01			1.33			5.76			2.07			(0.76	)		4.55

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.01	)		(0.02	)		—			—
Net realized capital gains		(0.13	)		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)

Total Distributions		(0.13	)		(3.58	)		(3.79	)		(1.28	)		(4.13	)		(4.90	)

Increase from class action/regulatory settlements		—			—			—			—			—			0.02

Net asset value, end of the period	$	16.24		$	15.36		$	17.61		$	15.64		$	14.85		$	19.74

Total return^(e)		7.78	%^(b)(f)		7.94	%		37.99	%^(c)		14.08	%^(d)		(4.51	)%		22.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,877		$	27,292		$	31,476		$	26,980		$	30,284		$	38,855
Net expenses		2.11	%^(g)		2.12	%		2.14	%^(h)		2.14	%		2.11	%		2.16	%
Gross expenses		2.11	%^(g)		2.12	%		2.14	%^(h)		2.14	%		2.11	%		2.16	%
Net investment loss		(0.14	)%^(b)(g)		(1.02	)%		(0.40	)%^(c)		(0.07	)%^(d)		(0.33	)%		(0.76	)%
Portfolio turnover rate		15	%		58	%		58	%		73	%		88	%		80	%

(a)	Per share net investment 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 7.32% and the ratio of net investment loss to average net assets would have been (1.05)%.

(c)	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)%.

(d)	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)%.

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

(f)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			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	$	21.13		$	22.73		$	19.24		$	17.99		$	22.96		$	22.47

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.09	^(b)		(0.00	)^(c)		0.13	^(d)		0.18	^(e)		0.15			0.06
Net realized and unrealized gain (loss)		1.48			1.98			7.26			2.53			(0.84	)		5.31

Total from Investment Operations		1.57			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		(0.13	)		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)

Total Distributions		(0.13	)		(3.58	)		(3.90	)		(1.46	)		(4.28	)		(4.90	)

Increase from class action/regulatory settlements		—			—			—			—			—			0.02

Net asset value, end of the period	$	22.57		$	21.13		$	22.73		$	19.24		$	17.99		$	22.96

Total return		8.31	%^(b)(f)		9.04	%		39.43	%^(d)		15.18	%^(e)		(3.54	)%		24.00	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	189,369		$	176,905		$	163,836		$	132,970		$	130,115		$	217,305
Net expenses		1.11	%^(g)		1.12	%		1.14	%^(h)		1.14	%		1.10	%		1.16	%
Gross expenses		1.11	%^(g)		1.12	%		1.14	%^(h)		1.14	%		1.10	%		1.16	%
Net investment income (loss)		0.86	%^(b)(g)		(0.01	)%		0.59	%^(d)		0.95	%^(e)		0.65	%		0.24	%
Portfolio turnover rate		15	%		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 non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.00), total return would have been 7.83% and the ratio of net investment loss to average net assets would have been (0.03)%.

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

(d)	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%.

(e)	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%.

(f)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	21.29		$	20.63		$	15.49		$	13.83		$	14.75		$	12.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.04	^(b)		(0.08	)		(0.03	)		0.15	^(c)		(0.01	)		0.08	^(d)
Net realized and unrealized gain (loss)		1.55			2.31			6.36			2.05			(0.39	)		2.36

Total from Investment Operations		1.59			2.23			6.33			2.20			(0.40	)		2.44

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.14	)		—			(0.07	)
Net realized capital gains		(0.13	)		(1.57	)		(1.19	)		(0.40	)		(0.52	)		(0.02	)
Paid-in capital		—			—			—			—			—			(0.06	)

Total Distributions		(0.13	)		(1.57	)		(1.19	)		(0.54	)		(0.52	)		(0.15	)

Net asset value, end of the period	$	22.75		$	21.29		$	20.63		$	15.49		$	13.83		$	14.75

Total return^(e)		7.47	%^(b)(f)		10.92	%		41.22	%		15.93	%^(c)		(2.71	)%		19.64	%^(g)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	92,147		$	73,237		$	67,716		$	28,381		$	21,308		$	11,268
Net expenses		1.22	%^(h)		1.25	%		1.27	%		1.31	%		1.40	%⁽ⁱ⁾		1.40	%^(j)
Gross expenses		1.22	%^(h)		1.25	%		1.27	%		1.31	%		1.40	%⁽ⁱ⁾		1.69	%
Net investment income (loss)		0.34	%^(b)(h)		(0.37	)%		(0.13	)%		0.97	%^(c)		(0.07	)%		0.62	%^(d)
Portfolio turnover rate		11	%		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 a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 7.19% and the ratio of net investment loss to average net assets would have been (0.14)%.

(c)	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%.

(d)	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%.

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

(f)	Periods less than one year are not annualized.

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

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

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

(j)	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.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	20.51		$	20.07		$	15.21		$	13.60		$	14.63		$	12.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		(0.05	)^(b)		(0.23	)		(0.17	)		0.04	^(c)		(0.12	)		(0.03	)^(d)
Net realized and unrealized gain (loss)		1.50			2.24			6.22			2.01			(0.39	)		2.36

Total from Investment Operations		1.45			2.01			6.05			2.05			(0.51	)		2.33

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.04	)		—			(0.04	)
Net realized capital gains		(0.13	)		(1.57	)		(1.19	)		(0.40	)		(0.52	)		(0.02	)
Paid-in capital		—			—			—			—			—			(0.03	)

Total Distributions		(0.13	)		(1.57	)		(1.19	)		(0.44	)		(0.52	)		(0.09	)

Net asset value, end of the period	$	21.83		$	20.51		$	20.07		$	15.21		$	13.60		$	14.63

Total return^(e)		7.08	%^(b)(f)		10.12	%		40.13	%		15.10	%^(c)		(3.48	)%		18.85	%^(g)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	57,710		$	35,894		$	21,005		$	3,090		$	1,822		$	824
Net expenses		1.97	%^(h)		2.00	%		2.02	%		2.06	%		2.15	%⁽ⁱ⁾		2.15	%^(j)
Gross expenses		1.97	%^(h)		2.00	%		2.02	%		2.06	%		2.15	%⁽ⁱ⁾		2.46	%
Net investment income (loss)		(0.43	)%^(b)(h)		(1.10	)%		(0.89	)%		0.24	%^(c)		(0.83	)%		(0.23	)%^(d)
Portfolio turnover rate		11	%		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 a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.09), total return would have been 6.78% and the ratio of net investment loss to average net assets would have been (0.87)%.

(c)	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)%.

(d)	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)%.

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

(f)	Periods less than one year are not annualized.

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

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

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

(j)	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.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class N
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	21.50		$	20.76		$	17.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.08	^(b)		(0.00	)^(c)		(0.04	)
Net realized and unrealized gain (loss)		1.56			2.31			4.35

Total from Investment Operations		1.64			2.31			4.31

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.02	)
Net realized capital gains		(0.13	)		(1.57	)		(1.06	)

Total Distributions		(0.13	)		(1.57	)		(1.08	)

Net asset value, end of the period	$	23.01		$	21.50		$	20.76

Total return		7.64	%^(b)(d)		11.24	%		24.70	%^(d)(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	54,569		$	12,024		$	1
Net expenses		0.89	%^(f)		0.91	%^(g)		1.03	%^(f)(h)
Gross expenses		0.89	%^(f)		0.91	%^(g)		2.07	%^(f)
Net investment income (loss)		0.69	%^(b)(f)		(0.00	)%⁽ⁱ⁾		(0.33	)%^(f)
Portfolio turnover rate		11	%		58	%		39	%

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

(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 $0.04, total return would have been 7.40% and the ratio of net investment income to average net assets would have been 0.34%.

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

(d)	Periods less than one year are not annualized.

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

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

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

(h)	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.

(i)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			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	$	21.52		$	20.78		$	15.57		$	13.89		$	14.80		$	12.49

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)^(a)		0.06	^(b)		(0.02	)		0.02			0.18	^(c)		0.03			0.12	^(d)
Net realized and unrealized gain (loss)		1.57			2.33			6.39			2.08			(0.41	)		2.37

Total from Investment Operations		1.63			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		(0.13	)		(1.57	)		(1.19	)		(0.40	)		(0.52	)		(0.02	)
Paid-in capital		—			—			—			—			—			(0.07	)

Total Distributions		(0.13	)		(1.57	)		(1.20	)		(0.58	)		(0.53	)		(0.18	)

Net asset value, end of the period	$	23.02		$	21.52		$	20.78		$	15.57		$	13.89		$	14.80

Total return		7.58	%^(b)(e)		11.23	%		41.52	%		16.28	%^(c)		(2.53	)%		19.96	%^(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	862,155		$	656,071		$	360,820		$	163,589		$	109,419		$	40,715
Net expenses		0.97	%^(g)		1.00	%		1.02	%		1.06	%		1.15	%^(h)		1.15	%⁽ⁱ⁾
Gross expenses		0.97	%^(g)		1.00	%		1.02	%		1.06	%		1.15	%^(h)		1.43	%
Net investment income (loss)		0.56	%^(b)(g)		(0.10	)%		0.12	%		1.22	%^(c)		0.23	%		0.92	%^(d)
Portfolio turnover rate		11	%		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 a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 7.35% and the ratio of net investment income to average net assets would have been 0.11%.

(c)	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%.

(d)	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%.

(e)	Periods less than one year are not annualized.

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

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

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

(i)	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.

61 |

Notes to Financial Statements

June 30, 2015 (Unaudited)

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

Natixis Funds Trust I:

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

| 62

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

Most expenses 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 Value Opportunity Fund Class A, Class C and Class Y, collectively, and Class N individually, 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 period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

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

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are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. 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 preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted 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 June 30, 2015, approximately 1% and 92% of the market value of Natixis Oakmark Fund and Natixis Oakmark International Fund’s investments, respectively, were 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.

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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 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 into U.S. dollars on the respective dates of such transactions.

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

The 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.

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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.

e. Federal and Foreign Income Taxes. Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2015 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed 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

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Notes to Financial Statements (continued)

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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 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 reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, forward foreign currency contracts mark-to-market and return of capital distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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


	2014 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Targeted Equity Fund	$	44,618,075	$	29,445,740	$	74,063,815
Natixis Oakmark Fund		5,775,346		31,849,647		37,624,993
Natixis Oakmark International Fund		19,465,727		13,211,564		32,677,291
Small Cap Value Fund		3,773,025		49,311,407		53,084,432
Value Opportunity Fund		7,850,454		45,086,282		52,936,736

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

g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of

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Notes to Financial Statements (continued)

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the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2015, 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 six months ended June 30, 2015, none of the Funds had loaned securities under this agreement.

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

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

•

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

•

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data

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Notes to Financial Statements (continued)

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(which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•

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

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2015, at value:

Targeted Equity Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	493,831,600	$	—	$	—	$	493,831,600
Short-Term Investments		—		8,105,000		—		8,105,000

Total	$	493,831,600	$	8,105,000	$	—	$	501,936,600

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

For the six months ended June 30, 2015, 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
Metals & Mining	$	—	$	2,968,350	$	—	$	2,968,350
All Other Common Stocks(a)		272,999,426		—		—		272,999,426

Total Common Stocks		272,999,426		2,968,350		—		275,967,776

Short-Term Investments		—		15,300,046		—		15,300,046

Total	$	272,999,426	$	18,268,396	$	—	$	291,267,822

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

A common stock valued at $3,447,185 was transferred from Level 1 to Level 2 during the period ended June 30, 2015. At December 31, 2014, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At June 30, 2015, this security was fair valued pursuant to procedures approved by the

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Notes to Financial Statements (continued)

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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.

Natixis Oakmark International Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	39,135,619	$	—	$	39,135,619
France		—		186,221,041		—		186,221,041
Germany		—		148,441,531		—		148,441,531
Ireland		—		26,073,616		—		26,073,616
Italy		—		62,981,363		—		62,981,363
Japan		—		195,582,216		—		195,582,216
Korea		—		43,573,744		—		43,573,744
Netherlands		—		81,764,946		—		81,764,946
Sweden		—		36,186,293		—		36,186,293
Switzerland		—		210,502,345		—		210,502,345
United Kingdom		24,115,980		137,702,770		—		161,818,750
All Other Common Stocks(a)		21,821,963		—		—		21,821,963

Total Common Stocks		45,937,943		1,168,165,484		—		1,214,103,427

Short-Term Investments		—		60,853,900		—		60,853,900

Total Investments		45,937,943		1,229,019,384		—		1,274,957,327

Forward Foreign Currency Contracts (unrealized appreciation)		—		789,111		—		789,111

Total	$	45,937,943	$	1,229,808,495	$	—	$	1,275,746,438

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$(1,610,829	)	$	—		$(1,610,829	)

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

For the six months ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.

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Notes to Financial Statements (continued)

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Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	334,329,612	$	—	$	—	$	334,329,612
Short-Term Investments		—		8,390,627		—		8,390,627

Total	$	334,329,612	$	8,390,627	$	—	$	342,720,239

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

For the six months ended June 30, 2015, 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)	$	1,004,319,142	$	—	$	—	$	1,004,319,142
Closed-End Investment Companies		23,391,306		—		—		23,391,306
Short-Term Investments		—		29,687,050		—		29,687,050

Total	$	1,027,710,448	$	29,687,050	$	—	$	1,057,397,498

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

For the six months ended June 30, 2015, 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 an underlying asset, reference rate or index. 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 six months ended June 30, 2015, the Fund engaged in forward foreign currency transactions for hedging purposes.

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Notes to Financial Statements (continued)

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The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2015, 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		$789,111


Liabilities		Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts		$(1,610,829)

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2015, as reflected within the Statements of Operations were as follows:


Net Realized Gain on:		Foreign currency transactions¹
Foreign exchange contracts		$3,892,873


Net Change in Unrealized Appreciation (Depreciation) on:		Foreign currency translations¹
Foreign exchange contracts		$(4,942,058)

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.

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Notes to Financial Statements (continued)

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The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2015:


Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		7.37	%
Highest Notional Amount Outstanding		10.26	%
Lowest Notional Amount Outstanding		5.15	%
Notional Amount Outstanding as of June 30, 2015		5.15	%

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

As of June 30, 2015, 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	$	789,111		$	(789,111	)	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Amount
State Street Bank and Trust Company	$	(1,610,829	)	$	789,111		$	(821,718	)

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Notes to Financial Statements (continued)

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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 June 30, 2015:


Fund	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Natixis Oakmark International Fund	$	789,111		—

5. Purchases and Sales of Securities. For the six months ended June 30, 2015, 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	$	368,342,613	$	399,363,000
Natixis Oakmark Fund		34,493,976		22,560,867
Natixis Oakmark International Fund		411,562,557		146,458,684
Small Cap Value Fund		47,564,179		55,776,802
Value Opportunity Fund		294,816,289		97,568,446

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	%

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Effective July 1, 2015, Value Opportunity Fund pays a management 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	First $1.5 billion			Over $1.5 billion
Value Opportunity Fund		0.80	%		0.75	%

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	%

Effective July 1, 2015, Value Opportunity Fund has agreed to pay its subadviser 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 $1.5 billion			Over $1.5 billion
Value Opportunity Fund	Vaughan Nelson		0.50	%		0.47	%

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, organizational and extraordinary expenses, such as litigation and indemnification

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Notes to Financial Statements (continued)

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expenses. These undertakings are in effect until April 30, 2016, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2015, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


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

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

For the six months ended June 30, 2015, the management fees and waivers of management fees for each Fund were as follows:


	Gross Management Fees		Waivers of Management Fees		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees		Net Management Fees		Gross			Net
Targeted Equity Fund	$	1,811,110		—	$	1,811,110		0.72	%		0.72	%
Natixis Oakmark Fund		996,256		—		996,256		0.68	%		0.68	%
Natixis Oakmark International Fund		4,778,112		—		4,778,112		0.85	%		0.85	%
Small Cap Value Fund		1,499,453		—		1,499,453		0.90	%		0.90	%
Value Opportunity Fund		3,580,354		—		3,580,354		0.80	%		0.80	%

No expenses were recovered during the six months ended June 30, 2015 under the terms of the expense limitation agreement.

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.

| 76

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

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

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

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

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

For the six months ended June 30, 2015, 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	$	552,859	$	721	$	36,487	$	2,161	$	109,460
Natixis Oakmark Fund		248,927		490		88,154		1,468		264,463
Natixis Oakmark International Fund		952,192		—		453,135		—		1,359,406
Small Cap Value Fund		156,270		701		32,992		2,101		98,975
Value Opportunity Fund		97,504		—		54,214		—		162,644

77 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 six months ended June 30, 2015, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Targeted Equity Fund	$	106,884
Natixis Oakmark Fund		61,778
Natixis Oakmark International Fund		238,355
Small Cap Value Fund		70,670
Value Opportunity Fund		189,808

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

For the six months ended June 30, 2015, 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
Targeted Equity Fund	$	73,870
Natixis Oakmark Fund		60,972
Natixis Oakmark International Fund		491,082
Small Cap Value Fund		126,322
Value Opportunity Fund		370,053

| 78

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

As of June 30, 2015, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
Targeted Equity Fund	$	2,044
Natixis Oakmark Fund		1,577
Natixis Oakmark International Fund		14,068
Small Cap Value Fund		3,403
Value Opportunity Fund		11,496

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

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2015, were as follows:


Fund	Commissions
Targeted Equity Fund	$	37,367
Natixis Oakmark Fund		171,786
Natixis Oakmark International Fund		455,294
Small Cap Value Fund		6,731
Value Opportunity Fund		196,790

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, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000. 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

79 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Gateway Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts 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. Reimbursement of Transfer Agent Fees and Expenses. 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 six months ended June 30, 2015, NGAM Advisors reimbursed the Fund $170 for transfer agency expenses related to Class N shares.

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2015, 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	$	35,321	$	19,576	$	170	$	330,970

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. The Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participates in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

aggregate do not exceed the $150,000,000 limit at any time). 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 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2015, none of the Funds had borrowings under this agreement.

Prior to April 16, 2015, the committed unsecured line of credit was $200,000,000 with an individual limit of $125,000,000 for each Fund that participated in the line of credit. In addition, the commitment fee was 0.10% per annum, payable at the end of each calendar quarter.

9. Brokerage Commission Recapture. Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2015, amounts rebated under these agreements were as follows:


Fund	Rebates
Targeted Equity Fund	$	55,275

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 June 30, 2015, 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
Natixis Oakmark International Fund		1		5.13	%
Small Cap Value Fund		2		14.83	%
Value Opportunity Fund		1		19.63	%(a)

(a)	Investment on behalf of non-affiliated account holders is controlled by AlphaSimplex Group, LLC, which is a subsidiary of Natixis US.

81 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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


	Six Months Ended June 30, 2015					Year Ended December 30, 2014
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	446,011		$	4,803,819		2,382,713		$	27,553,469
Issued in connection with the reinvestment of distributions	535,121			5,779,321		5,713,464			60,881,859
Redeemed	(2,885,027	)		(30,952,852	)	(8,345,177	)		(95,762,976	)

Net change	(1,903,895	)	$	(20,369,712	)	(249,000	)	$	(7,327,648	)

Class B
Issued from the sale of shares	2,532		$	22,259		3,846		$	36,977
Issued in connection with the reinvestment of distributions	1,099			9,960		19,323			175,598
Redeemed	(74,460	)		(669,752	)	(141,197	)		(1,397,515	)

Net change	(70,829	)	$	(637,533	)	(118,028	)	$	(1,184,940	)

Class C
Issued from the sale of shares	82,784		$	741,589		417,975		$	3,975,723
Issued in connection with the reinvestment of distributions	35,326			317,221		378,532			3,392,074
Redeemed	(566,256	)		(5,064,233	)	(964,764	)		(9,405,559	)

Net change	(448,146	)	$	(4,005,423	)	(168,257	)	$	(2,037,762	)

Class Y
Issued from the sale of shares	135,149		$	1,500,883		1,277,719		$	15,171,684
Issued in connection with the reinvestment of distributions	25,718			289,333		315,692			3,498,909
Redeemed	(578,000	)		(6,421,272	)	(2,699,487	)		(32,503,712	)

Net change	(417,133	)	$	(4,631,056	)	(1,106,076	)	$	(13,833,119	)

Increase (decrease) from capital share transactions	(2,840,003	)	$	(29,643,724	)	(1,641,361	)	$	(24,383,469	)

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


	Six Months Ended June 30, 2015					Year Ended December 30, 2014
Natixis Oakmark Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	726,879		$	14,820,107		3,668,913		$	80,305,026
Issued in connection with the reinvestment of distributions	23,901			489,744		1,061,143			21,984,956
Redeemed	(596,724	)		(12,257,175	)	(1,968,641	)		(43,020,284	)

Net change	154,056		$	3,052,676		2,761,415		$	59,269,698

Class B
Issued from the sale of shares	85		$	1,504		793		$	15,447
Issued in connection with the reinvestment of distributions	70			1,291		6,139			114,704
Redeemed	(25,624	)		(467,796	)	(48,674	)		(958,785	)

Net change	(25,469	)	$	(465,001	)	(41,742	)	$	(828,634	)

Class C
Issued from the sale of shares	1,095,866		$	19,907,527		3,014,013		$	59,777,822
Issued in connection with the reinvestment of distributions	6,880			125,289		214,242			3,952,587
Redeemed	(406,801	)		(7,420,413	)	(201,413	)		(3,932,222	)

Net change	695,945		$	12,612,403		3,026,842		$	59,798,187

Class Y
Issued from the sale of shares	240,298		$	5,148,538		762,265		$	17,289,800
Issued in connection with the reinvestment of distributions	2,290			48,902		148,825			3,209,042
Redeemed	(589,894	)		(12,553,654	)	(296,205	)		(6,605,253	)

Net change	(347,306	)	$	(7,356,214	)	614,885		$	13,893,589

Increase (decrease) from capital share transactions	477,226		$	7,843,864		6,361,400		$	132,132,840

83 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


	Six Months Ended June 30, 2015					Year Ended December 30, 2014
Natixis Oakmark International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	26,636,652		$	351,973,405		43,808,176		$	590,904,771
Issued in connection with the reinvestment of distributions	325,808			4,372,339		1,654,360			20,974,239
Redeemed	(8,798,700	)		(114,429,814	)	(18,741,882	)		(243,326,691	)

Net change	18,163,760		$	241,915,930		26,720,654		$	368,552,319

Class C
Issued from the sale of shares	7,071,967		$	91,682,452		13,563,541		$	180,784,363
Issued in connection with the reinvestment of distributions	119,536			1,575,482		564,157			7,051,208
Redeemed	(3,023,049	)		(38,522,543	)	(4,930,036	)		(62,910,330	)

Net change	4,168,454		$	54,735,391		9,197,662		$	124,925,241

Increase (decrease) from capital share transactions	22,332,214		$	296,651,321		35,918,316		$	493,477,560

| 84

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


	Six Months Ended June 30, 2015					Year Ended December 30, 2014
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	230,833		$	4,898,207		447,060		$	9,835,856
Issued in connection with the reinvestment of distributions	70,958			1,538,463		817,956			17,011,106
Redeemed	(615,455	)		(13,112,704	)	(2,038,618	)		(45,649,192	)

Net change	(313,664	)	$	(6,676,034	)	(773,602	)	$	(18,802,230	)

Class B
Issued from the sale of shares	43		$	647		7,619		$	133,164
Issued in connection with the reinvestment of distributions	663			10,629		13,951			220,076
Redeemed	(45,285	)		(706,045	)	(85,671	)		(1,490,851	)

Net change	(44,579	)	$	(694,769	)	(64,101	)	$	(1,137,611	)

Class C
Issued from the sale of shares	33,540		$	530,111		109,154		$	1,768,690
Issued in connection with the reinvestment of distributions	24,868			398,384		281,983			4,396,718
Redeemed	(241,970	)		(3,814,849	)	(401,405	)		(6,855,018	)

Net change	(183,562	)	$	(2,886,354	)	(10,268	)	$	(689,610	)

Class Y
Issued from the sale of shares	677,358		$	14,858,120		1,798,226		$	41,246,189
Issued in connection with the reinvestment of distributions	97,874			2,173,784		1,028,472			21,777,987
Redeemed	(757,961	)		(16,490,491	)	(1,660,679	)		(37,463,927	)

Net change	17,271		$	541,413		1,166,019		$	25,560,249

Increase (decrease) from capital share transactions	(524,534	)	$	(9,715,744	)	318,048		$	4,930,798

85 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


	Six Months Ended June 30, 2015					Year Ended December 30, 2014
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,565,411		$	35,180,435		3,237,031		$	67,850,893
Issued in connection with the reinvestment of distributions	18,773			428,217		248,216			5,263,321
Redeemed	(973,253	)		(21,324,129	)	(3,327,984	)		(71,812,258	)

Net change	610,931		$	14,284,523		157,263		$	1,301,956

Class C
Issued from the sale of shares	1,041,129		$	22,670,539		740,584		$	15,300,207
Issued in connection with the reinvestment of distributions	9,469			207,561		97,107			1,986,798
Redeemed	(156,730	)		(3,360,065	)	(133,887	)		(2,764,527	)

Net change	893,868		$	19,518,035		703,804		$	14,522,478

Class N
Issued from the sale of shares	1,923,394		$	42,398,783		561,402		$	12,347,954
Issued in connection with the reinvestment of distributions	13,185			303,911		36,678			785,557
Redeemed	(124,413	)		(2,855,380	)	(38,796	)		(817,090	)

Net change	1,812,166		$	39,847,314		559,284		$	12,316,421

Class Y
Issued from the sale of shares	11,469,797		$	260,546,424		17,284,818		$	372,678,420
Issued in connection with the reinvestment of distributions	157,711			3,638,402		1,747,547			37,469,538
Redeemed	(4,666,676	)		(103,392,415	)	(5,903,464	)		(127,760,494	)

Net change	6,960,832		$	160,792,411		13,128,901		$	282,387,464

Increase (decrease) from capital share transactions	10,277,797		$	234,442,283		14,549,252		$	310,528,319

| 86

SEMIANNUAL REPORT

June 30, 2015

LOGO

McDonnell Intermediate Municipal Bond Fund

Natixis Diversified Income Fund

Natixis U.S. Equity Opportunities Fund

Seeyond^SM Multi-Asset Allocation Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 16

Financial Statements page 48

Notes to Financial Statements page 68

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.

Average Annual Total Returns — June 30, 2015⁴



	6 Months			1 Year			Life of Fund

Class A (Inception 12/31/12)¹
NAV		-0.20	%		1.80	%		1.21	%
With 3.50% Maximum Sales Charge		-3.67			-1.79			-0.23

Class C (Inception 12/31/12)¹
NAV		-0.48			1.15			0.47
With CDSC²		-1.47			0.15			0.47

Class Y (Inception 12/31/12)¹
NAV		0.02			2.17			1.56

Comparative Performance
Barclays 3-15 Year Blend Municipal Bond Index³		0.17			2.40			2.29

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. It is not possible to invest directly in an index.

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.

1 |

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.

| 2

NATIXIS DIVERSIFIED INCOME FUND

Average Annual Total Returns — June 30, 2015⁵



	6 Months			1 Year			5 Years			Life of Class
Class A (Inception 11/17/05)										Class A/C			Class Y
NAV		-2.24	%		0.81	%		9.68	%		6.64	%		—	%
With 4.50% Maximum Sales Charge		-6.61			-3.71			8.66			6.13			—

Class C (Inception 11/17/05)
NAV		-2.63			0.03			8.85			5.84			—
With CDSC²		-3.60			-0.96			8.85			5.84			—

Class Y (Inception 12/3/12)¹
NAV		-2.20			0.99			9.71			—			6.89

Comparative Performance
Barclays U.S. Aggregate Bond Index³		-0.10			1.86			3.35			4.73			1.39
Blended Index⁴		-2.20			1.92			8.82			6.30			5.96

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.

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.

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.

3 |

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.

Average Annual Total Returns — June 30, 2015⁴



	6 Months			1 Year			5 Years			10 Years

Class A (Inception 7/7/94)
NAV		2.90	%		7.89	%		18.44	%		9.65	%
With 5.75% Maximum Sales Charge		-3.01			1.70			17.04			9.00

Class B (Inception 7/7/94)
NAV		2.49			7.10			17.55			8.84
With CDSC¹		-2.51			3.51			17.34			8.84

Class C (Inception 7/7/94)
NAV		2.49			7.08			17.54			8.83
With CDSC¹		1.49			6.36			17.54			8.83

Class Y (Inception 11/15/94)
NAV		3.00			8.16			18.74			9.96

Comparative Performance
S&P 500^® Index²		1.23			7.42			17.34			7.89
Russell 1000^® Index³		1.71			7.37			17.58			8.13

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.

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.

| 4

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.

5 |

Total Returns — June 30, 2015⁴



	6 Months			Life of Fund

Class A (Inception 7/23/14)
NAV		0.37	%		-2.84	%
With 5.75% Maximum Sales Charge		-5.40			-8.43

Class C (Inception 7/23/14)
NAV		-0.05			-3.55
With CDSC¹		-1.03			-4.50

Class Y (Inception 7/23/14)
NAV		0.47			-2.64

Comparative Performance
MSCI ACWI (Net)²		2.66			-0.22
Blended Index³		0.00			-3.69

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.

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.

| 6

ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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, 2015 is available from the Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

7 |

UNDERSTANDING FUND EXPENSES

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

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


MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$998.00		$3.96
Hypothetical (5% return before expenses)		$1,000.00		$1,020.83		$4.01
Class C
Actual		$1,000.00		$995.20		$7.67
Hypothetical (5% return before expenses)		$1,000.00		$1,017.11		$7.75
Class Y
Actual		$1,000.00		$1,000.20		$2.73
Hypothetical (5% return before expenses)		$1,000.00		$1,022.07		$2.76

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period).

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NATIXIS DIVERSIFIED INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$977.60		$5.10
Hypothetical (5% return before expenses)		$1,000.00		$1,019.64		$5.21
Class C
Actual		$1,000.00		$973.70		$8.81
Hypothetical (5% return before expenses)		$1,000.00		$1,015.87		$9.00
Class Y
Actual		$1,000.00		$978.00		$3.92
Hypothetical (5% return before expenses)		$1,000.00		$1,020.83		$4.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) : 1.04%, 1.80% and 0.80% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period) .


NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,029.00		$6.29
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.26
Class B
Actual		$1,000.00		$1,024.90		$9.99
Hypothetical (5% return before expenses)		$1,000.00		$1,014.93		$9.94
Class C
Actual		$1,000.00		$1,024.90		$10.04
Hypothetical (5% return before expenses)		$1,000.00		$1,014.88		$9.99
Class Y
Actual		$1,000.00		$1,030.00		$5.03
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01

Expenses are equal to the Fund’s annualized expense ratio: 1.25%, 1.99%, 2.00% and 1.00% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period) .

9 |


SEEYOND MULTI-ASSET ALLOCATION FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,003.70		$6.61
Hypothetical (5% return before expenses)		$1,000.00		$1,018.20		$6.66
Class C
Actual		$1,000.00		$999.50		$10.31
Hypothetical (5% return before expenses)		$1,000.00		$1,014.48		$10.39
Class Y
Actual		$1,000.00		$1,004.70		$5.32
Hypothetical (5% return before expenses)		$1,000.00		$1,019.49		$5.36

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including interest expense: 1.33%, 2.08% and 1.07% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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

11 |

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

For the Natixis Diversified Income Fund, the Trustees considered that the Fund’s investment adviser had proposed certain changes to the Fund’s name, investment strategy and management structure, including the consolidation of multiple sub-advised sleeves of the Fund under day to day management of one sub-adviser. The Trustees noted that the proposed changes would not result in any decrease in the services provided to, or increase in the total advisory and sub-advisory fees payable by, the Fund.

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

| 12

also measured the performance of the Funds on a risk adjusted basis. With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of the McDonnell Intermediate Municipal Bond Fund, the performance of which lagged that of a relevant peer group median and category median, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund had a limited operating history; and (3) all things being equal, the proposed decrease in the Fund’s expense cap would help to improve relative performance because of the narrow dispersion of returns among peer funds.

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

13 |

management believed justified the relatively higher advisory fee rate, including: (1) the complexity of managing a Fund with two investment disciplines; (2) that the Fund has achieved excess performance returns during the one, three, five and ten year periods relative to the medians of a peer group of funds; and (3) that management had proposed to reduce the expense cap of the Fund. The Trustees also noted that the Natixis U.S. Equity Opportunities Fund had a net expense ratio that was above the median of a peer group of funds, but noted that the Fund’s current net expense ratio has improved relative to its peer group median.

The Trustees also considered the proposed change to the Natixis Diversified Income Fund described above.

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

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

| 14

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

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

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, with the reduction in expense caps for the Natixis Diversified Income Fund, the McDonnell Intermediate Municipal Bond Fund and the Natixis U.S. Equity Opportunities Fund described above, should be continued through June 30, 2016.

15 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 93.0% of Net Assets
	Municipals — 93.0%
		Alaska — 2.2%
$	600,000	Alaska Municipal Bond Bank Authority Revenue, Refunding, 2011 Series Three, 5.000%, 9/01/2020	$	697,278

		California — 4.9%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		296,868
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		454,400
	700,000	Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035		780,010

				1,531,278

		Colorado — 7.4%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		294,278
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		447,392
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		471,036
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		599,365
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		514,080

				2,326,151

		Connecticut — 1.2%
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		385,174

		Florida — 15.2%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		574,950
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		445,576
	500,000	JEA Water & Sewer System Revenue, Series A, 5.000%, 10/01/2016		527,690
	250,000	Miami Beach Health Facilities Authority Revenue, Mt. Sinai Medical Center, Refunding, 5.000%, 11/15/2025		285,482
	750,000	Miami-Dade County Aviation Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2017		813,375
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		470,460
	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022		715,782
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		480,600
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025		463,284

				4,777,199

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of June 30, 2015 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Georgia — 2.8%
$	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021	$	580,390
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		289,665

				870,055

		Hawaii — 1.3%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		419,572

		Illinois — 4.5%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028		410,249
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		569,315
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		114,657
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		320,000

				1,414,221

		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		311,339

		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		162,375

		Michigan — 1.7%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		553,333

		Minnesota — 2.6%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		265,635
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		321,084
	200,000	Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023		233,944

				820,663

		Missouri — 4.2%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		820,218
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		516,660

				1,336,878

		Nebraska — 1.8%
	500,000	Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028		564,510

		Nevada — 1.9%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		592,190

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		New Jersey — 4.6%
$	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023	$	308,934
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		560,265
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		592,165

				1,461,364

		New Mexico — 1.8%
	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031		559,120

		New York — 1.2%
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		373,793

		Ohio — 8.6%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		450,128
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		604,265
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		574,655
	500,000	Little Miami School District, GO, Prerefunded 12/01/2016@ 100, (AGM insured), 5.000%, 12/01/2026		530,830
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		556,450

				2,716,328

		Pennsylvania — 3.6%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		381,542
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		298,261
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		467,865

				1,147,668

		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		598,260

		South Dakota — 1.6%
	465,000	Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036		498,201

		Texas — 10.6%
	250,000	Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021		291,445
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		411,140
	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		599,590
	500,000	Keller Independent School District, GO, Refunding, Series A, (PSF-GTD), 5.000%, 8/15/2022		596,000
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		410,819

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2015 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Texas — continued
$	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024	$	470,100
	500,000	West Harris County Regional Water Authority, Water System Revenue, Refunding, (AGM insured), 4.000%, 12/15/2019		552,605

				3,331,699

		Utah — 0.9%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		289,428

		Washington — 5.0%
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		548,210
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		455,568
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		576,765

				1,580,543

		Total Bonds and Notes (Identified Cost $28,841,494)		29,318,620

	Short-Term Investments — 6.1%
	1,922,535	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $1,922,536 on 7/01/2015 collateralized by $1,935,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $1,961,436 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,922,535)		1,922,535


		Total Investments — 99.1% (Identified Cost $30,764,029)(a)		31,241,155
		Other assets less liabilities — 0.9%		268,899

		Net Assets — 100.0%	$	31,510,054


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2015, the net unrealized appreciation on investments based on a cost of $30,764,029 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	$	519,491
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(42,365	)

		Net unrealized appreciation	$	477,126


	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.

19 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)

Holdings Summary at June 30, 2015 (Unaudited)


Higher Education	14.7	%
Medical	14.7
Water	10.2
General	9.6
General Obligation	9.4
School District	9.4
Power	7.7
Transportation	7.5
Airport	5.0
Utilities	2.6
Bond Bank	2.2
Short-Term Investments	6.1

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund


Shares		Description	Value (†)
	Common Stocks — 51.4% of Net Assets
		Aerospace & Defense — 0.8%
	6,712	Lockheed Martin Corp.	$	1,247,761

		Banks — 1.2%
	6,512	Bank of Hawaii Corp.		434,220
	5,577	BB&T Corp.		224,809
	8,170	F.N.B. Corp.		116,995
	7,887	First Niagara Financial Group, Inc.		74,453
	7,464	FirstMerit Corp.		155,475
	9,796	People’s United Financial, Inc.		158,793
	8,502	Trustmark Corp.		212,380
	7,658	United Bankshares, Inc.		308,081
	10,244	Valley National Bancorp		105,616

				1,790,822

		Beverages — 0.2%
	7,261	Coca-Cola Co. (The)		284,849

		Biotechnology — 0.1%
	18,615	PDL BioPharma, Inc.		119,694

		Capital Markets — 0.1%
	6,480	Federated Investors, Inc., Class B		217,015

		Chemicals — 0.1%
	5,974	Olin Corp.		160,999

		Commercial Services & Supplies — 0.6%
	7,422	Pitney Bowes, Inc.		154,452
	11,838	R.R. Donnelley & Sons Co.		206,336
	6,158	Republic Services, Inc.		241,209
	6,447	Waste Management, Inc.		298,818

				900,815

		Containers & Packaging — 0.7%
	5,974	Avery Dennison Corp.		364,055
	10,081	Greif, Inc., Class A		361,404
	6,386	Sonoco Products Co.		273,704

				999,163

		Distributors — 0.3%
	5,877	Genuine Parts Co.		526,168

		Diversified Financial Services — 0.6%
	9,165	CME Group, Inc.		852,895

		Diversified Telecommunication Services — 0.6%
	12,714	AT&T, Inc.		451,601
	13,502	CenturyLink, Inc.		396,689

				848,290

		Electric Utilities — 3.4%
	8,539	American Electric Power Co., Inc.		452,311
	6,501	Cleco Corp.		350,079

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Shares		Description	Value (†)
		Electric Utilities — continued
	5,941	Edison International	$	330,201
	9,806	Entergy Corp.		691,323
	7,546	Eversource Energy		342,664
	8,593	Exelon Corp.		269,992
	9,296	FirstEnergy Corp.		302,585
	8,369	Great Plains Energy, Inc.		202,195
	6,922	IDACORP, Inc.		388,601
	6,935	NextEra Energy, Inc.		679,838
	7,072	OGE Energy Corp.		202,047
	8,495	Pinnacle West Capital Corp.		483,281
	10,467	PPL Corp.		308,462
	8,341	Xcel Energy, Inc.		268,413

				5,271,992

		Electrical Equipment — 0.6%
	7,290	Eaton Corp. PLC		492,002
	7,471	Emerson Electric Co.		414,118

				906,120

		Energy Equipment & Services — 1.0%
	5,898	Ensco PLC, Class A		131,348
	9,406	Helmerich & Payne, Inc.		662,370
	8,438	National Oilwell Varco, Inc.		407,387
	23,484	Noble Corp. PLC		361,419

				1,562,524

		Food & Staples Retailing — 0.2%
	6,893	Sysco Corp.		248,837

		Food Products — 0.4%
	6,158	Campbell Soup Co.		293,429
	6,997	General Mills, Inc.		389,873

				683,302

		Gas Utilities — 0.5%
	9,622	AGL Resources, Inc.		448,000
	6,820	New Jersey Resources Corp.		187,891
	8,123	Questar Corp.		169,852

				805,743

		Hotels, Restaurants & Leisure — 1.5%
	7,863	Darden Restaurants, Inc.		558,902
	24,000	Extended Stay America, Inc.		450,480
	21,700	Hilton Worldwide Holdings, Inc.(b)		597,835
	7,899	McDonald’s Corp.		750,958

				2,358,175

		Household Durables — 0.8%
	8,553	Garmin Ltd.		375,734
	6,212	Leggett & Platt, Inc.		302,400
	9,043	Tupperware Brands Corp.		583,635

				1,261,769

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Shares		Description	Value (†)
		Household Products — 0.9%
	6,078	Clorox Co. (The)	$	632,234
	7,456	Kimberly-Clark Corp.		790,112

				1,422,346

		Industrial Conglomerates — 0.1%
	8,056	General Electric Co.		214,048

		Insurance — 0.9%
	7,071	Arthur J. Gallagher & Co.		334,458
	7,782	Cincinnati Financial Corp.		390,501
	9,914	Mercury General Corp.		551,714
	11,097	Old Republic International Corp.		173,446

				1,450,119

		Leisure Products — 0.2%
	13,619	Mattel, Inc.		349,872

		Media — 0.4%
	5,346	Cinemark Holdings, Inc.		214,749
	7,567	Meredith Corp.		394,619

				609,368

		Metals & Mining — 0.1%
	7,222	Commercial Metals Co.		116,130

		Multi-Utilities — 4.0%
	8,047	Alliant Energy Corp.		464,473
	9,015	Avista Corp.		276,310
	7,420	Black Hills Corp.		323,883
	10,674	CenterPoint Energy, Inc.		203,126
	7,794	CMS Energy Corp.		248,161
	8,311	Dominion Resources, Inc.		555,756
	7,791	DTE Energy Co.		581,520
	5,601	NiSource, Inc.		255,350
	8,505	NorthWestern Corp.		414,619
	7,814	PG&E Corp.		383,667
	8,556	Public Service Enterprise Group, Inc.		336,080
	9,207	SCANA Corp.		466,334
	5,819	Sempra Energy		575,732
	10,656	TECO Energy, Inc.		188,185
	17,667	WEC Energy Group, Inc.		794,476

				6,067,672

		Oil, Gas & Consumable Fuels — 1.9%
	9,120	Chevron Corp.		879,807
	10,508	ConocoPhillips		645,296
	7,264	HollyFrontier Corp.		310,100
	8,555	Occidental Petroleum Corp.		665,322
	11,578	ONEOK, Inc.		457,100

				2,957,625

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Shares		Description	Value (†)
		Paper & Forest Products — 0.2%
	8,088	Domtar Corp.	$	334,843

		Pharmaceuticals — 1.0%
	4,976	Bristol-Myers Squibb Co.		331,103
	6,445	Eli Lilly & Co.		538,093
	7,083	Merck & Co., Inc.		403,235
	7,346	Pfizer, Inc.		246,312

				1,518,743

		Real Estate — 0.2%
	14,200	American Homes 4 Rent, Class A		227,768

		Real Estate Management & Development — 0.9%
	13,000	Alexander & Baldwin, Inc.		512,200
	38,300	Forest City Enterprises, Inc., Class A(b)		846,430

				1,358,630

		REITs – Apartments — 4.2%
	15,500	American Campus Communities, Inc.		584,195
	13,300	AvalonBay Communities, Inc.		2,126,271
	13,000	Camden Property Trust		965,640
	40,300	Equity Residential		2,827,851

				6,503,957

		REITs – Diversified — 2.1%
	16,500	American Assets Trust, Inc.		646,965
	26,900	DuPont Fabros Technology, Inc.		792,205
	24,650	Gramercy Property Trust, Inc.		576,071
	12,800	Liberty Property Trust		412,416
	17,800	STORE Capital Corp.		357,780
	5,200	Vornado Realty Trust		493,636

				3,279,073

		REITs – Health Care — 2.8%
	37,800	HCP, Inc.		1,378,566
	24,600	Health Care REIT, Inc.		1,614,498
	19,800	Ventas, Inc.		1,229,382

				4,222,446

		REITs – Hotels — 1.3%
	17,700	Chatham Lodging Trust		468,519
	48,300	Host Hotels & Resorts, Inc.		957,789
	21,100	RLJ Lodging Trust		628,358

				2,054,666

		REITs – Manufactured Homes — 0.5%
	14,200	Equity Lifestyle Properties, Inc.		746,636

		REITs – Office Property — 3.8%
	34,100	BioMed Realty Trust, Inc.		659,494
	18,800	Boston Properties, Inc.		2,275,552
	17,100	Douglas Emmett, Inc.		460,674
	5,700	Easterly Government Properties, Inc.		90,744

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Shares		Description	Value (†)
		REITs – Office Property — continued
	27,100	Empire State Realty Trust, Inc., Class A	$	462,326
	7,500	Kilroy Realty Corp.		503,625
	33,900	Paramount Group, Inc.		581,724
	47,600	Piedmont Office Realty Trust, Inc., Class A		837,284

				5,871,423

		REITs – Regional Malls — 4.3%
	6,800	Macerich Co. (The)		507,280
	25,900	Simon Property Group, Inc.		4,481,218
	15,500	Tanger Factory Outlet Centers, Inc.		491,350
	15,900	Taubman Centers, Inc.		1,105,050

				6,584,898

		REITs – Shopping Centers — 2.0%
	23,300	Acadia Realty Trust		678,263
	50,600	DDR Corp.		782,276
	9,400	Federal Realty Investment Trust		1,204,046
	27,100	Retail Opportunity Investments Corp.		423,302

				3,087,887

		REITs – Single Tenant — 0.3%
	12,600	National Retail Properties, Inc.		441,126

		REITs – Storage — 2.3%
	27,000	CubeSmart		625,320
	11,600	Extra Space Storage, Inc.		756,552
	11,600	Public Storage		2,138,692

				3,520,564

		REITs – Warehouse/Industrials — 1.6%
	52,700	ProLogis, Inc.		1,955,170
	35,800	Rexford Industrial Realty, Inc.		521,964

				2,477,134

		Semiconductors & Semiconductor Equipment — 0.1%
	6,550	Intel Corp.		199,218

		Specialty Retail — 0.2%
	11,536	Guess?, Inc.		221,145
	6,659	Staples, Inc.		101,949

				323,094

		Technology Hardware, Storage & Peripherals — 0.3%
	8,765	Seagate Technology PLC		416,338

		Thrifts & Mortgage Finance — 0.2%
	13,377	New York Community Bancorp, Inc.		245,869

		Tobacco — 0.9%
	8,787	Altria Group, Inc.		429,772
	11,340	Philip Morris International, Inc.		909,128

				1,338,900

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Shares		Description	Value (†)
		Trading Companies & Distributors — 0.0%
	176	United Rentals, Inc.(b)	$	15,421

		Total Common Stocks (Identified Cost $76,095,611)		79,002,747


Principal Amount (‡)
	Bonds and Notes — 46.3%
	Non-Convertible Bonds — 44.3%
		ABS Car Loan — 1.0%
$	125,000	CarNow Auto Receivables Trust, Series 2014-1A, Class C, 2.810%, 11/15/2018, 144A		124,976
	100,000	CPS Auto Receivables Trust, Series 2014-C, Class C, 3.770%, 8/17/2020, 144A		99,945
	185,000	CPS Auto Receivables Trust, Series 2015-A, Class C, 4.000%, 2/16/2021, 144A		184,807
	160,000	CPS Auto Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		162,177
	130,000	DT Auto Owner Trust, Series 2015-1A, Class D, 4.260%, 2/15/2022, 144A		130,571
	95,000	DT Auto Owner Trust, Series 2014-2A, Class D, 3.680%, 4/15/2021, 144A		95,492
	135,000	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A		136,684
	35,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A		34,858
	85,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		84,775
	55,000	First Investors Auto Owner Trust, Series 2014-3A, Class D, 3.850%, 2/15/2022, 144A		55,354
	130,000	Flagship Credit Auto Trust, Series 2013-2, Class C, 4.420%, 12/16/2019, 144A		133,806
	40,000	Flagship Credit Auto Trust, Series 2014-2, Class C, 3.950%, 12/15/2020, 144A		40,567
	95,000	Prestige Auto Receivables Trust, Series 2015-1, Class D, 3.050%, 4/15/2021, 144A		94,668
	95,000	Santander Drive Auto Receivables Trust, Series 2014-4, Class D, 3.100%, 11/16/2020		95,698

				1,474,378

		ABS Home Equity — 2.6%
	47,835	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		49,566
	165,000	American Homes 4 Rent, Series 2014-SFR1, Class D, 2.350%, 6/17/2031, 144A(c)		161,837
	48,527	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		49,897
	78,220	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		80,024
	120,172	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.478%, 11/20/2034(c)		115,755
	16,238	Banc of America Funding Trust, Series 2005-4, Class 1A3, 5.500%, 8/25/2035		16,487
	58,255	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		59,706
	84,091	Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A2, 2.666%, 2/25/2034(c)		83,575
	26,557	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.673%, 2/25/2035(c)		25,895

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	3,560	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.640%, 1/25/2035(c)	$	3,499
	10,755	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.628%, 7/25/2034(c)(d)		10,452
	171,348	Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1, 0.385%, 6/25/2047, 144A(c)		157,798
	185,000	Colony American Homes, Series 2014-2A, Class D, 2.537%, 7/17/2031, 144A(c)		182,191
	150,591	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		153,833
	41,154	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		42,450
	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.095%, 5/25/2035(c)		24,924
	21,039	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.491%, 9/20/2034(c)		20,066
	34,375	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.457%, 4/25/2035(c)		29,759
	4,908	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028(d)		4,913
	425,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 2.387%, 2/25/2024(c)		425,480
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1.837%, 4/25/2024(c)		244,165
	10,465	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		10,514
	62,754	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.080%, 7/19/2035(c)		59,614
	58,210	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.816%, 12/25/2034(c)		56,066
	80,044	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.741%, 12/25/2034(c)		79,402
	164,116	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.716%, 9/25/2035(c)		165,323
	101,050	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.577%, 5/19/2034(c)		100,610
	10,370	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.827%, 7/25/2045(c)		8,956
	100,000	Invitation Homes Trust, Series 2014-SFR1, Class C, 2.285%, 6/17/2031, 144A(c)		99,853
	225,000	Invitation Homes Trust, Series 2014-SFR3, Class D, 3.185%, 12/17/2031, 144A(c)		224,536
	66,729	JPMorgan Mortgage Trust, Series 2005-A1, Class 6T1, 2.594%, 2/25/2035(c)		66,511
	37,796	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 2.664%, 6/25/2035(c)		38,198
	41,580	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		43,146
	42,466	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		44,109
	58,469	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		59,433
	44,021	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.603%, 5/25/2036(c)		39,750
	32,901	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.656%, 9/25/2034(c)		32,555
	93,471	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		97,377

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	12,326	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-21XS, Class 1A5, 5.000%, 12/25/2034(c)(d)	$	12,497
	166,956	U.S. Residential Opportunity Fund Trust, Series 2015-1IV, Class A, 3.721%, 2/27/2035, 144A		166,841
	333,800	VOLT XXII LLC, Series 2015-NPL4, Class A1, 3.500%, 2/25/2055, 144A(c)		333,347
	28,809	WaMu Mortgage Pass Through Certificates, Series 2004-AR1, Class A, 2.439%, 3/25/2034(c)		28,887
	64,154	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		66,683
	20,286	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.918%, 4/25/2047(c)		17,738
	66,905	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.640%, 2/25/2034(c)		66,941
	39,423	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		40,179
	33,354	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.652%, 6/25/2035(c)		33,577

				3,934,915

		ABS Other — 1.7%
	356,310	AIM Aviation Finance Ltd., Series 2015-1A, Class A1, 4.213%, 2/15/2040, 144A(c)		352,853
	360,000	Crown Castle Towers LLC, 3.663%, 5/15/2045, 144A		352,717
	130,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A		130,357
	120,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A		120,672
	100,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A		100,779
	145,000	OneMain Financial Issuance Trust, Series 2015-1A, Class B, 3.850%, 3/18/2026, 144A		148,924
	165,000	OneMain Financial Issuance Trust, Series 2015-2A, Class B, 3.100%, 7/18/2025, 144A		165,512
	225,000	SpringCastle America Funding LLC, Series 2014-AA, Class B, 4.610%, 10/25/2027, 144A		230,113
	280,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		280,196
	170,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		170,212
	100,000	Springleaf Funding Trust, Series 2014-AA, Class B, 3.450%, 12/15/2022, 144A		100,377
	180,000	Springleaf Funding Trust, Series 2015-AA, Class B, 3.620%, 11/15/2024, 144A		181,903
	188,333	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		189,883

				2,524,498

		ABS Student Loan — 0.2%
	283,715	SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A		283,824

		Aerospace & Defense — 0.3%
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		192,000
	300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		322,500

				514,500

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines — 1.9%
$	46,423	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A	$	47,467
	57,234	American Airlines Pass Through Trust, Series 2014-1, Class B, 4.375%, 4/01/2024		57,822
	454,000	American Airlines Pass Through Trust, Series 2015-1, Class B, 3.700%, 11/01/2024		446,159
	157,694	British Airways Pass Through Trust, Series 2013-1, Class B, 5.625%, 12/20/2021, 144A		166,590
	17,217	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		17,835
	80,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		83,400
	25,322	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		28,708
	12,128	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		13,522
	655,000	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025, 144A		641,507
	669,111	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		717,622
	195,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		195,901
	255,000	United Airlines Pass Through Trust, Series 2014-2, Class A, 3.750%, 3/03/2028		253,664
	112,074	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		126,644
	99,455	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		112,385

				2,909,226

		Automotive — 0.8%
	165,000	General Motors Co., 5.200%, 4/01/2045		163,423
	360,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		352,746
	320,000	General Motors Financial Co., Inc., 4.000%, 1/15/2025		313,993
	150,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		155,685
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		42,400
	220,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A		212,989

				1,241,236

		Banking — 4.2%
	90,000	Ally Financial, Inc., 5.125%, 9/30/2024		90,225
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		76,640
	600,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		181,789
	200,000	Bank of America Corp., MTN, 4.200%, 8/26/2024		199,518
	116,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		113,634
	155,000	Citigroup, Inc., 3.875%, 3/26/2025		148,475
	355,000	Citigroup, Inc., 5.500%, 9/13/2025		383,683
	230,000	Credit Agricole S.A., 4.375%, 3/17/2025, 144A		220,621
	100,000	HBOS PLC, 6.000%, 11/01/2033, 144A		107,738
	200,000	ING Bank NV, 5.800%, 9/25/2023, 144A		218,381
	520,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		505,203
	280,000	Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A		277,760
	400,000	JPMorgan Chase & Co., 3.875%, 9/10/2024		393,562
	75,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		73,746

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	440,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024	$	440,259
	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		114,196
	275,000	Morgan Stanley, 3.950%, 4/23/2027		259,294
	65,000	Morgan Stanley, 5.000%, 11/24/2025		68,046
	175,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		146,403
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		79,520
	720,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		721,346
	40,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		44,482
	375,000	Societe Generale S.A., 4.250%, 4/14/2025, 144A		350,636
	520,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A		520,705
	680,000	Standard Chartered PLC, 5.200%, 1/26/2024, 144A		712,014

				6,447,876

		Brokerage — 0.4%
	140,000	Jefferies Group LLC, 5.125%, 1/20/2023		144,532
	65,000	Jefferies Group LLC, 6.250%, 1/15/2036		64,454
	20,000	Jefferies Group LLC, 6.450%, 6/08/2027		21,715
	275,000	Jefferies Group LLC, 6.500%, 1/20/2043		268,678
	95,000	Jefferies Group LLC, 6.875%, 4/15/2021		108,738

				608,117

		Building Materials — 0.5%
	248,000	Masco Corp., 4.450%, 4/01/2025		248,620
	30,000	Masco Corp., 5.950%, 3/15/2022		33,675
	40,000	Masco Corp., 6.500%, 8/15/2032		42,200
	20,000	Masco Corp., 7.750%, 8/01/2029		23,100
	200,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		152,940
	300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		69,956
	225,000	Owens Corning, 4.200%, 12/01/2024		220,853

				791,344

		Cable Satellite — 0.8%
	350,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		347,480
	10,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		9,750
	120,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		116,700
	315,000	Cox Communications, Inc., 3.850%, 2/01/2025, 144A		302,730
	260,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		212,083
	280,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		261,147
	40,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		38,725

				1,288,615

		Chemicals — 0.4%
	120,000	Albemarle Corp., 4.150%, 12/01/2024		119,612
	200,000	Hercules, Inc., 6.500%, 6/30/2029		182,000
	275,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		270,875
	25,000	Methanex Corp., 5.250%, 3/01/2022		26,746

				599,233

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Diversified Manufacturing — 0.1%
$	200,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A	$	196,250

		Diversified Operations — 0.1%
	140,000	Brixmor Operating Partnership LP, 3.850%, 2/01/2025		134,549

		Electric — 0.3%
	115,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		46,879
	88,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		35,602
	300,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		344,250

				426,731

		Finance Companies — 1.8%
	210,000	Air Lease Corp., 3.750%, 2/01/2022		209,874
	170,000	Air Lease Corp., 4.250%, 9/15/2024		168,725
	15,000	Aircastle Ltd., 5.500%, 2/15/2022		15,309
	130,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		148,481
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		85,296
	80,000	International Lease Finance Corp., 6.250%, 5/15/2019		86,500
	35,000	International Lease Finance Corp., 8.250%, 12/15/2020		41,563
	105,000	International Lease Finance Corp., 8.625%, 1/15/2022		128,100
	115,000	iStar Financial, Inc., 4.000%, 11/01/2017		112,988
	95,000	iStar Financial, Inc., 5.000%, 7/01/2019		93,694
	140,000	iStar Financial, Inc., 7.125%, 2/15/2018		145,768
	160,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		155,600
	58,000	Navient Corp., MTN, 6.125%, 3/25/2024		55,535
	30,000	Navient LLC, 4.875%, 6/17/2019		29,700
	354,000	Navient LLC, 5.500%, 1/25/2023		336,300
	5,000	Navient LLC, MTN, 5.500%, 1/15/2019		5,098
	180,000	Navient LLC, MTN, 7.250%, 1/25/2022		189,900
	65,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		64,756
	220,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		210,650
	115,000	Springleaf Finance Corp., 5.250%, 12/15/2019		113,419
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		303,800
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		124,025

				2,825,081

		Financial Other — 0.2%
	200,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		184,000
	105,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		105,787
	50,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		50,938

				340,725

		Food & Beverage — 0.2%
	280,000	BRF S.A., 3.950%, 5/22/2023, 144A		264,950

		Government Owned – No Guarantee — 0.7%
	59,000	Ecopetrol S.A., 5.875%, 9/18/2023		61,950
	85,000	Ecopetrol S.A., 5.875%, 5/28/2045		75,013
	315,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		304,123

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Government Owned – No Guarantee — continued
	52,400(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)	$	315,540
	250,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		245,625

				1,002,251

		Healthcare — 1.3%
	95,000	Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A		96,188
	45,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		44,550
	25,000	HCA, Inc., 7.050%, 12/01/2027		26,125
	75,000	HCA, Inc., 7.500%, 12/15/2023		82,500
	520,000	HCA, Inc., 7.500%, 11/06/2033		564,200
	310,000	HCA, Inc., 7.690%, 6/15/2025		351,850
	20,000	HCA, Inc., 8.360%, 4/15/2024		23,600
	140,000	HCA, Inc., MTN, 7.580%, 9/15/2025		154,700
	50,000	HCA, Inc., MTN, 7.750%, 7/15/2036		53,250
	255,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		255,000
	35,000	THC Escrow Corp. II, 6.750%, 6/15/2023, 144A		35,700
	345,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		356,212

				2,043,875

		Home Construction — 0.1%
	145,000	Lennar Corp., 4.750%, 11/15/2022		142,463

		Independent Energy — 1.3%
	10,000	California Resources Corp., 5.000%, 1/15/2020		8,800
	125,000	California Resources Corp., 5.500%, 9/15/2021		108,775
	120,000	California Resources Corp., 6.000%, 11/15/2024		103,200
	140,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		121,450
	5,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		4,525
	295,000	Continental Resources, Inc., 3.800%, 6/01/2024		269,276
	105,000	Continental Resources, Inc., 4.500%, 4/15/2023		101,242
	60,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		59,250
	35,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		32,375
	35,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		33,687
	70,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		67,112
	80,000	Newfield Exploration Co., 5.375%, 1/01/2026		79,200
	240,000	Newfield Exploration Co., 5.625%, 7/01/2024		242,400
	35,000	Newfield Exploration Co., 5.750%, 1/30/2022		35,525
	75,000	Noble Energy, Inc., 3.900%, 11/15/2024		73,947
	55,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		55,825
	15,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		15,375
	5,000	QEP Resources, Inc., 5.375%, 10/01/2022		4,829
	5,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		5,313
	40,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		42,700
	15,000	Rosetta Resources, Inc., 5.875%, 6/01/2024		16,162
	10,000	SM Energy Co., 5.000%, 1/15/2024		9,475
	50,000	SM Energy Co., 6.125%, 11/15/2022, 144A		51,385
	105,000	Southwestern Energy Co., 4.100%, 3/15/2022		102,998
	150,000	Southwestern Energy Co., 4.950%, 1/23/2025		151,546
	100,000	Talisman Energy, Inc., 3.750%, 2/01/2021		98,998

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	5,000	Whiting Petroleum Corp., 5.000%, 3/15/2019	$	4,900
	135,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		132,840

				2,033,110

		Integrated Energy — 0.2%
	310,000	Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A		224,750

		Life Insurance — 0.0%
	25,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		21,813

		Metals & Mining — 1.5%
	255,000	Alcoa, Inc., 5.900%, 2/01/2027		269,663
	40,000	Alcoa, Inc., 6.750%, 1/15/2028		44,500
	435,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		440,437
	225,000	ArcelorMittal, 7.500%, 3/01/2041		220,500
	100,000	ArcelorMittal, 7.750%, 10/15/2039		99,500
	505,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		470,545
	160,000	Glencore Funding LLC, 4.000%, 4/16/2025, 144A		148,833
	225,000	Glencore Funding LLC, 4.625%, 4/29/2024, 144A		222,998
	85,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A		79,622
	200,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		184,000
	145,000	Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A		152,272

				2,332,870

		Midstream — 1.2%
	200,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 5/15/2023		197,282
	300,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		294,750
	215,000	Energy Transfer Partners LP, 4.050%, 3/15/2025		202,743
	70,000	Energy Transfer Partners LP, 5.200%, 2/01/2022		73,292
	50,000	EnLink Midstream Partners LP, 4.400%, 4/01/2024		50,134
	100,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		108,294
	295,000	Kinder Morgan, Inc., 4.300%, 6/01/2025		284,791
	80,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		77,200
	85,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		92,474
	60,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		63,871
	100,000	Sunoco Logistics Partners Operations LP, 4.250%, 4/01/2024		97,104
	130,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A		128,700
	5,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		4,625
	35,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		34,650
	85,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		88,400
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,562

				1,813,872

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — 0.8%
$	100,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.735%, 11/10/2046, 144A(c)	$	106,599
	400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(c)		407,939
	260,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(c)		264,811
	100,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		100,868
	165,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C1, Class C, 6.421%, 6/15/2043, 144A(c)		176,252
	25,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c)		25,845
	100,000	SCG Trust, Series 2013-SRP1, Class D, 3.517%, 11/15/2026, 144A(c)		99,939
	60,000	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.648%, 2/15/2044, 144A(c)		64,314

				1,246,567

		Oil Field Services — 0.2%
	305,000	Rowan Cos., Inc., 4.750%, 1/15/2024		291,463
	60,000	Transocean, Inc., 4.300%, 10/15/2022		45,150
	10,000	Transocean, Inc., 6.875%, 12/15/2021		9,000

				345,613

		Paper — 0.2%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		245,856
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		5,924
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		37,514

				289,294

		Pharmaceuticals — 0.7%
	435,000	Actavis Funding SCS, 3.800%, 3/15/2025		427,310
	620,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		652,937
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		15,638
	10,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		10,625

				1,106,510

		Property & Casualty Insurance — 0.1%
	170,000	Old Republic International Corp., 4.875%, 10/01/2024		175,875

		REITs – Health Care — 0.6%
	195,000	HCP, Inc., 3.400%, 2/01/2025		183,078
	245,000	HCP, Inc., 3.875%, 8/15/2024		239,081
	315,000	HCP, Inc., 4.000%, 6/01/2025		308,386
	200,000	Ventas Realty LP, 3.500%, 2/01/2025		192,240

				922,785

		REITs – Shopping Centers — 0.3%
	285,000	DDR Corp., 3.625%, 2/01/2025		273,679
	120,000	Retail Opportunity Investments Partnership LP, 4.000%, 12/15/2024		118,730

				392,409

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Retailers — 0.7%
$	245,306	CVS Pass Through Trust, 4.704%, 1/10/2036, 144A	$	257,770
	202,311	CVS Pass Through Trust, 7.507%, 1/10/2032, 144A		254,919
	385,689	CVS Pass Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		386,553
	205,000	Dillard’s, Inc., 7.000%, 12/01/2028		226,525

				1,125,767

		Supermarkets — 0.2%
	220,000	Delhaize Group S.A., 5.700%, 10/01/2040		223,278

		Supranational — 0.9%
	33,450,000	European Bank for Reconstruction & Development, GMTN, 6.000%, 3/03/2016, (INR)		522,688
	136,000,000	International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)		214,868
	26,380,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		427,432
	415,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		128,247
	435,000	International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)		136,183

				1,429,418

		Technology — 1.9%
	470,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		485,275
	390,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		401,700
	440,000	Arrow Electronics, Inc., 4.000%, 4/01/2025		430,187
	90,000	Flextronics International Ltd., 4.750%, 6/15/2025, 144A		89,298
	195,000	Flextronics International Ltd., 5.000%, 2/15/2023		198,812
	435,000	Ingram Micro, Inc., 4.950%, 12/15/2024		444,631
	415,000	Jabil Circuit, Inc., 4.700%, 9/15/2022		419,150
	295,000	Keysight Technologies, Inc., 4.550%, 10/30/2024, 144A		284,732
	225,000	KLA-Tencor Corp., 4.125%, 11/01/2021		230,821

				2,984,606

		Treasuries — 12.2%
	20,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(f)		8,353
	20,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(f)		8,455
	10,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(f)		4,250
	15,000(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)		95,823
	60,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		397,504
	48,800(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		371,383
	10,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		251,719
	700,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		213,888
	351,643	U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2045(g)		321,204
	889,245	U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044(g)		949,269
	1,026,298	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(g)		1,446,760
	197,908	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2017(g)		200,598
	4,432,379	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2019(g)		4,489,863
	3,424,781	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020(g)		3,452,341

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Treasuries — continued
$	2,311,578	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2024(g)	$	2,254,330
	2,836,755	U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(g)		2,782,456
	1,480,000	U.S. Treasury Note, 0.625%, 7/15/2016		1,484,046

				18,732,242

		Wireless — 0.3%
	4,000,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		246,192
	190,000	Crown Castle International Corp., 4.875%, 4/15/2022		191,900

				438,092

		Wirelines — 1.4%
	545,000	AT&T, Inc., 3.400%, 5/15/2025		519,771
	10,000	CenturyLink, Inc., 5.625%, 4/01/2020		10,013
	80,000	CenturyLink, Inc., 7.650%, 3/15/2042		72,400
	240,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		217,500
	75,000	Embarq Corp., 7.995%, 6/01/2036		83,152
	80,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		79,400
	70,000	Level 3 Financing, Inc., 5.125%, 5/01/2023, 144A		68,687
	5,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		5,050
	35,000	Level 3 Financing, Inc., 6.125%, 1/15/2021		36,704
	75,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		79,594
	85,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		90,839
	400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		119,649
	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,125
	223,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		217,004
	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		43,700
	45,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		50,625
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		92,111

				2,214,374

		Total Non-Convertible Bonds (Identified Cost $68,481,747)		68,047,882


	Convertible Bonds — 2.0%
		Building Materials — 0.2%
	160,000	Lennar Corp., 3.250%, 11/15/2021, 144A		349,300

		Consumer Cyclical Services — 0.0%
	5,000	Jarden Corp., 1.125%, 3/15/2034		5,822
	30,000	Macquarie Infrastructure Corp., 2.875%, 7/15/2019		35,344

				41,166

		Consumer Products — 0.1%
	105,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		107,363
	45,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		46,153

				153,516

		Energy — 0.1%
	135,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		110,194

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Media Entertainment — 0.0%
$	60,000	Rovi Corp., 0.500%, 3/01/2020, 144A	$	54,825

		Midstream — 0.2%
	235,000	Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A		256,737

		Pharmaceuticals — 0.7%
	83,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		127,924
	92,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		146,510
	115,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021		142,456
	55,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		283,594
	70,000	Mylan, Inc., 3.750%, 9/15/2015		355,731

				1,056,215

		Property & Casualty Insurance — 0.1%
	95,000	Old Republic International Corp., 3.750%, 3/15/2018		112,159

		REITs – Mortgage — 0.0%
	5,000	Redwood Trust, Inc., 4.625%, 4/15/2018		4,794

		Technology — 0.6%
	45,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A		46,800
	140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		190,575
	35,000	Intel Corp., 2.950%, 12/15/2035		42,109
	70,000	Novellus Systems, Inc., 2.625%, 5/15/2041		166,469
	103,000	Nuance Communications, Inc., 1.500%, 11/01/2035		106,412
	40,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		65,125
	175,000	SunEdison, Inc., 2.375%, 4/15/2022, 144A		232,640
	40,000	SunEdison, Inc., 2.625%, 6/01/2023, 144A		40,500
	46,000	SunEdison, Inc., 3.375%, 6/01/2025, 144A		47,524

				938,154

		Total Convertible Bonds (Identified Cost $2,356,075)		3,077,060


	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)		38,105

		Total Bonds and Notes (Identified Cost $70,882,822)		71,163,047


Shares
	Preferred Stocks — 1.8%
	Convertible Preferred Stocks — 1.3%
		Banking — 0.1%
	19	Bank of America Corp., Series L, 7.250%		21,128
	70	Wells Fargo & Co., Series L, Class A, 7.500%		82,250

				103,378

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Shares		Description	Value (†)
		Consumer Non-Cyclical Services — 0.3%
	7,554	Tyson Foods, Inc., 4.750%	$	389,106

		Electric — 0.2%
	1,532	Dominion Resources, Inc., 6.375%		71,544
	1,013	Dominion Resources, Inc., Series A, 6.125%		54,287
	1,817	Dominion Resources, Inc., Series B, 6.000%		97,809
	1,871	NextEra Energy, Inc., 5.889%		115,460

				339,100

		Metals & Mining — 0.2%
	6,837	Alcoa, Inc., Series 1, 5.375%		270,267

		Midstream — 0.1%
	200	Chesapeake Energy Corp., 5.750%		136,125
	7	Chesapeake Energy Corp., 5.750%, 144A		4,764

				140,889

		Pharmaceuticals — 0.3%
	503	Allergan PLC, Series A, 5.500%		524,418

		REITs – Diversified — 0.1%
	441	Crown Castle International Corp., Series A, 4.500%		45,511
	2,595	Weyerhaeuser Co., Series A, 6.375%		134,940

				180,451

		REITs – Mortgage — 0.0%
	469	iStar Financial, Inc., Series J, 4.500%		26,728

		Total Convertible Preferred Stocks (Identified Cost $1,991,792)		1,974,337


	Non-Convertible Preferred Stocks — 0.5%
		Banking — 0.5%
	1,824	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		48,245
	144	Ally Financial, Inc., Series G, 7.000%, 144A		145,508
	4,125	Countrywide Capital IV, 6.750%		104,610
	20,424	SunTrust Banks, Inc., Series E, 5.875%		497,120

				795,483

		Total Non-Convertible Preferred Stocks (Identified Cost $770,209)		795,483


		Total Preferred Stocks (Identified Cost $2,762,001)		2,769,820


Principal Amount (‡)
	Senior Loans — 0.2%
		Retailers — 0.1%
$	124,796	Staples, Inc., Term Loan B, Zero Coupon, 4/07/2021(h)		124,510

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Supermarkets — 0.1%
$	78,408	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(c)	$	78,489

		Transportation Services — 0.0%
	24,750	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(c)		24,735

		Total Senior Loans (Identified Cost $226,799)		227,734


	Short-Term Investments — 0.7%
	853,426	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $853,427 on 7/01/2015 collateralized by $335,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $339,577; $105,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $106,435; $435,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $428,475 including accrued interest (Note 2 of Notes to Financial Statements)		853,426
	180,000	U.S. Treasury Bills, 0.056%, 8/06/2015(i)(j)		180,000

		Total Short-Term Investments (Identified Cost $1,033,417)		1,033,426


		Total Investments — 100.4% (Identified Cost $151,000,650)(a)		154,196,774
		Other assets less liabilities — (0.4)%		(623,869	)

		Net Assets — 100.0%	$	153,572,905


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2015, the net unrealized appreciation on investments based on a cost of $151,010,485 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	$	8,785,194
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,598,905	)

		Net unrealized appreciation	$	3,186,289


	(b)	Non-income producing security.
	(c)	Variable rate security. Rate as of June 30, 2015 is disclosed.
	(d)	Fair valued by the Fund’s adviser. At June 30, 2015, the value of these securities amounted to $27,862 or less than 0.1% of net assets.
	(e)	Perpetual bond with no specified maturity date.
	(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(g)	Treasury Inflation Protected Security (TIPS).

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Natixis Diversified Income Fund – (continued)



	(h)			Position is unsettled. Contract rate was not determined at June 30, 2015 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(i)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(j)			A portion of this security has been pledged as initial margin for potential futures activity.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015, the value of Rule 144A holdings amounted to $20,096,218 or 13.1% 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

	AUD			Australian Dollar
	BRL			Brazilian Real
	CLP			Chilean Peso
	COP			Colombian Peso
	EUR			Euro
	INR			Indian Rupee
	MXN			Mexican Peso
	PHP			Philippine Peso

Industry Summary at June 30, 2015 (Unaudited)


Treasuries	12.2	%
Banking	4.8
REITs – Regional Malls	4.3
REITs – Apartments	4.2
Multi-Utilities	4.0
REITs – Office Property	3.8
Electric Utilities	3.4
REITs – Health Care	3.4
Pharmaceuticals	2.7
ABS Home Equity	2.6
Technology	2.5
REITs – Storage	2.3
REITs – Shopping Centers	2.3
REITs – Diversified	2.2
Other Investments, less than 2% each	45.0
Short-Term Investments	0.7

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of as of June 30, 2015 (Unaudited)

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 97.2% of Net Assets
		Air Freight & Logistics — 4.4%
	253,194	Expeditors International of Washington, Inc.	$	11,673,509
	45,100	FedEx Corp.		7,685,040
	43,977	United Parcel Service, Inc., Class B		4,261,811

				23,620,360

		Automobiles — 1.4%
	231,700	General Motors Co.		7,722,561

		Banks — 6.6%
	862,200	Bank of America Corp.		14,674,644
	203,300	Citigroup, Inc.		11,230,292
	147,900	JPMorgan Chase & Co.		10,021,704

				35,926,640

		Beverages — 6.3%
	123,438	Coca-Cola Co. (The)		4,842,473
	58,800	Diageo PLC, Sponsored ADR		6,823,152
	122,103	Monster Beverage Corp.(b)		16,364,244
	119,768	SABMiller PLC, Sponsored ADR		6,255,482

				34,285,351

		Biotechnology — 0.8%
	28,203	Amgen, Inc.		4,329,725

		Capital Markets — 4.5%
	132,600	Franklin Resources, Inc.		6,501,378
	159,410	Greenhill & Co., Inc.		6,588,415
	230,957	SEI Investments Co.		11,323,822

				24,413,615

		Chemicals — 1.6%
	81,950	Monsanto Co.		8,735,051

		Communications Equipment — 5.6%
	527,618	Cisco Systems, Inc.		14,488,390
	254,894	QUALCOMM, Inc.		15,964,011

				30,452,401

		Consumer Finance — 2.0%
	27,117	American Express Co.		2,107,533
	99,700	Capital One Financial Corp.		8,770,609

				10,878,142

		Diversified Financial Services — 1.6%
	138,826	MSCI, Inc.		8,544,740

		Energy Equipment & Services — 2.3%
	109,600	Halliburton Co.		4,720,472
	92,136	Schlumberger Ltd.		7,941,202

				12,661,674

		Food Products — 1.4%
	587,376	Danone, Sponsored ADR		7,606,519

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Health Care Equipment & Supplies — 2.7%
	49,100	Medtronic PLC	$	3,638,310
	112,607	Varian Medical Systems, Inc.(b)		9,496,148
	11,309	Zimmer Biomet Holdings, Inc.		1,235,282

				14,369,740

		Health Care Providers & Services — 1.4%
	60,300	UnitedHealth Group, Inc.		7,356,600

		Hotels, Restaurants & Leisure — 1.1%
	65,195	Yum! Brands, Inc.		5,872,766

		Household Products — 0.9%
	60,875	Procter & Gamble Co. (The)		4,762,860

		Industrial Conglomerates — 1.9%
	381,000	General Electric Co.		10,123,170

		Insurance — 5.0%
	123,700	Aflac, Inc.		7,694,140
	178,400	American International Group, Inc.		11,028,688
	84,400	Aon PLC		8,412,992

				27,135,820

		Internet & Catalog Retail — 6.5%
	62,720	Amazon.com, Inc.(b)		27,226,125
	277,900	Liberty Interactive Corp., Class A(b)		7,711,725

				34,937,850

		Internet Software & Services — 8.6%
	97,559	Alibaba Group Holding Ltd., Sponsored ADR(b)		8,026,179
	171,440	Facebook, Inc., Class A(b)		14,703,552
	30,245	Google, Inc., Class A(b)		16,333,510
	10,367	Google, Inc., Class C(b)		5,396,127
	58,085	HomeAway, Inc.(b)		1,807,605

				46,266,973

		IT Services — 5.6%
	33,116	Automatic Data Processing, Inc.		2,656,897
	118,700	MasterCard, Inc., Class A		11,096,076
	245,739	Visa, Inc., Class A		16,501,374

				30,254,347

		Media — 2.1%
	499,000	News Corp., Class A(b)		7,280,410
	59,900	Omnicom Group, Inc.		4,162,451

				11,442,861

		Metals & Mining — 0.5%
	32,593	Compass Minerals International, Inc.		2,677,189

		Oil, Gas & Consumable Fuels — 1.7%
	163,600	Apache Corp.		9,428,268

		Personal Products — 1.1%
	136,900	Unilever PLC, Sponsored ADR		5,881,224

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Pharmaceuticals — 4.8%
	45,130	Merck & Co., Inc.	$	2,569,251
	70,194	Novartis AG, ADR		6,902,878
	172,734	Novo Nordisk AS, Sponsored ADR		9,458,914
	138,300	Sanofi, ADR		6,849,999

				25,781,042

		Semiconductors & Semiconductor Equipment — 3.4%
	8,675	Altera Corp.		444,160
	16,197	Analog Devices, Inc.		1,039,604
	154,543	ARM Holdings PLC, Sponsored ADR		7,614,334
	278,700	Intel Corp.		8,476,661
	23,927	Linear Technology Corp.		1,058,291

				18,633,050

		Software — 8.7%
	144,576	Autodesk, Inc.(b)		7,239,643
	44,545	FactSet Research Systems, Inc.		7,239,008
	257,661	Microsoft Corp.		11,375,733
	530,799	Oracle Corp.		21,391,200

				47,245,584

		Specialty Retail — 0.2%
	18,092	Lowe’s Cos., Inc.		1,211,621

		Technology Hardware, Storage & Peripherals — 1.6%
	67,700	Apple, Inc.		8,491,273

		Textiles, Apparel & Luxury Goods — 0.9%
	122,888	adidas AG, Sponsored ADR		4,725,842

		Total Common Stocks (Identified Cost $455,240,369)		525,774,859


Principal Amount		Description
	Short-Term Investments — 2.9%
$	15,822,575	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $15,822,579 on 7/01/2015 collateralized by $16,265,000 Federal National Mortgage Association, 2.635% due 9/13/2023 valued at $16,143,013 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $15,822,575)		15,822,575


		Total Investments — 100.1% (Identified Cost $471,062,944)(a)		541,597,434
		Other assets less liabilities — (0.1)%		(424,894	)

		Net Assets — 100.0%	$	541,172,540

	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of as of June 30, 2015 (Unaudited)

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



(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2015, the net unrealized appreciation on investments based on a cost of $471,062,944 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	$	85,530,438
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,995,948	)

	Net unrealized appreciation	$	70,534,490

(b)	Non-income producing security.

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

Industry Summary at June 30, 2015 (Unaudited)


Software	8.7	%
Internet Software & Services	8.6
Banks	6.6
Internet & Catalog Retail	6.5
Beverages	6.3
Communications Equipment	5.6
IT Services	5.6
Insurance	5.0
Pharmaceuticals	4.8
Capital Markets	4.5
Air Freight & Logistics	4.4
Semiconductors & Semiconductor Equipment	3.4
Health Care Equipment & Supplies	2.7
Energy Equipment & Services	2.3
Media	2.1
Consumer Finance	2.0
Other Investments, less than 2% each	18.1
Short-Term Investments	2.9

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Seeyond^SM Multi-Asset Allocation Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 15.0% of Net Assets
		France — 2.3%
	900,000	France Government Bond OAT, 3.500%, 4/25/2020, (EUR)(b)	$	1,156,867

		Germany — 2.5%
	390,000	Bundesrepublik Deutschland, 1.500%, 2/15/2023, (EUR)(b)		467,570
	600,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b)		765,748

				1,233,318

		Japan — 4.8%
	280,000,000	Japan Government Ten Year Bond, 1.000%, 3/20/2022, (JPY)(b)		2,411,057

		Spain — 4.8%
	1,850,000	Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(d)		2,423,446

		United Kingdom — 0.6%
	200,000	United Kingdom Gilt, 2.250%, 9/07/2023, (GBP)		321,603

		Total Bonds and Notes (Identified Cost $8,287,907)		7,546,291


Shares
	Exchange-Traded Funds — 9.6%
		United States — 9.6%
	5,710	iShares^® MSCI China ETF(b)(c)		319,988
	26,610	iShares^® MSCI Emerging Markets ETF(b)(c)		1,054,288
	10,500	iShares^® MSCI India ETF(c)(d)		318,255
	2,425	iShares^® MSCI Indonesia ETF(b)(c)		56,187
	10,050	iShares^® MSCI Malaysia ETF(c)(d)		121,706
	800	iShares^® MSCI Philippines ETF(b)(c)		30,800
	8,625	iShares^® MSCI South Korea Capped ETF(c)(d)		475,324
	59,600	iShares^® MSCI Switzerland Capped ETF(b)(c)		1,951,900
	26,030	iShares^® MSCI Taiwan ETF(c)(d)		410,754
	700	iShares^® MSCI Thailand Capped ETF(b)(c)		52,122

		Total Exchange-Traded Funds (Identified Cost $5,120,615)		4,791,324


Contracts
	Purchased Options — 0.2%
		Options on Futures Contracts — 0.2%
	170	E-mini S&P 500^®, Call expiring July 17, 2015 at 2090 (Identified Cost $123,250)		104,125


Principal Amount (‡)
	Short-Term Investments — 66.1%
$	24,678,950	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $24,678,957 on 7/01/2015 collateralized by $24,835,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $25,174,296 including accrued interest (Note 2 of Notes to Financial Statements)		24,678,950

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — continued
$	2,000,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $2,000,001 on 7/01/2015 collateralized by $2,185,000 Federal Home Loan Banks, 3.180% due 12/06/2032 valued at $2,042,975 including accrued interest (Note 2 of Notes to Financial Statements)(b)	$	2,000,000
	1,100,000	Spain Letras del Tesoro Bills, 0.019%, 9/18/2015, (EUR)(e)		1,226,217
	2,500,000	U.S. Treasury Bills, 0.006%, 8/20/2015(e)		2,499,982
	1,800,000	United Kingdom Treasury Bills, 0.460%, 9/07/2015, (GBP)(e)		2,825,427

		Total Short-Term Investments (Identified Cost $33,282,256)		33,230,576


		Total Investments — 90.9% (Identified Cost $46,814,028)(a)		45,672,316
		Other assets less liabilities — 9.1%		4,581,714

		Net Assets — 100.0%	$	50,254,030


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2015, the net unrealized depreciation on investments based on a cost of $46,884,389 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	$	32,259
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,244,332	)

		Net unrealized depreciation	$	(1,212,073	)


	(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 Seeyond^SM Multi-Asset Allocation Fund.
	(d)	A portion of this security has been designated to cover the Fund’s obligations under open futures contracts or options.
	(e)	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 June 30, 2015, the value of Rule 144A holdings amounted to $2,423,446 or 4.8% of net assets.

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

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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

At June 30, 2015, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200™		9/17/2015		8	$	830,278	$	(17,810	)
DAX		9/18/2015		2		613,959		555
E-mini S&P 500^®		9/18/2015		70		7,190,750		(83,307	)
EURO STOXX 50^®		9/18/2015		127		4,882,035		7,466
Euro-BTP		9/08/2015		9		1,306,481		(20,208	)
Euro-Buxl^® 30 Year Bond		9/08/2015		2		331,422		(3,969	)
FTSE 100 Index		9/18/2015		21		2,145,887		(45,064	)
FTSE MIB		9/18/2015		13		1,636,959		10,478
German Euro Bund, Call options at 153*		7/24/2015		19		20,759		(3,177	)
German Euro Bund		9/08/2015		14		2,372,400		9,420
IBEX 35		7/17/2015		3		361,762		(319	)
Mini-Russell 2000		9/18/2015		13		1,625,520		(5,980	)
Nikkei 225™		9/10/2015		35		3,544,625		(68,250	)
S&P/TSX 60 Index		9/17/2015		4		540,528		(6,078	)
UK Long Gilt		9/28/2015		2		363,682		(3,614	)
Ultra Long U.S. Treasury Bond		9/21/2015		14		2,156,875		(75,359	)
10 Year U.S. Treasury Note		9/21/2015		27		3,406,641		(15,172	)

Total							$	(320,388	)

At June 30, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CBOE SPX Volitility Index		7/22/2015		8	$	138,600	$	(2,200	)
CBOE SPX Volitility Index		8/19/2015		9		156,375		(2,925	)
Swiss Franc		9/14/2015		7		938,175		2,313

Total							$	(2,812	)

*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 June 30, 2015 (Unaudited)


Treasuries	15.0	%
Exchange-Traded Funds	9.6
Purchased Options	0.2
Short-Term Investments	66.1

Total Investments	90.9
Other assets less liabilities (including futures contracts)	9.1

Net Assets	100.0	%

See accompanying notes to financial statements.

47 |

Statements of Assets and Liabilities

June 30, 2015 (Unaudited)


	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Equity Opportunities Fund		Seeyond^SM Multi-Asset Allocation Fund
ASSETS
Investments at cost	$	28,841,494		$	150,147,224		$	455,240,369	$	20,135,078
Repurchase agreement(s) at cost		1,922,535			853,426			15,822,575		26,678,950
Net unrealized appreciation (depreciation)		477,126			3,196,124			70,534,490		(1,141,712	)

Investments at value		31,241,155			154,196,774			541,597,434		45,672,316
Due from broker (including variation margin on futures contracts) (Note 2)		—			—			—		307,015
Foreign currency at value (identified cost $0, $0, $0 and $4,842,558, respectively)		—			—			—		4,500,492
Receivable for Fund shares sold		172,138			211,904			332,481		—
Receivable for securities sold		—			2,501,697			—		—
Dividends and interest receivable		383,970			907,461			345,283		152,725
Tax reclaims receivable		—			289			823		—
Unrealized appreciation on futures contracts (Note 2)		—			—			—		30,232

TOTAL ASSETS		31,797,263			157,818,125			542,276,021		50,662,780

LIABILITIES
Payable for securities purchased		—			260,328			—		—
Payable for Fund shares redeemed		208,714			3,266,022			255,232		—
Unrealized depreciation on futures contracts (Note 2)		—			—			—		353,432
Distributions payable		23,316			—			—		—
Management fees payable (Note 6)		152			74,490			364,263		18,582
Deferred Trustees’ fees (Note 6)		21,582			69,906			361,001		8,800
Administrative fees payable (Note 6)		1,142			5,778			19,337		1,772
Payable to distributor (Note 6d)		57			1,073			2,400		3
Other accounts payable and accrued expenses		32,246			567,623			101,248		26,161

TOTAL LIABILITIES		287,209			4,245,220			1,103,481		408,750

NET ASSETS	$	31,510,054		$	153,572,905		$	541,172,540	$	50,254,030

NET ASSETS CONSIST OF:
Paid-in capital	$	31,436,383		$	151,447,920		$	458,049,337	$	51,875,417
Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss		(19,634	)		159,611			27,224		(933,317	)
Accumulated net realized gain (loss) on investments, futures contracts, options written and foreign currency transactions		(383,821	)		(1,229,695	)		12,561,489		998,184
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		477,126			3,195,069			70,534,490		(1,686,254	)

NET ASSETS	$	31,510,054		$	153,572,905		$	541,172,540	$	50,254,030

See accompanying notes to financial statements.

| 48

Statements of Assets and Liabilities (continued)

June 30, 2015 (Unaudited)


	McDonnell Intermediate Municipal Bond Fund		Natixis Diversified Income Fund		Natixis U.S. Equity Opportunities Fund		Seeyond^SM Multi-Asset Allocation Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	3,187,608	$	83,570,107	$	422,480,890	$	105,371

Shares of beneficial interest		321,541		6,420,424		15,167,036		10,985

Net asset value and redemption price per share	$	9.91	$	13.02	$	27.86	$	9.59

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.27	$	13.63	$	29.56	$	10.18

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	—	$	—	$	1,000,463	$	—

Shares of beneficial interest		—		—		49,052		—

Net asset value and offering price per share	$	—	$	—	$	20.40	$	—

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,365,361	$	51,714,003	$	59,315,181	$	141,172

Shares of beneficial interest		238,610		3,987,974		2,906,291		14,825

Net asset value and offering price per share	$	9.91	$	12.97	$	20.41	$	9.52

Class Y shares:
Net assets	$	25,957,085	$	18,288,795	$	58,376,006	$	50,007,487

Shares of beneficial interest		2,617,045		1,411,763		1,837,092		5,202,860

Net asset value, offering and redemption price per share	$	9.92	$	12.95	$	31.78	$	9.61

See accompanying notes to financial statements.

49 |

Statements of Operations

For the Six Months Ended June 30, 2015 (Unaudited)


	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Equity Opportunities Fund			Seeyond^SM Multi-Asset Allocation Fund
INVESTMENT INCOME
Dividends	$	—		$	1,677,959		$	4,172,541		$	64,156
Interest		345,202			1,450,756			1,687			34,376
Less net foreign taxes withheld		—			(263	)		(135,913	)		—

		345,202			3,128,452			4,038,315			98,532

Expenses
Management fees (Note 6)		66,013			511,683			2,132,222			211,845
Service and distribution fees (Note 6)		14,875			413,771			826,488			315
Administrative fees (Note 6)		7,001			39,464			113,048			10,572
Trustees’ fees and expenses (Note 6)		8,143			9,557			13,773			8,200
Transfer agent fees and expenses (Note 6)		5,176			67,954			276,571			2,650
Audit and tax services fees		25,231			23,391			23,410			27,284
Custodian fees and expenses		4,367			38,291			15,276			8,197
Interest expense (Note 10)		—			—			—			6,148
Legal fees		156			897			2,462			250
Registration fees		22,745			31,773			35,766			33,145
Shareholder reporting expenses		1,239			8,603			38,685			1,033
Miscellaneous expenses		4,821			7,319			9,477			5,741

Total expenses		159,767			1,152,703			3,487,178			315,380
Less waiver and/or expense reimbursement (Note 6)		(54,124	)		(785	)		—			(47,227	)

Net expenses		105,643			1,151,918			3,487,178			268,153

Net investment income (loss)		239,559			1,976,534			551,137			(169,621	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		17,595			7,823,546			13,199,402			(193,119	)
Futures contracts		—			(92,523	)		—			2,587,566
Options written		—			—			—			(17,186	)
Foreign currency transactions		—			46,027			—			(591,752	)
Net change in unrealized appreciation (depreciation) on:
Investments		(285,971	)		(13,949,800	)		1,246,224			(431,339	)
Futures contracts		—			55,028			—			(1,286,507	)
Options written		—			—			—			(939	)
Foreign currency translations		—			(46,228	)		—			330,452

Net realized and unrealized gain (loss) on investments, futures contracts, options written and foreign currency transactions		(268,376	)		(6,163,950	)		14,445,626			397,176

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(28,817	)	$	(4,187,416	)	$	14,996,763		$	227,555

See accompanying notes to financial statements.

| 50

Statements of Changes in Net Assets


	McDonnell Intermediate Municipal Bond Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income	$	239,559		$	394,617
Net realized gain (loss) on investments		17,595			(53,090	)
Net change in unrealized appreciation (depreciation) on investments		(285,971	)		1,268,045

Net increase (decrease) in net assets resulting from operations		(28,817	)		1,609,572

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(20,385	)		(19,275	)
Class C		(7,299	)		(2,856	)
Class Y		(230,155	)		(372,573	)

Total distributions		(257,839	)		(394,704	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(1,138,498	)		8,914,814

Net increase (decrease) in net assets		(1,425,154	)		10,129,682
NET ASSETS
Beginning of the period		32,935,208			22,805,526

End of the period	$	31,510,054		$	32,935,208

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(19,634	)	$	(1,354	)

See accompanying notes to financial statements.

51 |

Statements of Changes in Net Assets (continued)


	Natixis Diversified Income Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income	$	1,976,534		$	3,106,711
Net realized gain on investments, futures contracts and foreign currency transactions		7,777,050			1,572,175
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(13,941,000	)		12,494,829

Net increase (decrease) in net assets resulting from operations		(4,187,416	)		17,173,715

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,027,037	)		(2,341,189	)
Class C		(367,194	)		(952,028	)
Class Y		(223,416	)		(147,181	)

Total distributions		(1,617,647	)		(3,440,398	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(18,998,838	)		36,464,179

Net increase (decrease) in net assets		(24,803,901	)		50,197,496
NET ASSETS
Beginning of the period		178,376,806			128,179,310

End of the period	$	153,572,905		$	178,376,806

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	159,611		$	(199,276	)

See accompanying notes to financial statements.

| 52

Statements of Changes in Net Assets (continued)


	Natixis U.S. Equity Opportunities Fund
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income (loss)	$	551,137		$	(9,903	)
Net realized gain on investments		13,199,402			137,496,577
Net change in unrealized appreciation (depreciation) on investments		1,246,224			(80,424,544	)

Net increase in net assets resulting from operations		14,996,763			57,062,130

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(5,105,793	)		(108,546,162	)
Class B		(36,942	)		(1,183,478	)
Class C		(959,797	)		(18,242,647	)
Class Y		(575,447	)		(9,498,229	)

Total distributions		(6,677,979	)		(137,470,516	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		37,291,989			128,349,059

Net increase in net assets		45,610,773			47,940,673
NET ASSETS
Beginning of the period		495,561,767			447,621,094

End of the period	$	541,172,540		$	495,561,767

UNDISTRIBUTED NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	27,224		$	(523,913	)

See accompanying notes to financial statements.

53 |

Statements of Changes in Net Assets (continued)


	Seeyond^SM Multi-Asset Allocation Fund
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014 (a)
FROM OPERATIONS:
Net investment loss	$	(169,621	)	$	(171,011	)
Net realized gain (loss) on investments, futures contracts, options written and foreign currency transactions		1,785,509			(1,106,933	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written and foreign currency translations		(1,388,333	)		(297,921	)

Net increase (decrease) in net assets resulting from operations		227,555			(1,575,865	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(453	)		—
Class C		(576	)		—
Class Y		(658,223	)		—

Total distributions		(659,252	)		—

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		1,901,956			50,359,636

Net increase in net assets		1,470,259			48,783,771
NET ASSETS
Beginning of the period		48,783,771			—

End of the period	$	50,254,030		$	48,783,771

ACCUMULATED NET INVESTMENT LOSS	$	(933,317	)	$	(763,696	)

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

See accompanying notes to financial statements.

| 54

Financial Highlights

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	10.00		$	9.54		$	9.89		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.06			0.11			0.09			(0.01	)
Net realized and unrealized gain (loss)		(0.08	)		0.47			(0.35	)		(0.10	)

Total from Investment Operations		(0.02	)		0.58			(0.26	)		(0.11	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.12	)		(0.09	)		—
Net realized capital gains		—			—			—			—

Total Distributions		(0.07	)		(0.12	)		(0.09	)		—

Net asset value, end of the period	$	9.91		$	10.00		$	9.54		$	9.89

Total return(b)(c)		(0.20	)%(d)		6.08	%		(2.66	)%		(1.10	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,188		$	2,399		$	1,047		$	1
Net expenses(e)		0.80	%(f)		0.80	%		0.80	%		2.19	%(f)(g)
Gross expenses		1.13	%(f)		1.26	%		1.37	%		2.23	%(f)
Net investment income (loss)		1.30	%(f)		1.15	%		0.90	%		(0.71	)%(f)
Portfolio turnover rate		3	%		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.

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

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.99		$	9.54		$	9.89		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			0.04			0.01			(0.01	)
Net realized and unrealized gain (loss)		(0.08	)		0.45			(0.34	)		(0.10	)

Total from Investment Operations		(0.05	)		0.49			(0.33	)		(0.11	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.04	)		(0.02	)		—
Net realized capital gains		—			—			—			—

Total Distributions		(0.03	)		(0.04	)		(0.02	)		—

Net asset value, end of the period	$	9.91		$	9.99		$	9.54		$	9.89

Total return(b)(c)		(0.48	)%(d)		5.18	%		(0.35	)%		(1.10	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,365		$	2,223		$	55		$	1
Net expenses(e)		1.55	%(f)		1.55	%		1.55	%		2.20	%(f)(g)
Gross expenses		1.88	%(f)		2.04	%		2.08	%		2.24	%(f)
Net investment income (loss)		0.54	%(f)		0.41	%		0.14	%		(0.73	)%(f)
Portfolio turnover rate		3	%		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.

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

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	10.00		$	9.54		$	9.88		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.08			0.14			0.11			(0.01	)
Net realized and unrealized gain (loss)		(0.08	)		0.46			(0.34	)		(0.11	)

Total from Investment Operations		—			0.60			(0.23	)		(0.12	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.14	)		(0.11	)		—
Net realized capital gains		—			—			—			—

Total Distributions		(0.08	)		(0.14	)		(0.11	)		—

Net asset value, end of the period	$	9.92		$	10.00		$	9.54		$	9.88

Total return(b)		0.02	%(c)		6.36	%		(2.31	)%		(1.20	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,957		$	28,314		$	21,704		$	14,827
Net expenses(d)		0.55	%(e)		0.55	%		0.55	%		2.33	%(e)(f)
Gross expenses		0.88	%(e)		1.02	%		1.04	%		2.37	%(e)
Net investment income (loss)		1.54	%(e)		1.46	%		1.13	%		(0.84	)%(e)
Portfolio turnover rate		3	%		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.

(c)	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.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Diversified Income Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	13.45		$	12.21		$	11.83		$	10.74		$	10.41		$	9.22

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.32			0.29			0.29			0.34			0.34
Net realized and unrealized gain (loss)		(0.45	)		1.26			0.40			1.12			0.40			1.18

Total from Investment Operations		(0.30	)		1.58			0.69			1.41			0.74			1.52

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.34	)		(0.31	)		(0.32	)		(0.41	)		(0.33	)
Net realized capital gains		—			—			—			—			—			—

Total Distributions		(0.13	)		(0.34	)		(0.31	)		(0.32	)		(0.41	)		(0.33	)

Net asset value, end of the period	$	13.02		$	13.45		$	12.21		$	11.83		$	10.74		$	10.41

Total return(b)		(2.24	)%(c)		13.08	%		5.84	%		13.22	%		7.21	%		16.73	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	83,570		$	110,874		$	79,039		$	78,216		$	45,211		$	35,787
Net expenses		1.04	%(d)		1.06	%		1.09	%		1.11	%		1.13	%		1.19	%
Gross expenses		1.04	%(d)		1.06	%		1.09	%		1.11	%		1.13	%		1.19	%
Net investment income		2.27	%(d)		2.46	%		2.34	%		2.53	%		3.17	%		3.51	%
Portfolio turnover rate		30	%		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.

(c)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Diversified Income Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	13.41		$	12.17		$	11.80		$	10.71		$	10.39		$	9.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.22			0.19			0.20			0.26			0.27
Net realized and unrealized gain (loss)		(0.46	)		1.27			0.39			1.12			0.39			1.17

Total from Investment Operations		(0.35	)		1.49			0.58			1.32			0.65			1.44

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.25	)		(0.21	)		(0.23	)		(0.33	)		(0.25	)
Net realized capital gains		—			—			—			—			—			—

Total Distributions		(0.09	)		(0.25	)		(0.21	)		(0.23	)		(0.33	)		(0.25	)

Net asset value, end of the period	$	12.97		$	13.41		$	12.17		$	11.80		$	10.71		$	10.39

Total return(b)		(2.63	)%(c)		12.28	%		4.98	%		12.43	%		6.33	%		15.90	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	51,714		$	53,074		$	48,512		$	49,697		$	29,814		$	27,355
Net expenses		1.80	%(d)		1.81	%		1.84	%		1.86	%		1.88	%		1.94	%
Gross expenses		1.80	%(d)		1.81	%		1.84	%		1.86	%		1.88	%		1.94	%
Net investment income		1.62	%(d)		1.70	%		1.59	%		1.79	%		2.42	%		2.76	%
Portfolio turnover rate		30	%		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.

(c)	Periods less than one year are not annualized.

(d)	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.


	Natixis Diversified Income Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	13.39		$	12.19		$	11.83		$	11.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.18			0.38			0.33			(0.02	)
Net realized and unrealized gain (loss)		(0.47	)		1.19			0.37			0.18

Total from Investment Operations		(0.29	)		1.57			0.70			0.16

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.37	)		(0.34	)		(0.05	)
Net realized capital gains		—			—			—			—

Total Distributions		(0.15	)		(0.37	)		(0.34	)		(0.05	)

Net asset value, end of the period	$	12.95		$	13.39		$	12.19		$	11.83

Total return		(2.20	)%(b)		13.05	%		5.93	%		1.35	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	18,289		$	14,428		$	628		$	1
Net expenses		0.80	%(c)		0.82	%		0.83	%		1.00	%(c)
Gross expenses		0.80	%(c)		0.82	%		0.83	%		1.00	%(c)
Net investment income (loss)		2.72	%(c)		2.92	%		2.71	%		(2.37	)%(c)
Portfolio turnover rate		30	%		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)	Periods less than one year are not annualized.

(c)	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.


	Natixis U.S. Equity Opportunities Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	27.40		$	33.07		$	26.35		$	23.56		$	25.17		$	20.68

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04			0.02			(0.04	)		0.07			(0.04	)		0.03	(b)
Net realized and unrealized gain (loss)		0.76			4.31			9.34			4.12			(0.69	)		4.50

Total from Investment Operations		0.80			4.33			9.30			4.19			(0.73	)		4.53

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.07	)		—			(0.04	)
Net realized capital gains		(0.34	)		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—

Total Distributions		(0.34	)		(10.00	)		(2.58	)		(1.40	)		(0.88	)		(0.04	)

Increase from regulatory settlements		—			—			—			—			—			0.00	(c)

Net asset value, end of the period	$	27.86		$	27.40		$	33.07		$	26.35		$	23.56		$	25.17

Total return(d)		2.90	%(e)		12.94	%		35.75	%(f)		17.79	%(f)		(2.79	)%(f)		21.90	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	422,481		$	400,678		$	371,102		$	289,898		$	281,467		$	314,384
Net expenses		1.25	%(g)		1.29	%(h)		1.30	%(i)		1.30	%(i)		1.34	%(i)(j)		1.40	%(i)
Gross expenses		1.25	%(g)		1.29	%(h)		1.32	%		1.35	%		1.38	%		1.50	%
Net investment income (loss)		0.27	%(g)		0.07	%		(0.12	)%		0.25	%		(0.15	)%		0.14	%(b)
Portfolio turnover rate		8	%		93	%(k)		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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

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

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

See accompanying notes to financial statements.

61 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class B
	Six Months Ended June 30, 2015 (Unaudited)			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	$	20.23		$	26.91		$	21.98		$	19.93		$	21.60		$	17.85

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.19	)		(0.22	)		(0.12	)		(0.21	)		(0.12	)(b)
Net realized and unrealized gain (loss)		0.56			3.51			7.73			3.50			(0.58	)		3.87

Total from Investment Operations		0.51			3.32			7.51			3.38			(0.79	)		3.75

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			—
Net realized capital gains		(0.34	)		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—

Total Distributions		(0.34	)		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—

Increase from regulatory settlements		—			—			—			—			—			0.00	(c)

Net asset value, end of the period	$	20.40		$	20.23		$	26.91		$	21.98		$	19.93		$	21.60

Total return(d)		2.49	%(e)		12.14	%		34.70	%(f)		16.97	%(f)		(3.53	)%(f)		21.01	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,000		$	3,324		$	7,708		$	11,172		$	16,820		$	28,787
Net expenses		1.99	%(g)		2.04	%(h)		2.05	%(i)		2.05	%(i)		2.10	%(i)(j)		2.15	%(i)
Gross expenses		1.99	%(g)		2.04	%(h)		2.07	%		2.10	%		2.13	%		2.25	%
Net investment loss		(0.50	)%(g)		(0.70	)%		(0.89	)%		(0.55	)%		(0.94	)%		(0.66	)%(b)
Portfolio turnover rate		8	%		93	%(k)		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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

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

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

See accompanying notes to financial statements.

| 62

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	20.24		$	26.92		$	21.99		$	19.94		$	21.61		$	17.86

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.19	)		(0.22	)		(0.11	)		(0.20	)		(0.12	)(b)
Net realized and unrealized gain (loss)		0.56			3.51			7.73			3.49			(0.59	)		3.87

Total from Investment Operations		0.51			3.32			7.51			3.38			(0.79	)		3.75

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			—
Net realized capital gains		(0.34	)		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—

Total Distributions		(0.34	)		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—

Increase from regulatory settlements		—			—			—			—			—			0.00	(c)

Net asset value, end of the period	$	20.41		$	20.24		$	26.92		$	21.99		$	19.94		$	21.61

Total return(d)		2.49	%(e)		12.12	%		34.69	%(f)		16.96	%(f)		(3.53	)%(f)		21.00	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	59,315		$	53,925		$	44,150		$	30,525		$	28,462		$	30,912
Net expenses		2.00	%(g)		2.04	%(h)		2.05	%(i)		2.05	%(i)		2.09	%(i)(j)		2.15	%(i)
Gross expenses		2.00	%(g)		2.04	%(h)		2.07	%		2.10	%		2.13	%		2.25	%
Net investment loss		(0.48	)%(g)		(0.68	)%		(0.86	)%		(0.49	)%		(0.90	)%		(0.62	)%(b)
Portfolio turnover rate		8	%		93	%(k)		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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

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

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

See accompanying notes to financial statements.

63 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			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	$	31.18		$	36.32		$	28.68		$	25.52		$	27.12		$	22.27

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.12			0.05			0.17			0.04			0.05	(b)
Net realized and unrealized gain (loss)		0.86			4.74			10.17			4.46			(0.76	)		4.90

Total from Investment Operations		0.94			4.86			10.22			4.63			(0.72	)		4.95

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.14	)		—			(0.10	)
Net realized capital gains		(0.34	)		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—

Total Distributions		(0.34	)		(10.00	)		(2.58	)		(1.47	)		(0.88	)		(0.10	)

Increase from regulatory settlements		—			—			—			—			—			0.00	(c)

Net asset value, end of the period	$	31.78		$	31.18		$	36.32		$	28.68		$	25.52		$	27.12

Total return		3.00	%(d)		13.25	%		36.06	%(e)		18.15	%(e)		(2.56	)%(e)		22.21	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	58,376		$	37,636		$	24,661		$	11,035		$	2,047		$	1,317
Net expenses		1.00	%(f)		1.05	%(g)		1.05	%(h)		1.05	%(h)		1.09	%(h)(i)		1.15	%(h)
Gross expenses		1.00	%(f)		1.05	%(g)		1.07	%		1.10	%		1.14	%		1.24	%
Net investment income		0.52	%(f)		0.32	%		0.13	%		0.61	%		0.16	%		0.22	%(b)
Portfolio turnover rate		8	%		93	%(j)		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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

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

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

See accompanying notes to financial statements.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	Seeyond^SM Multi-Asset Allocation Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	9.68		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.03	)		(0.05	)
Net realized and unrealized gain (loss)		0.07			(0.27	)

Total from Investment Operations		0.04			(0.32	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.13	)		—

Total Distributions		(0.13	)		—

Net asset value, end of the period	$	9.59		$	9.68

Total return(b)(c)		0.37	%		(3.20	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	105		$	1
Net expenses(d)(e)		1.33	%(f)		1.31	%(g)
Gross expenses(e)		1.59	%(f)		1.47	%(g)
Net investment loss(e)		(0.58	)%		(1.05	)%
Portfolio turnover rate		29	%		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 0.03%. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 1.56%.

(g)	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.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Seeyond^SM Multi-Asset Allocation Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	9.65		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.07	)
Net realized and unrealized gain (loss)		0.06			(0.28	)

Total from Investment Operations		—			(0.35	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.13	)		—

Total Distributions		(0.13	)		—

Net asset value, end of the period	$	9.52		$	9.65

Total return(b)(c)		(0.05	)%		(3.50	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	141		$	27
Net expenses(d)(e)		2.08	%(f)		2.06	%(g)
Gross expenses(e)		2.35	%(f)		2.38	%(g)
Net investment loss(e)		(1.23	)%		(1.64	)%
Portfolio turnover rate		29	%		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 0.03%. Without this expense the ratio of net expenses would have been 2.05% and the ratio of gross expenses would have been 2.32%.

(g)	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.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	Seeyond^SM Multi-Asset Allocation Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	9.69		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.03	)		(0.03	)
Net realized and unrealized gain (loss)		0.08			(0.28	)

Total from Investment Operations		0.05			(0.31	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.13	)		—

Total Distributions		(0.13	)		—

Net asset value, end of the period	$	9.61		$	9.69

Total return(b)		0.47	%		(3.10	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	50,007		$	48,756
Net expenses(c)(d)		1.07	%(e)		1.05	%(f)
Gross expenses(d)		1.26	%(e)		1.35	%(f)
Net investment loss(d)		(0.68	)%		(0.79	)%
Portfolio turnover rate		29	%		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 0.02%. Without this expense the ratio of net expenses would have been 1.05% and the ratio of gross expenses would have been 1.24%.

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

See accompanying notes to financial statements.

67 |

Notes to Financial Statements

June 30, 2015 (Unaudited)

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”)

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.

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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.

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:

69 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

independent pricing service, if available. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. 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.

As of June 30, 2015, futures contracts were 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 contracts, as follows:

Fund

Notional Value*

Unrealized

Appreciation/

Depreciation*

Unrealized as a
Percentage of
Net Assets

Multi-Asset Allocation Fund

10,470,880

81,692

0.16

*	Amounts are reflected at absolute value.

| 70

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 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.

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

71 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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.

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

| 72

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

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

For the six months ended June 30, 2015, 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

73 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

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

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

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

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

| 74

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

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

For the six months ended June 30, 2015, 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 balance in the Statement 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 June 30, 2015 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 six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

75 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 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, 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 reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, straddle adjustment, 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. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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


	2014 Distributions Paid From:
	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	—	$	394,704	$	—	$	394,704
Diversified Income Fund		3,440,398		—		—		3,440,398
U.S. Equity Opportunities Fund		28,374,163		—		109,096,353		137,470,516
Multi-Asset Allocation Fund		—		—		—		—

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 capital loss carryforwards and post-October capital loss deferrals were as follows:


	Intermediate Municipal Bond Fund			Diversified Income Fund			U.S. Equity Opportunities Fund		Multi-Asset Allocation Fund
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	)

*	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.

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

l. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon

77 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

a Fund’s ability to dispose of the underlying securities. As of June 30, 2015, 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 NAV 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 June 30, 2015.

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 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

| 78

Notes to Financial Statements (continued)

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which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2015, 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.

•

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

•

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2015, at value:

Intermediate Municipal Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	29,318,620	$	—	$	29,318,620
Short-Term Investments		—		1,922,535		—		1,922,535

Total	$	—	$	31,241,155	$	—	$	31,241,155

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

79 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, 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)	$	79,002,747	$	—	$	—		$	79,002,747
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity		—		3,907,053		27,862	(b)		3,934,915
ABS Other		—		1,205,645		1,318,853	(c)		2,524,498
Airlines		—		2,880,518		28,708	(c)		2,909,226
All Other Non-Convertible Bonds(a)		—		58,679,243		—			58,679,243

Total Non-Convertible Bonds		—		66,672,459		1,375,423			68,047,882

Convertible Bonds(a)		—		3,077,060		—			3,077,060
Municipals(a)		—		38,105		—			38,105

Total Bonds and Notes		—		69,787,624		1,375,423			71,163,047

Preferred Stocks
Convertible Preferred Stocks
Midstream		—		140,889		—			140,889
REITs – Mortgage		—		26,728		—			26,728
All Other Convertible Preferred Stocks(a)		1,806,720		—		—			1,806,720

Total Convertible Preferred Stocks		1,806,720		167,617		—			1,974,337

Non-Convertible Preferred Stocks(a)		795,483		—		—			795,483

Total Preferred Stocks		2,602,203		167,617		—			2,769,820

Senior Loans(a)		—		227,734		—			227,734
Short-Term Investments		—		1,033,426		—			1,033,426

Total	$	81,604,950	$	71,216,401	$	1,375,423		$	154,196,774

(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.

(c)	Valued using broker-dealer bid prices.

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Notes to Financial Statements (continued)

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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.

U.S. Equity Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	525,774,859	$	—	$	—	$	525,774,859
Short-Term Investments		—		15,822,575		—		15,822,575

Total	$	525,774,859	$	15,822,575	$	—	$	541,597,434

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

For the six months ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.

81 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Multi-Asset Allocation Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	7,546,291	$	—	$	7,546,291
Exchange-Traded Funds(a)		4,791,324		—		—		4,791,324
Purchased Options(a)		104,125		—		—		104,125
Short-Term Investments		—		33,230,576		—		33,230,576

Total Investments		4,895,449		40,776,867		—		45,672,316

Futures Contracts (unrealized appreciation)		11,733		18,499		—		30,232

Total	$	4,907,182	$	40,795,366	$	—	$	45,702,548

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Futures Contracts (unrealized depreciation)	$	(290,239	)	$	(63,193	)	$	—	$	(353,432	)

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

For the six months ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2014 and/or June 30, 2015:

Diversified Income Fund


Investments in Securities	Balance as of December 31, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Non-Convertible Bonds
ABS Car Loan	$	294,726	$	—	$	—		$	—		$	—
ABS Home Equity		18,198		—		(74	)		(107	)		—
ABS Other		772,936		—		—			(311	)		674,916
Airlines		1,315,465		20		2,285			(5,478	)		—

	$	2,401,325	$	20	$	2,211		$	(5,896	)	$	674,916

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Diversified Income Fund (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Non-Convertible Bonds
ABS Car Loan	$	—		$	—	$	(294,726	)	$	—	$	—
ABS Home Equity		(12,015	)		21,860		—			27,862		(227	)
ABS Other		(8,690	)		—		(119,998	)		1,318,853		(312	)
Airlines		(126,584	)		—		(1,157,000	)		28,708		1

	$	(147,289	)	$	21,860	$	(1,571,724	)	$	1,375,423	$	(538	)

Debt securities valued at $21,860 were transferred from Level 2 to Level 3 during the period ended June 30, 2015. At December 31, 2014, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Debt securities valued at $1,571,724 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At December 31, 2014, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At June 30, 2015, 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.

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 an underlying asset, reference rate or index. Derivative instruments that Diversified Income Fund and Multi-Asset Allocation Fund used during the period include forward foreign currency contracts, futures contracts and option contracts.

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

83 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2015, the Fund engaged in forward foreign currency transactions for hedging purposes.

Diversified Income Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the six months ended June 30, 2015, the Fund used futures contracts to manage duration.

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, equity index options, options on 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, options on 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 futures and options, such as futures contracts based on the Chicago Board Options Exchange Volatility Index (the “VIX”), listed equity index options, options on futures and equity index futures. During the six months ended June 30, 2015, the Fund used futures and options on futures contracts to gain investment exposure in accordance with its objective.

Transactions in derivative instruments for Diversified Income Fund during the six months ended June 30, 2015 as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(92,523	)	$	—
Foreign exchange contracts		—			58,961

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations¹
Interest rate contracts	$	55,028		$	—
Foreign exchange contracts		—			(50,936	)

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.

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The following is a summary of derivative instruments for Multi-Asset Allocation Fund as of June 30, 2015, 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	$	—	$	9,420		$	9,420
Foreign exchange contracts		—		2,313			2,313
Equity contracts		104,125		18,499			122,624

Total asset derivatives	$	104,125	$	30,232		$	134,357


Liabilities	Options written at value		Unrealized depreciation on futures contracts			Total
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—	$	(121,499	)	$	(121,499	)
Equity contracts		—		(231,933	)		(231,933	)

Total liability derivatives	$	—	$	(353,432	)	$	(353,432	)

¹	Represents purchased options, at value.

Transactions in derivative instruments for Multi-Asset Allocation Fund during the six months ended June 30, 2015 as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Investments²			Futures contracts			Options written
Interest rate contracts	$	—		$	14,495		$	(17,186	)
Foreign exchange contracts		—			(48,008	)		—
Equity contracts		(172,590	)		2,621,079			—

Total	$	(172,590	)	$	2,587,566		$	(17,186	)


Net Change in Unrealized Appreciation (Depreciation) on:	Investments²			Futures contracts			Options written
Interest rate contracts	$	—		$	(323,020	)	$	(939	)
Foreign exchange contracts		—			(7,991	)		—
Equity contracts		(6,938	)		(955,496	)		—

Total	$	(6,938	)	$	(1,286,507	)	$	(939	)

²	Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

85 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, for Diversified Income 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 six months ended June 30, 2015:


Diversified Income Fund	Futures			Forwards
Average Notional Amount Outstanding		0.32	%		0.30	%
Highest Notional Amount Outstanding		1.08	%		0.64	%
Lowest Notional Amount Outstanding		0.00	%		0.00	%
Notional Amount Outstanding as of June 30, 2015		0.00	%		0.00	%

Multi-Asset Allocation Fund	Futures
Average Notional Amount Outstanding		80.84	%
Highest Notional Amount Outstanding		89.49	%
Lowest Notional Amount Outstanding		68.78	%
Notional Amount Outstanding as of June 30, 2015		68.78	%

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

Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward and futures 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 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 six months ended June 30, 2015:


Multi-Asset Allocation Fund*	Call Options Purchased			Put Options Purchased			Call Options Written
Average Market Value of Underlying Instruments		19.67	%		1.47	%		1.47	%
Highest Market Value of Underlying Instruments		34.75	%		5.43	%		5.43	%
Lowest Market Value of Underlying Instruments		7.51	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2015		34.75	%		0.00	%		0.00	%

*	Market value of underlying instruments is determined as follows: for futures, by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

| 86

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 Multi-Asset Allocation Fund’s written option activity:


	Contracts			Premiums
Outstanding at December 31, 2014	$	20		$	6,564
Options terminated in closing purchase transactions		(20	)		(6,564	)

Outstanding at June 30, 2015	$	—		$	—

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 June 30, 2015:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Diversified Income Fund	$	45,000	$	45,000
Multi-Asset Allocation Fund		337,247		337,247

87 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Fund	Purchases		Sales
Intermediate Municipal Bond Fund	$	1,030,738	$	2,242,748
Diversified Income Fund		43,311,413		44,418,235
U.S. Equity Opportunities Fund		70,357,957		42,038,562
Multi-Asset Allocation Fund		5,181,260		3,657,702

For the six months ended June 30, 2015, purchases and sales of U.S. Government/Agency securities by Diversified Income Fund were $10,716,485 and $21,196,342, 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)

June 30, 2015 (Unaudited)

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	%

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, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2016, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2015, 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	%

89 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Effective July 1, 2015, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Intermediate Municipal Bond Fund and U.S. Equity Opportunities Fund are 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		0.70	%		—			1.45	%		0.45	%
U.S. Equity Opportunities Fund		1.25	%		2.00	%		2.00	%		1.00	%

These undertakings are in effect until April 30, 2017, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be evaluated on an annual basis.

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 six months ended June 30, 2015, 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
Fund	Gross Management Fees		Contractual Waivers of Management Fees ¹		Voluntary Waivers of Management Fees		Net Management Fees		Gross			Net
Intermediate Municipal Bond Fund	$	66,013	$	54,124	$	—	$	11,889		0.40	%		0.07	%
Diversified Income Fund		511,683		—		785		510,898		0.55	%		0.55	%
U.S. Equity Opportunities Fund		2,132,222		—		—		2,132,222		0.80	%		0.80	%
Multi-Asset Allocation Fund		211,845		47,227		—		164,618		0.85	%		0.66	%

¹	Management fee waivers are subject to possible recovery until December 31, 2016.

No expenses were recovered during the six months ended June 30, 2015 under the terms of the expense limitation agreements.

Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, AEW, McDonnell, Loomis Sayles and Harris are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Natixis AM US is a subsidary of Natixis Asset Management (“NAM”), which is in turn a subsidary of Natixis Global Asset Management.

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, 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	$	3,623	$	—	$	2,813	$	—	$	8,439
Diversified Income Fund		139,843		—		68,482		—		205,446
U.S. Equity Opportunities Fund		525,881		2,605		72,547		7,814		217,641
Multi-Asset Allocation Fund		55		—		65		—		195

91 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 six months ended June 30, 2015, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Intermediate Municipal Bond Fund	$	7,001
Diversified Income Fund		39,464
U.S. Equity Opportunities Fund		113,048
Multi-Asset Allocation Fund		10,572

For the six months ended June 30, 2015, 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	$	2,612
Diversified Income Fund		59,075
U.S. Equity Opportunities Fund		97,931
Multi-Asset Allocation Fund		135

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Fund	Reimbursements of Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	57
Diversified Income Fund		1,073
U.S. Equity Opportunities Fund		2,400
Multi-Asset Allocation Fund		3

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2015 were as follows:


Fund	Commissions
Intermediate Municipal Bond Fund	$	30,067
Diversified Income Fund		61,371
U.S. Equity Opportunities Fund		158,995

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 in the Statements of Assets and Liabilities.

g. Affiliated Ownership. As of June 30, 2015 Natixis US and affiliates held shares of Intermediate Municipal Bond Fund and Multi-Asset Allocation Fund representing 14.77% and 96.86% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Fund.

h. Payment by Affiliates. During the period ended June 30, 2015, Natixis AM US reimbursed Multi-Asset Allocation Fund $17 for losses incurred in connection with a trading error. This amount is included in realized gains on futures contracts in the Statements of Operations.

7. Line of Credit. The Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participates in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). 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 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2015, 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

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Operations. For the six months ended June 30, 2015, amounts rebated under these agreements were as follows:


Fund	Rebates
Diversified Income Fund	$	381
U.S. Equity Opportunities Fund		3,185

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 degree 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 six months ended June 30, 2015 is reflected on the Statements of Operations.

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


	Six Months Ended June 30, 2015					Year Ended December 31, 2014
Intermediate Municipal Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	160,883		$	1,612,532		440,562		$	4,404,696
Issued in connection with the reinvestment of distributions	1,859			18,583		1,807			17,881
Redeemed	(81,170	)		(811,396	)	(312,110	)		(3,108,236	)

Net change	81,572		$	819,719		130,259		$	1,314,341

Class C
Issued from the sale of shares	91,884		$	917,700		221,952		$	2,199,823
Issued in connection with the reinvestment of distributions	213			2,122		125			1,241
Redeemed	(75,891	)		(759,102	)	(5,445	)		(53,806	)

Net change	16,206		$	160,720		216,632		$	2,147,258

Class Y
Issued from the sale of shares	1,460,544		$	14,633,904		874,599		$	8,630,106
Issued in connection with the reinvestment of distributions	13,054			130,883		31,302			308,641
Redeemed	(1,687,827	)		(16,883,724	)	(349,221	)		(3,485,532	)

Net change	(214,229	)	$	(2,118,937	)	556,680		$	5,453,215

Increase (decrease) from capital share transactions	(116,451	)	$	(1,138,498	)	903,571		$	8,914,814

95 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

11. Capital Shares (continued)


	Six Months Ended June 30, 2015					Year Ended December 31, 2014
Diversified Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,468,528		$	20,131,699		3,587,606		$	46,772,806
Issued in connection with the reinvestment of distributions	60,235			810,305		145,859			1,902,832
Redeemed	(3,350,641	)		(45,106,916	)	(1,966,178	)		(25,485,685	)

Net change	(1,821,878	)	$	(24,164,912	)	1,767,287		$	23,189,953

Class C
Issued from the sale of shares	466,138		$	6,358,360		641,777		$	8,362,876
Issued in connection with the reinvestment of distributions	16,260			217,146		41,434			539,625
Redeemed	(451,962	)		(6,089,458	)	(711,476	)		(9,151,769	)

Net change	30,436		$	486,048		(28,265	)	$	(249,268	)

Class Y
Issued from the sale of shares	811,639		$	11,079,227		1,164,871		$	15,288,075
Issued in connection with the reinvestment of distributions	15,995			214,287		10,893			143,867
Redeemed	(493,525	)		(6,613,488	)	(149,655	)		(1,908,448	)

Net change	334,109		$	4,680,026		1,026,109		$	13,523,494

Increase (decrease) from capital share transactions	(1,457,333	)	$	(18,998,838	)	2,765,131		$	36,464,179


U.S. Equity Opportunities Fund
Class A
Issued from the sale of shares	1,228,177		$	34,079,470		1,244,707		$	40,683,381
Issued in connection with the reinvestment of distributions	175,149			4,900,584		3,733,383			104,238,574
Redeemed	(857,574	)		(24,088,377	)	(1,579,897	)		(53,911,455	)

Net change	545,752		$	14,891,677		3,398,193		$	91,010,500

Class B
Issued from the sale of shares	388		$	7,794		4,557		$	112,874
Issued in connection with the reinvestment of distributions	1,712			35,133		54,550			1,140,434
Redeemed	(117,381	)		(2,408,817	)	(181,197	)		(5,000,162	)

Net change	(115,281	)	$	(2,365,890	)	(122,090	)	$	(3,746,854	)

Class C
Issued from the sale of shares	428,045		$	8,780,254		639,156		$	16,511,165
Issued in connection with the reinvestment of distributions	38,565			791,744		756,094			15,641,654
Redeemed	(224,548	)		(4,634,707	)	(371,115	)		(9,752,500	)

Net change	242,062		$	4,937,291		1,024,135		$	22,400,319

Class Y
Issued from the sale of shares	844,313		$	26,690,858		837,095		$	31,611,584
Issued in connection with the reinvestment of distributions	14,659			467,605		262,503			8,306,725
Redeemed	(229,053	)		(7,329,552	)	(571,477	)		(21,233,215	)

Net change	629,919		$	19,828,911		528,121		$	18,685,094

Increase (decrease) from capital share transactions	1,302,452		$	37,291,989		4,828,359		$	128,349,059

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Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

11. Capital Shares (continued)


	Six Months Ended June 30, 2015					Period Ended December 31, 2014(a)
Multi-Asset Allocation Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	10,940		$	108,000		101		$	1,011
Issued in connection with the reinvestment of distributions	46			454		—			—
Redeemed	(101	)		(991	)	(1	)		(10	)

Net change	10,885		$	107,463		100		$	1,001

Class C
Issued from the sale of shares	16,678		$	162,612		2,822		$	27,973
Issued in connection with the reinvestment of distributions	58			577		—			—
Redeemed	(4,732	)		(46,602	)	(1	)		(10	)

Net change	12,004		$	116,587		2,821		$	27,963

Class Y
Issued from the sale of shares	102,949		$	1,019,750		5,033,633		$	50,330,682
Issued in connection with the reinvestment of distributions	66,279			658,156		—			—
Redeemed	—			—		(1	)		(10	)

Net change	169,228		$	1,677,906		5,033,632		$	50,330,672

Increase (decrease) from capital share transactions	192,117		$	1,901,956		5,036,553		$	50,359,636

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

12. Subsequent Event. Effective at the close of business on August 31, 2015, Diversified Income Fund will change its name to Loomis Sayles Multi-Asset Income Fund and the Fund’s principal investment strategies and management structure, including the consolidation of multiple sub-advised sleeves of the Fund under day to day management of one sub-adviser, will be amended and restated as described in the Supplement dated June 19, 2015 to the Prospectus and Summary Prospectus of Diversified Income Fund.

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SEMIANNUAL REPORT

June 30, 2015

LOGO

Gateway Equity Call Premium Fund

Loomis Sayles Strategic Alpha Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 10

Financial Statements page 44

Notes to Financial Statements page 54

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 Advisers, LLC

Objective

The Fund seeks total return with less risk than U.S. equity markets.

Total Returns — June 30, 2015⁴



	6 Months			Life of Fund

Class A (Inception 9/30/14)
NAV		3.62	%		3.62	%
With 5.75% Maximum Sales Charge		-2.36			-2.34

Class C (Inception 9/30/14)
NAV		3.31			3.19
With CDSC¹		2.31			2.19

Class Y (Inception 9/30/14)
NAV		3.72			3.86

Comparative Performance
CBOE S&P 500 BuyWrite Index (BXM^SM)²		3.67			2.81
S&P 500^® Index³		1.23			6.22

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

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.

1 |

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

The Fund 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.

Average Annual Total Returns — June 30, 2015⁴



	6 Months			1 Year			Life of Fund

Class A (Inception 12/15/10)
NAV		1.34	%		1.43	%		2.78	%
With 4.50% Maximum Sales Charge		-3.23			-3.14			1.75

Class C (Inception 12/15/10)
NAV		0.86			0.55			1.97
With CDSC¹		-0.13			-0.42			1.97

Class Y (Inception 12/15/10)
NAV		1.46			1.70			3.02

Comparative Performance
3-Month LIBOR²		0.13			0.24			0.32
3-Month LIBOR + 300 basis points³		1.63			3.29			3.37

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 return of 3-Month LIBOR. The calculation is performed on a monthly basis and is subject to the effects of compounding.

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

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ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

PROXY VOTING INFORMATION

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the 12-months ended June 30, 2015 is available on the Fund’s website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

3 |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2015 through June 30, 2015. 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.


GATEWAY EQUITY CALL PREMIUM FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,036.20		$6.11
Hypothetical (5% return before expenses)		$1,000.00		$1,018.79		$6.06
Class C
Actual		$1,000.00		$1,033.10		$9.88
Hypothetical (5% return before expenses)		$1,000.00		$1,015.08		$9.79
Class Y
Actual		$1,000.00		$1,037.20		$4.85
Hypothetical (5% return before expenses)		$1,000.00		$1,020.03		$4.81

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.21%, 1.96% and 0.96% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,013.40		$5.54
Hypothetical (5% return before expenses)		$1,000.00		$1,019.29		$5.56
Class C
Actual		$1,000.00		$1,008.60		$9.26
Hypothetical (5% return before expenses)		$1,000.00		$1,015.57		$9.30
Class Y
Actual		$1,000.00		$1,014.60		$4.30
Hypothetical (5% return before expenses)		$1,000.00		$1,020.53		$4.31

Expenses are equal to the Fund’s annualized expense ratio: 1.11%, 1.86% and 0.86% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

5 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on the Fund’s advisory agreement (the “Agreement”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreement to determine whether to recommend that the full Board approve the continuation of the Agreement, typically for an additional one-year period. The Gateway Equity Call Premium Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreement is effective until September 29, 2016. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreement.

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s

| 6

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

The Board most recently approved the continuation of the Agreement at its meeting held in June 2015. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates.

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

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

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

Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of a peer group and category of funds and the Fund’s performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that also measured the performance of the Fund on a risk adjusted basis. The Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement.

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

7 |

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreement, that the performance of the Fund and the Adviser and/or other relevant factors supported the renewal of the Agreement.

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

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect

| 8

to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although the Fund’s management fee was not subject to breakpoints: (1) the Fund’s management fee was at or below the median fee for a peer group of funds; and (2) the Fund’s investment discipline was capacity constrained. The Trustees further noted that the Fund was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.

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

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

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

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

9 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund


Shares		Description	Value (†)
	Common Stocks — 97.0% of Net Assets
		Aerospace & Defense — 2.7%
	713	B/E Aerospace, Inc.(b)	$	39,144
	1,530	Boeing Co. (The)(b)		212,242
	876	General Dynamics Corp.(b)		124,120
	2,198	Honeywell International, Inc.(b)		224,130
	560	KLX, Inc.(c)(d)		24,713
	705	Lockheed Martin Corp.(d)		131,060
	382	Precision Castparts Corp.(b)		76,350
	2,111	United Technologies Corp.(b)		234,173

				1,065,932

		Air Freight & Logistics — 0.8%
	795	FedEx Corp.(b)		135,468
	1,851	United Parcel Service, Inc., Class B(b)		179,380

				314,848

		Airlines — 0.5%
	4,448	Delta Air Lines, Inc.(b)		182,724

		Auto Components — 0.6%
	2,554	Johnson Controls, Inc.(b)		126,499
	884	Lear Corp.(b)		99,238

				225,737

		Automobiles — 0.3%
	4,002	General Motors Co.(b)		133,387

		Banks — 6.0%
	23,357	Bank of America Corp.(b)		397,536
	7,039	Citigroup, Inc.(b)		388,834
	1,904	Comerica, Inc.(b)		97,713
	4,263	Fifth Third Bancorp(b)		88,756
	1,025	First Republic Bank(b)		64,606
	10,841	Huntington Bancshares, Inc.(d)		122,612
	8,017	JPMorgan Chase & Co.(b)		543,232
	2,623	SunTrust Banks, Inc.(b)		112,841
	9,390	Wells Fargo & Co.(b)		528,094

				2,344,224

		Beverages — 1.8%
	8,680	Coca-Cola Co. (The)(b)		340,516
	3,755	PepsiCo, Inc.(b)		350,492

				691,008

		Biotechnology — 3.3%
	618	Alexion Pharmaceuticals, Inc.(b)(c)		111,716
	1,751	Amgen, Inc.(b)		268,813
	550	Biogen, Inc.(b)(c)		222,167
	352	BioMarin Pharmaceutical, Inc.(c)(d)		48,147

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Biotechnology — continued
	2,008	Celgene Corp.(b)(c)	$	232,396
	3,330	Gilead Sciences, Inc.(b)		389,876

				1,273,115

		Building Products — 0.2%
	1,462	Fortune Brands Home & Security, Inc.(b)		66,989

		Capital Markets — 2.5%
	922	Ameriprise Financial, Inc.(b)		115,185
	3,670	Bank of New York Mellon Corp. (The)(b)		154,030
	363	BlackRock, Inc.(b)		125,591
	1,171	Goldman Sachs Group, Inc. (The)(b)		244,493
	4,653	Morgan Stanley(b)		180,490
	1,236	Raymond James Financial, Inc.(b)		73,641
	1,193	SEI Investments Co.(d)		58,493
	989	TD Ameritrade Holding Corp.(d)		36,415

				988,338

		Chemicals — 2.3%
	315	Agrium, Inc.(b)		33,374
	836	Air Products & Chemicals, Inc.(b)		114,390
	905	Albemarle Corp.(b)		50,019
	622	Ashland, Inc.(b)		75,822
	968	Celanese Corp., Series A(b)		69,580
	2,284	Huntsman Corp.(d)		50,408
	592	International Flavors & Fragrances, Inc.(d)		64,700
	1,519	Monsanto Co.(b)		161,910
	1,207	PPG Industries, Inc.(b)		138,467
	1,119	Praxair, Inc.(b)		133,776

				892,446

		Commercial Services & Supplies — 0.3%
	2,186	Waste Management, Inc.(b)		101,321

		Communications Equipment — 1.4%
	11,757	Cisco Systems, Inc.(b)		322,847
	3,682	QUALCOMM, Inc.(b)		230,604

				553,451

		Construction & Engineering — 0.1%
	697	Chicago Bridge & Iron Co.(b)		34,878

		Consumer Finance — 1.0%
	1,049	Ally Financial, Inc.(c)(d)		23,529
	2,068	American Express Co.(b)		160,725
	1,440	Capital One Financial Corp.(b)		126,677
	1,451	Discover Financial Services(b)		83,607
	313	Synchrony Financial(b)(c)		10,307

				404,845

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Containers & Packaging — 0.2%
	806	Crown Holdings, Inc.(b)(c)	$	42,645
	587	Packaging Corp. of America(d)		36,682

				79,327

		Diversified Financial Services — 1.3%
	3,599	Berkshire Hathaway, Inc., Class B(b)(c)		489,860

		Diversified Telecommunication Services — 2.2%
	10,862	AT&T, Inc.(b)		385,818
	1,961	CenturyLink, Inc.(b)		57,614
	8,394	Verizon Communications, Inc.(b)		391,245

				834,677

		Electric Utilities — 1.4%
	3,753	American Electric Power Co., Inc.(b)		198,796
	1,406	OGE Energy Corp.(d)		40,169
	2,165	Pepco Holdings, Inc.(b)		58,325
	4,347	PPL Corp.(b)		128,106
	2,465	Southern Co. (The)(b)		103,284

				528,680

		Electrical Equipment — 0.6%
	2,778	Emerson Electric Co.(b)		153,985
	1,473	Sensata Technologies Holding NV(b)(c)		77,686

				231,671

		Electronic Equipment, Instruments & Components — 0.3%
	1,506	Avnet, Inc.(d)		61,912
	3,944	Flextronics International Ltd.(b)(c)		44,606

				106,518

		Energy Equipment & Services — 1.3%
	1,968	National Oilwell Varco, Inc.(b)		95,015
	1,081	Oceaneering International, Inc.(d)		50,364
	3,662	Schlumberger Ltd.(b)		315,628
	3,034	Seadrill Ltd.(b)		31,371

				492,378

		Food & Staples Retailing — 2.4%
	1,183	Costco Wholesale Corp.(b)		159,776
	2,720	CVS Health Corp.(b)		285,273
	2,263	Sysco Corp.(b)		81,694
	2,805	Wal-Mart Stores, Inc.(b)		198,959
	2,211	Walgreens Boots Alliance, Inc.(b)		186,697

				912,399

		Food Products — 1.6%
	615	Bunge Ltd.(b)		53,997
	2,178	General Mills, Inc.(d)		121,358
	1,344	Kellogg Co.(b)		84,269

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Food Products — continued
	2,014	Kraft Foods Group, Inc.(b)	$	171,472
	4,358	Mondelez International, Inc., Class A(b)		179,288

				610,384

		Gas Utilities — 0.3%
	2,950	UGI Corp.(b)		101,627

		Health Care Equipment & Supplies — 2.0%
	4,504	Abbott Laboratories(b)		221,056
	694	Halyard Health, Inc.(b)(c)		28,107
	1,563	Hologic, Inc.(c)		59,488
	3,654	Medtronic PLC(d)		270,761
	726	ResMed, Inc.(b)		40,925
	1,403	Zimmer Biomet Holdings, Inc.(b)		153,250

				773,587

		Health Care Providers & Services — 2.9%
	1,373	Anthem, Inc.(b)		225,364
	1,036	Centene Corp.(b)(c)		83,294
	2,403	Express Scripts Holding Co.(b)(c)		213,723
	782	McKesson Corp.(b)		175,801
	702	Omnicare, Inc.(b)		66,164
	2,945	UnitedHealth Group, Inc.(b)		359,290

				1,123,636

		Hotels, Restaurants & Leisure — 1.8%
	2,179	Hilton Worldwide Holdings, Inc.(c)(d)		60,031
	587	Las Vegas Sands Corp.(d)		30,859
	2,201	McDonald’s Corp.(b)		209,249
	2,308	MGM Resorts International(c)(d)		42,121
	4,122	Starbucks Corp.(b)		221,001
	1,494	Yum! Brands, Inc.(b)		134,580

				697,841

		Household Durables — 0.5%
	1,313	Jarden Corp.(b)(c)		67,948
	2,177	Leggett & Platt, Inc.(b)		105,976

				173,924

		Household Products — 1.8%
	1,001	Church & Dwight Co., Inc.(b)		81,211
	1,106	Clorox Co. (The)(b)		115,046
	1,016	Kimberly-Clark Corp.(b)		107,666
	5,172	Procter & Gamble Co. (The)(b)		404,657

				708,580

		Independent Power & Renewable Electricity Producers — 0.1%
	1,701	Talen Energy Corp.(c)(d)		29,189

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Industrial Conglomerates — 2.4%
	2,076	3M Co.(b)	$	320,327
	22,337	General Electric Co.(b)		593,494

				913,821

		Insurance — 2.0%
	2,183	Arch Capital Group Ltd.(b)(c)		146,173
	1,855	Chubb Corp. (The)(b)		176,485
	2,004	Cincinnati Financial Corp.(d)		100,561
	3,013	Lincoln National Corp.(b)		178,430
	1,988	Prudential Financial, Inc.(b)		173,990

				775,639

		Internet & Catalog Retail — 1.6%
	895	Amazon.com, Inc.(b)(c)		388,511
	1,372	Liberty Interactive Corp., Class A(b)(c)		38,073
	1,028	Liberty Ventures, Series A(c)(d)		40,370
	142	Priceline Group, Inc. (The)(b)(c)		163,494

				630,448

		Internet Software & Services — 3.1%
	217	Alibaba Group Holding Ltd., Sponsored ADR(c)(d)		17,852
	4,786	Facebook, Inc., Class A(b)(c)		410,471
	744	Google, Inc., Class A(b)(c)		401,790
	527	Google, Inc., Class C(b)(c)		274,143
	2,661	Yahoo!, Inc.(b)(c)		104,551

				1,208,807

		IT Services — 3.2%
	1,886	Accenture PLC, Class A(b)		182,527
	2,066	International Business Machines Corp.(b)		336,056
	2,679	MasterCard, Inc., Class A(b)		250,433
	2,771	Paychex, Inc.(b)		129,904
	4,921	Visa, Inc., Class A(b)		330,445

				1,229,365

		Leisure Products — 0.1%
	300	Polaris Industries, Inc.(b)		44,433

		Life Sciences Tools & Services — 0.4%
	124	Illumina, Inc.(c)(d)		27,077
	1,102	Thermo Fisher Scientific, Inc.(b)		142,995

				170,072

		Machinery — 1.4%
	2,063	Caterpillar, Inc.(b)		174,984
	894	Colfax Corp.(c)(d)		41,258
	756	Cummins, Inc.(d)		99,180
	2,152	Ingersoll-Rand PLC(b)		145,088
	717	Trinity Industries, Inc.(d)		18,950
	638	WABCO Holdings, Inc.(b)(c)		78,933

				558,393

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Media — 3.9%
	1,708	CBS Corp., Class B(b)	$	94,794
	5,729	Comcast Corp., Class A(b)		344,542
	1,265	DIRECTV(b)(c)		117,379
	755	Time Warner Cable, Inc.(b)		134,518
	2,069	Time Warner, Inc.(b)		180,851
	4,411	Twenty-First Century Fox, Inc., Class A(b)		143,556
	1,435	Viacom, Inc., Class B(d)		92,759
	3,628	Walt Disney Co. (The)(b)		414,100

				1,522,499

		Metals & Mining — 0.2%
	3,740	Freeport-McMoRan, Inc.(b)		69,639

		Multi-Utilities — 1.0%
	2,931	Alliant Energy Corp.(b)		169,177
	2,044	PG&E Corp.(b)		100,361
	2,790	Public Service Enterprise Group, Inc.(b)		109,591

				379,129

		Multiline Retail — 0.8%
	1,731	Nordstrom, Inc.(b)		128,960
	2,237	Target Corp.(b)		182,606

				311,566

		Oil, Gas & Consumable Fuels — 6.3%
	2,103	Apache Corp.(b)		121,196
	2,008	California Resources Corp.(d)		12,128
	1,300	Canadian Natural Resources Ltd.(d)		35,308
	4,308	Chevron Corp.(b)		415,593
	576	Concho Resources, Inc.(b)(c)		65,583
	949	Continental Resources, Inc.(c)(d)		40,228
	2,396	Devon Energy Corp.(b)		142,538
	3,602	Encana Corp.(b)		39,694
	9,105	Exxon Mobil Corp.(b)		757,536
	1,180	HollyFrontier Corp.(d)		50,374
	3,699	Marathon Oil Corp.(b)		98,171
	1,826	Noble Energy, Inc.(b)		77,934
	2,298	Occidental Petroleum Corp.(b)		178,716
	2,398	Phillips 66(b)		193,183
	637	Pioneer Natural Resources Co.(b)		88,346
	3,650	Spectra Energy Corp.(b)		118,990
	638	Whiting Petroleum Corp.(c)(d)		21,437

				2,456,955

		Paper & Forest Products — 0.2%
	1,862	International Paper Co.(b)		88,613

		Pharmaceuticals — 6.3%
	4,247	AbbVie, Inc.(b)		285,356
	1,037	Allergan PLC(b)(c)		314,688
	4,023	Bristol-Myers Squibb Co.(b)		267,690

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Pharmaceuticals — continued
	2,506	Eli Lilly & Co.(b)	$	209,226
	5,759	Johnson & Johnson(b)		561,272
	6,250	Merck & Co., Inc.(b)		355,813
	13,949	Pfizer, Inc.(b)		467,710

				2,461,755

		Professional Services — 0.1%
	594	Manpowergroup, Inc.(d)		53,092

		REITs – Apartments — 0.7%
	638	Essex Property Trust, Inc.(b)		135,575
	4,099	UDR, Inc.(b)		131,291

				266,866

		REITs – Diversified — 0.8%
	1,323	American Tower Corp.(b)		123,423
	1,111	Crown Castle International Corp.(d)		89,213
	5,719	Duke Realty Corp.(b)		106,202

				318,838

		REITs – Mortgage — 0.1%
	1,804	American Capital Agency Corp.(b)		33,140
	1,627	Annaly Capital Management, Inc.(d)		14,952

				48,092

		REITs – Office Property — 0.3%
	1,169	SL Green Realty Corp.(d)		128,461

		REITs – Shopping Centers — 0.3%
	6,803	DDR Corp.(b)		105,174

		REITs – Single Tenant — 0.2%
	1,696	Realty Income Corp.(b)		75,285

		REITs – Storage — 0.2%
	1,251	Extra Space Storage, Inc.(b)		81,590

		Road & Rail — 1.1%
	3,457	CSX Corp.(b)		112,871
	445	J.B. Hunt Transport Services, Inc.(b)		36,530
	937	Norfolk Southern Corp.(d)		81,856
	1,997	Union Pacific Corp.(b)		190,454

				421,711

		Semiconductors & Semiconductor Equipment — 2.3%
	5,894	Applied Materials, Inc.(b)		113,283
	11,169	Intel Corp.(b)		339,705
	2,243	Maxim Integrated Products, Inc.(b)		77,552
	3,682	Micron Technology, Inc.(b)(c)		69,369
	673	NXP Semiconductors NV(b)(c)		66,089
	4,409	Texas Instruments, Inc.(b)		227,107

				893,105

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Shares		Description	Value (†)
		Software — 3.7%
	1,510	Adobe Systems, Inc.(b)(c)	$	122,325
	933	Check Point Software Technologies Ltd.(b)(c)		74,220
	17,416	Microsoft Corp.(b)		768,917
	7,106	Oracle Corp.(b)		286,372
	1,918	Salesforce.com, Inc.(b)(c)		133,550
	456	ServiceNow, Inc.(b)(c)		33,885
	357	Workday, Inc., Class A(c)(d)		27,271

				1,446,540

		Specialty Retail — 2.4%
	334	Advance Auto Parts, Inc.(b)		53,203
	1,138	Foot Locker, Inc.(b)		76,257
	3,301	Home Depot, Inc. (The)(b)		366,840
	2,968	Lowe’s Cos., Inc.(b)		198,767
	322	Signet Jewelers Ltd.(d)		41,293
	2,305	TJX Cos., Inc. (The)(b)		152,522
	602	Williams-Sonoma, Inc.(b)		49,527

				938,409

		Technology Hardware, Storage & Peripherals — 4.8%
	12,259	Apple, Inc.(b)		1,537,585
	5,685	EMC Corp.(b)		150,027
	4,882	Hewlett-Packard Co.(b)		146,509
	1,035	NCR Corp.(c)(d)		31,154

				1,865,275

		Textiles, Apparel & Luxury Goods — 0.8%
	2,632	Hanesbrands, Inc.(b)		87,698
	2,163	NIKE, Inc., Class B(b)		233,647

				321,345

		Thrifts & Mortgage Finance — 0.2%
	3,770	New York Community Bancorp, Inc.(d)		69,293

		Tobacco — 1.5%
	5,616	Altria Group, Inc.(b)		274,679
	3,649	Philip Morris International, Inc.(b)		292,540

				567,219

		Water Utilities — 0.1%
	1,088	American Water Works Co., Inc.(d)		52,909

		Total Common Stocks (Identified Cost $37,471,433)		37,641,859

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 13.7%
$	5,295,948	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $5,295,949 on 7/01/2015 collateralized by $5,405,000 U.S. Treasury Note, 0.625% due 6/30/2017 valued at $5,405,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,295,948)	$	5,295,948


		Total Investments — 110.7% (Identified Cost $42,767,381)(a)		42,937,807
		Other assets less liabilities — (10.7)%		(4,150,786	)

		Net Assets — 100.0%	$	38,787,021


Contracts
	Written Options — (0.8%)
		Index Options — (0.8%)
	22	On S&P 500^® Index, Call expiring July 10, 2015 at 2110	$	(9,570	)
	19	On S&P 500^® Index, Call expiring July 17, 2015 at 2075		(41,230	)
	18	On S&P 500^® Index, Call expiring July 17, 2015 at 2100		(18,450	)
	19	On S&P 500^® Index, Call expiring July 17, 2015 at 2115		(10,640	)
	19	On S&P 500^® Index, Call expiring July 17, 2015 at 2125		(6,555	)
	23	On S&P 500^® Index, Call expiring July 24, 2015 at 2065		(71,990	)
	20	On S&P 500^® Index, Call expiring August 21, 2015 at 2075		(73,900	)
	19	On S&P 500^® Index, Call expiring August 21, 2015 at 2100		(45,505	)
	21	On S&P 500^® Index, Call expiring August 21, 2015 at 2125		(29,085	)

		Total Written Options (Premiums Received $678,922)	$	(306,925	)


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2015, the net unrealized appreciation on investments based on a cost of $42,767,381 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,390,601
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,220,175	)

		Net unrealized appreciation	$	170,426


	(b)	A portion of this security has been pledged as collateral for outstanding options.
	(c)	Non-income producing security.
	(d)	All 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

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Industry Summary at June 30, 2015 (Unaudited)


Pharmaceuticals	6.3	%
Oil, Gas & Consumable Fuels	6.3
Banks	6.0
Technology Hardware, Storage & Peripherals	4.8
Media	3.9
Software	3.7
Biotechnology	3.3
IT Services	3.2
Internet Software & Services	3.1
Health Care Providers & Services	2.9
Aerospace & Defense	2.7
Capital Markets	2.5
Specialty Retail	2.4
Industrial Conglomerates	2.4
Food & Staples Retailing	2.4
Semiconductors & Semiconductor Equipment	2.3
Chemicals	2.3
Diversified Telecommunication Services	2.2
Insurance	2.0
Health Care Equipment & Supplies	2.0
Other Investments, less than 2% each	30.3
Short-Term Investments	13.7

Total Investments	110.7
Other assets less liabilities (including open written options)	(10.7	)

Net Assets	100.0	%

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 69.6% of Net Assets
	Non-Convertible Bonds — 64.8%
		ABS Car Loan — 0.7%
$	2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(b)	$	2,318,021
	2,280,000	Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.060%, 5/15/2019(b)		2,281,847
	2,810,000	Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(b)		2,810,124
	2,455,000	Honda Auto Receivables Owner Trust, Series 2014-4, Class A3, 0.990%, 9/17/2018(b)		2,458,454

				9,868,446

		ABS Credit Card — 4.1%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.606%, 2/16/2021(b)(c)		3,154,394
	1,860,000	American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019(b)		1,861,434
	1,015,000	American Express Credit Account Master Trust, Series 2014-3, Class A, 1.490%, 4/15/2020(b)		1,020,268
	2,695,000	American Express Credit Account Master Trust, Series 2014-4, Class A, 1.430%, 6/15/2020(b)		2,699,991
	2,295,000	American Express Credit Account Master Trust, Series 2014-5, Class A, 0.476%, 5/15/2020(b)(c)		2,296,756
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 0.566%, 6/15/2021(b)(c)		2,048,774
	3,075,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(b)		3,074,536
	6,600,000	Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(b)		6,607,630
	6,640,000	Chase Issuance Trust, Series 2014-A7, Class A, 1.380%, 11/15/2019(b)		6,653,804
	3,780,000	Chase Issuance Trust, Series 2014-A8, Class A, 0.436%, 11/15/2018(b)(c)		3,780,000
	3,560,000	Chase Issuance Trust, Series 2015-A1, Class A, 0.506%, 2/18/2020(b)(c)		3,563,937
	4,230,000	Chase Issuance Trust, Series 2015-A2, Class A, 1.590%, 2/18/2020(b)		4,252,157
	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A, 1.840%, 4/15/2022		3,462,480
	3,165,000	Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(b)		3,180,936
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.615%, 9/10/2020(b)(c)		5,836,609
	3,000,000	Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(b)		3,010,812
	3,045,000	Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020(b)		3,067,335

				59,571,853

		ABS Home Equity — 11.7%
	916,019	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.687%, 3/25/2035(b)(c)		893,758
	1,185,864	Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 4.150%, 4/25/2035(b)(c)		1,152,930
	1,981,770	Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.533%, 4/25/2035(b)(c)		1,961,864
	1,008,783	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033(b)		1,045,290

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	829,153	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033(b)	$	834,390
	622,258	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035(b)		631,708
	1,771,005	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(b)		1,813,954
	1,500,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 2.750%, 6/17/2031, 144A(c)		1,473,762
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		315,488
	1,980,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(b)		2,127,031
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(b)		1,286,528
	1,333,014	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033(b)		1,370,671
	1,930,143	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033(b)		1,974,661
	1,167,326	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(b)		1,235,612
	1,592,205	Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035(b)		1,428,931
	1,107,792	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034(b)		1,125,908
	750,607	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.635%, 7/25/2037, 144A(b)(c)		518,306
	2,068,133	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.478%, 11/20/2034(b)(c)		1,992,119
	755,355	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(b)		787,941
	1,455,121	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(b)		1,491,362
	2,975,145	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 2.740%, 9/25/2034(b)(c)		2,856,506
	1,522,307	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 2.639%, 2/25/2036(b)(c)		1,200,252
	919,116	CAM Mortgage Trust, Series 2014-2, Class M, 4.450%, 5/15/2048, 144A(b)(c)		920,413
	1,434,751	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036(b)		1,449,041
	906,809	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.614%, 5/25/2035(b)(c)		881,061
	3,640,747	Citigroup Mortgage Loan Trust, Inc., Series 2014-11, Class 2A1, 0.321%, 8/25/2036, 144A(c)		3,367,502
	3,303,212	Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1, 0.385%, 6/25/2047, 144A(b)(c)		3,041,997
	542,067	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036(b)		510,671
	2,608,440	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036(b)		2,341,828
	1,843,907	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037(b)		1,614,265
	400,000	Colony American Homes, Series 2014-2A, Class E, 3.390%, 7/17/2031, 144A(c)		391,124
	1,855,000	Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A(b)(c)		1,837,943
	1,280,000	Colony American Homes, Series 2015-1A, Class D, 2.337%, 7/17/2032, 144A(c)		1,240,011
	1,023,328	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034(b)		1,081,611
	3,763,940	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(b)		3,844,967

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,028,294	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(b)	$	1,060,662
	68,491	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.449%, 8/25/2034(c)(d)		70,141
	1,121,827	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.397%, 5/25/2035(b)(c)		923,745
	847,570	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036(b)		823,854
	715,154	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		480,550
	753,212	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037(b)		679,898
	1,259,562	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.688%, 8/25/2034(b)(c)		1,181,027
	197,062	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.491%, 9/20/2034(c)		187,948
	457,184	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.457%, 4/25/2035(c)		395,795
	1,434,840	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035(b)		1,342,716
	869,316	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.517%, 11/25/2033(b)(c)		834,350
	557,423	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.598%, 12/25/2033(c)(d)		551,410
	2,347,932	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.620%, 5/25/2034(b)(c)		2,326,399
	121,724	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028(d)		121,839
	1,078,087	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035(b)		994,684
	551,975	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		472,816
	785,873	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035(b)		792,401
	1,034,942	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(b)(c)		981,591
	681,941	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A(b)		684,315
	2,015,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 2.387%, 2/25/2024(b)(c)		2,017,275
	1,785,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1.837%, 4/25/2024(b)(c)		1,743,338
	182,087	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		182,943
	1,955,568	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.837%, 6/19/2035(b)(c)		1,897,791
	796,405	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.080%, 7/19/2035(b)(c)		756,562
	263,335	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.816%, 12/25/2034(c)		253,637
	1,552,665	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.741%, 12/25/2034(b)(c)		1,540,214

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	718,373	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.602%, 7/25/2035(b)(c)	$	677,418
	2,416,613	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.716%, 9/25/2035(b)(c)		2,434,382
	1,487,664	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036(b)		1,245,449
	1,164,159	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.967%, 12/25/2034(b)(c)		986,640
	2,463,840	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.827%, 7/25/2045(b)(c)		2,127,939
	3,035,000	Invitation Homes Trust, Series 2014-SFR1, Class B, 1.685%, 6/17/2031, 144A(b)(c)		3,002,714
	860,000	Invitation Homes Trust, Series 2015-SFR1, Class E, 4.385%, 3/17/2032, 144A(c)		872,952
	2,817,231	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.457%, 3/25/2036(b)(c)		2,435,651
	1,112,061	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 1.990%, 11/25/2033(b)(c)		1,096,076
	2,271,389	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.389%, 4/25/2035(b)(c)		2,199,004
	841,809	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 2.664%, 6/25/2035(b)(c)		850,774
	2,655,849	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036(b)		2,367,188
	1,701,730	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.411%, 2/25/2036(b)(c)		1,505,511
	3,213,265	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.559%, 1/25/2037(b)(c)		2,947,577
	2,551,543	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037(b)		2,116,309
	1,461	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.337%, 8/25/2046(c)(d)		1,414
	2,405,615	Lehman XS Trust, Series 2006-4N, Class A2A, 0.407%, 4/25/2046(b)(c)		1,755,040
	446,609	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.544%, 5/25/2034(c)(d)		432,854
	2,581,565	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.527%, 7/25/2034(b)(c)		2,578,676
	622,947	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.582%, 4/25/2036(b)(c)		598,082
	843,536	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(b)		875,298
	173,379	MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034(d)		172,890
	871,155	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(b)		908,919
	1,053,794	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(b)		1,094,552
	2,211,485	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034(e)		2,263,924
	1,859,635	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037(b)		1,460,137
	1,715,912	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037(b)		1,347,289
	349,256	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.133%, 5/25/2036(c)		346,157
	1,019,335	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(b)		956,308
	2,182,836	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(b)		2,218,818
	2,960,118	National City Mortgage Capital Trust, Series 2008-1, Class 2A1, 6.000%, 3/25/2038(b)		3,100,013
	725,818	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.525%, 10/25/2035(b)(c)		721,910
	2,246,919	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(b)		1,960,479
	836,410	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(b)		861,497

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	996,416	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.656%, 9/25/2034(b)(c)	$	985,945
	5,902,836	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.507%, 11/25/2034(c)(e)		5,967,661
	1,705,739	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 2.384%, 6/25/2034(b)(c)		1,677,689
	657,814	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.497%, 7/25/2035(b)(c)		478,104
	1,245,743	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(b)		1,297,796
	626,118	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035(b)		638,815
	3,398,693	U.S. Residential Opportunity Fund Trust, Series 2015-1III, Class A, 3.721%, 1/27/2035, 144A(e)		3,399,380
	2,566,346	U.S. Residential Opportunity Fund Trust, Series 2015-1IV, Class A, 3.721%, 2/27/2035, 144A(b)		2,564,585
	6,477,223	VOLT XXII LLC, Series 2015-NPL4, Class A1, 3.500%, 2/25/2055, 144A(b)(c)		6,468,433
	2,075,578	VOLT XXX LLC, Series 2015-NPL1, Class A1, 3.625%, 10/25/2057, 144A(b)(c)		2,074,040
	1,622,105	VOLT XXXI LLC, Series 2015-NPL2, Class A1, 3.375%, 2/25/2055, 144A(b)(c)		1,617,796
	634,496	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034(b)		659,518
	5,793,007	WaMu Mortgage Pass Through Certificates, Series 2005-AR7, Class A3, 2.406%, 8/25/2035(b)(c)		5,774,632
	1,253,022	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.187%, 9/25/2046(b)(c)		1,141,636
	2,724,724	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.937%, 1/25/2047(b)(c)		2,451,254
	339,244	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.615%, 10/25/2033(c)		340,424
	1,109,815	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.640%, 2/25/2034(b)(c)		1,110,413
	635,576	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 2.620%, 8/25/2034(c)		631,805
	420,082	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		435,960
	578,207	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035(b)		589,296
	1,854,985	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036(b)		1,825,101
	832,497	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.652%, 6/25/2035(b)(c)		838,058

				168,827,489

		ABS Other — 2.5%
	4,758,929	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)(c)		4,729,423
	3,413,426	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(b)		3,427,810

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	961,370	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(b)	$	981,503
	2,200,714	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(f)		2,200,714
	799,405	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(f)		799,405
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(f)(l)		2,540,791
	1,492,275	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)		1,477,651
	1,495,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(b)		1,503,372
	730,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(b)		733,876
	745,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A(b)		750,804
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A(b)		6,497,144
	1,265,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(b)		1,282,976
	296,724	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		301,157
	1,170,240	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(b)		1,160,805
	2,485,712	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(b)		2,493,502
	1,895,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(b)		1,897,369
	3,122,583	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(b)		3,140,913

				35,919,215

		ABS Student Loan — 0.2%
	487,441	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.437%, 8/25/2032, 144A(b)(c)		489,288
	2,599,691	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1.385%, 3/25/2033, 144A(b)(c)		2,599,737

				3,089,025

		Aerospace & Defense — 1.0%
	2,340,000	KLX, Inc., 5.875%, 12/01/2022, 144A(b)		2,363,142
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(b)		5,762,880
	825,000	Rockwell Collins, Inc., 0.636%, 12/15/2016(b)(c)		824,690
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(b)		4,901,150

				13,851,862

		Airlines — 1.9%
	28,340,000	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025, 144A		27,756,196

		Automotive — 4.5%
	6,590,000	Daimler Finance North America LLC, 0.958%, 8/01/2016, 144A(b)(c)		6,617,526

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	5,250,000	Ford Motor Credit Co. LLC, 1.529%, 5/09/2016(b)(c)	$	5,279,736
	5,455,000	General Motors Co., 5.200%, 4/01/2045(b)		5,402,850
	11,630,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		11,395,667
	6,100,000	Hyundai Capital Services, Inc., 1.086%, 3/18/2017, 144A(b)(c)		6,115,848
	5,960,000	Nissan Motor Acceptance Corp., 0.833%, 3/03/2017, 144A(b)(c)		5,981,683
	6,640,000	Nissan Motor Acceptance Corp., 0.981%, 9/26/2016, 144A(b)(c)		6,671,733
	10,650,000	Toyota Motor Credit Corp., 0.566%, 5/17/2016(b)(c)		10,667,349
	3,210,000	Volkswagen International Finance NV, 0.716%, 11/18/2016, 144A(b)(c)		3,215,091
	3,560,000	ZF North America Capital, Inc., 4.500%, 4/29/2022, 144A		3,487,198
	1,095,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A		1,060,102

				65,894,783

		Banking — 5.2%
	9,665,000	Ally Financial, Inc., 4.125%, 3/30/2020(b)		9,646,830
	3,310,000	Bank of America Corp., 1.315%, 1/15/2019(b)(c)		3,339,727
	6,825,000	Bank of America Corp., MTN, 4.200%, 8/26/2024(b)		6,808,565
	3,080,000	Bank of America Corp., Series L, MTN, 3.950%, 4/21/2025		2,966,625
	12,955,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(b)		12,586,353
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(b)		6,341,133
	7,200,000	Morgan Stanley, 4.350%, 9/08/2026(b)		7,055,136
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(b)		11,989,968
	6,900,000	Societe Generale S.A., (fixed rate to 12/18/2023, variable rate thereafter), 7.875%, 144A(g)		6,934,500
	6,935,000	Societe Generale S.A., (fixed rate to 12/18/2023, variable rate thereafter), 7.875%(b)(g)		6,969,675

				74,638,512

		Building Materials — 0.9%
	3,660,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A(b)		2,964,600
	6,320,000	Cemex SAB de CV, 6.125%, 5/05/2025, 144A(b)		6,235,944
	890,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A(b)		947,850
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(b)		909,427
	1,790,000	Owens Corning, 4.200%, 12/01/2024(b)		1,757,007

				12,814,828

		Cable Satellite — 1.1%
	6,370,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		6,194,825
	3,440,000	DISH DBS Corp., 5.875%, 7/15/2022(b)		3,371,200
	5,650,000	DISH DBS Corp., 5.875%, 11/15/2024(b)		5,427,531
	2,065,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		1,684,425

				16,677,981

		Chemicals — 0.4%
	2,596,000	Albemarle Corp., 4.150%, 12/01/2024(b)		2,587,618
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(b)		2,884,700

				5,472,318

		Collateralized Mortgage Obligations — 0.7%
	1,099,413	Chase Mortgage Finance Trust, Series 2007-A1, Class 11M1, 2.471%, 3/25/2037(b)(c)		1,019,938

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	67,084,087	Government National Mortgage Association, Series 2012-135, Class IO, 0.895%, 1/16/2053(b)(c)(h)	$	4,343,963
	4,488,203	Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A, 2.477%, 2/25/2036(b)(c)		4,367,537

				9,731,438

		Construction Machinery — 1.2%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.522%, 2/26/2016(b)(c)		17,683,011

		Consumer Cyclical Services — 0.9%
	1,180,000	IHS, Inc., 5.000%, 11/01/2022, 144A(b)		1,172,625
	3,185,000	Interval Acquisition Corp., 5.625%, 4/15/2023, 144A		3,224,813
	8,550,000	ServiceMaster Co. LLC (The), 7.000%, 8/15/2020(b)		9,030,937

				13,428,375

		Diversified Operations — 0.2%
	3,225,000	Brixmor Operating Partnership LP, 3.850%, 2/01/2025		3,099,425

		Electric — 1.6%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)(b)		1,330,842
	5,600,000	EDP Finance BV, 4.125%, 1/15/2020, 144A(b)		5,654,353
	11,740,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b)		13,471,650
	1,275,000	Talen Energy Supply LLC, 6.500%, 6/01/2025, 144A		1,275,000
	2,065,000	TerraForm Power Operating LLC, 5.875%, 2/01/2023, 144A(b)		2,095,975

				23,827,820

		Finance Companies — 2.5%
	2,300,000	Air Lease Corp., 3.750%, 2/01/2022(b)		2,298,620
	8,365,000	Air Lease Corp., 4.250%, 9/15/2024(b)		8,302,262
	470,000	Aircastle Ltd., 5.500%, 2/15/2022(b)		479,696
	8,435,000	iStar Financial, Inc., 4.000%, 11/01/2017(b)		8,287,388
	11,630,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A(b)		11,310,175
	5,270,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		5,046,025

				35,724,166

		Financial Other — 0.6%
	8,700,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(b)		9,048,000

		Food & Beverage — 0.5%
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b)		2,900,518
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)(b)		645,444
	3,500,000	General Mills, Inc., 0.579%, 1/29/2016(b)(c)		3,499,846

				7,045,808

		Gaming — 0.7%
	10,215,000	MGM Resorts International, 6.000%, 3/15/2023(b)		10,342,688

		Government Owned – No Guarantee — 1.6%
	630,000	Corporacion Financiera de Desarrollo S.A., 3.250%, 7/15/2019, 144A(b)		633,717
	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)		1,249,300

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Government Owned – No Guarantee — continued
	18,670,000,000	Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(b)	$	7,076,815
	12,700,000	Petrobras Global Finance BV, 5.625%, 5/20/2043(b)		9,815,830
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b)		4,563,506

				23,339,168

		Healthcare — 0.3%
	1,600,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		1,634,000
	2,195,000	THC Escrow Corp. II, 6.750%, 6/15/2023, 144A		2,238,900

				3,872,900

		Independent Energy — 2.0%
	635,000	Antero Resources Corp., 5.125%, 12/01/2022(b)		600,075
	150,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		140,625
	155,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		143,763
	905,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023(b)		812,238
	240,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		227,400
	45,000	California Resources Corp., 5.500%, 9/15/2021		39,159
	2,905,000	California Resources Corp., 6.000%, 11/15/2024		2,498,300
	2,880,000	Chesapeake Energy Corp., 4.875%, 4/15/2022(b)		2,498,400
	140,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		136,500
	365,000	Concho Resources, Inc., 5.500%, 10/01/2022		363,175
	825,000	Concho Resources, Inc., 5.500%, 4/01/2023(b)		825,000
	295,000	Continental Resources, Inc., 3.800%, 6/01/2024		269,276
	210,000	Continental Resources, Inc., 4.500%, 4/15/2023		202,484
	3,690,000	Continental Resources, Inc., 5.000%, 9/15/2022		3,618,528
	1,195,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		1,180,062
	1,009,000	Matador Resources Co., 6.875%, 4/15/2023, 144A		1,030,441
	925,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A(b)		855,625
	180,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		173,250
	645,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A(b)		618,394
	1,260,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022(b)		1,278,900
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(i)		753
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(i)		44
	2,350,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,496,875
	1,285,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		1,371,737
	310,000	Rosetta Resources, Inc., 5.875%, 6/01/2024		334,025
	575,000	SM Energy Co., 5.000%, 1/15/2024		544,813
	575,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		504,563
	400,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		392,000
	2,835,000	Whiting Petroleum Corp., 5.750%, 3/15/2021(b)		2,789,640
	3,255,000	Whiting Petroleum Corp., 6.500%, 10/01/2018(b)		3,295,687

				29,241,732

		Industrial Other — 0.2%
	2,200,000	Alfa SAB de CV, 6.875%, 3/25/2044, 144A(b)		2,248,840

		Integrated Energy — 1.3%
	2,935,000	BP Capital Markets PLC, 0.696%, 11/07/2016(b)(c)		2,934,090

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Integrated Energy — continued
$	6,595,000	Chevron Corp., 0.444%, 11/15/2017(b)(c)	$	6,585,259
	5,290,000	Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A(e)		3,782,350
	2,090,000	Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A		1,716,935
	3,310,000	Shell International Finance BV, 0.484%, 11/15/2016(b)(c)		3,316,150

				18,334,784

		Life Insurance — 1.1%
	8,600,000	Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(b)		11,436,945
	4,950,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		5,030,190

				16,467,135

		Lodging — 0.2%
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022(b)		2,286,398

		Media Entertainment — 0.1%
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b)		1,479,954

		Metals & Mining — 0.1%
	1,928,000	ArcelorMittal, 7.750%, 10/15/2039		1,918,360

		Midstream — 2.2%
	8,095,000	Energy Transfer Partners LP, 6.125%, 12/15/2045		8,107,733
	5,065,000	MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/01/2024(b)		4,951,038
	3,225,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020(b)		3,508,574
	5,055,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025, 144A(b)		5,004,450
	180,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		166,500
	690,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023(b)		683,100
	1,120,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022(b)		1,164,800
	1,310,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023, 144A(b)		1,349,300
	7,100,000	Williams Partners LP, 4.000%, 9/15/2025(b)		6,650,563

				31,586,058

		Non-Agency Commercial Mortgage-Backed Securities — 4.8%
	835,068	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.922%, 5/11/2039, 144A(b)(c)		860,478
	1,600,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 2.686%, 8/15/2029, 144A(b)(c)		1,591,448
	1,600,000	BLCP Hotel Trust, Series 2014-CLRN, Class E, 3.856%, 8/15/2029, 144A(b)(c)		1,599,571
	3,442,048	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.400%, 5/15/2018, 144A(c)(f)		3,442,048
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.721%, 4/15/2044, 144A(b)(c)		4,863,519
	2,135,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.336%, 10/15/2031, 144A(c)(f)		2,140,807
	850,000	Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.336%, 6/15/2034, 144A(b)(c)		847,555

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	855,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.936%, 6/15/2034, 144A(b)(c)	$	853,648
	1,605,000	Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.586%, 6/15/2034, 144A(b)(c)		1,605,369
	3,700,000	Credit Suisse Mortgage Capital Certificates, Series 2015-TOWN, Class A, 1.436%, 3/15/2017, 144A(b)(c)		3,682,877
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.735%, 11/10/2046, 144A(b)(c)		2,720,777
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.186%, 3/15/2018, 144A(b)(c)		1,300,390
	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c)		7,577,478
	6,295,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(b)(c)		6,411,476
	1,915,000	Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A(b)		1,927,580
	1,460,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A(b)		1,472,669
	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)(c)		1,601,360
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)(c)		1,571,352
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.861%, 4/12/2049(b)(c)		1,398,763
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.480%, 6/15/2044, 144A(b)(c)		1,672,293
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.480%, 6/15/2044, 144A(b)(c)		2,222,922
	9,885,000	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(f)		9,890,931
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 2.674%, 11/15/2026, 144A(b)(c)		2,278,586
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 3.424%, 11/15/2026, 144A(b)(c)		2,207,271
	700,000	SCG Trust, Series 2013-SRP1, Class D, 3.517%, 11/15/2026, 144A(b)(c)		699,574
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.648%, 2/15/2044, 144A(b)(c)		2,773,562

				69,214,304

		Pharmaceuticals — 1.9%
	7,500,000	AbbVie, Inc., 3.600%, 5/14/2025		7,412,962
	3,070,000	Johnson & Johnson, 0.356%, 11/28/2016(b)(c)		3,070,203
	5,570,000	Merck & Co., Inc., 0.404%, 2/10/2017(b)(c)		5,572,896
	3,160,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A(b)		3,327,875
	2,230,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A(b)		2,252,300
	6,060,000	VRX Escrow Corp., 4.500%, 5/15/2023, 144A, (EUR)(b)		6,544,864

				28,181,100

		Property & Casualty Insurance — 0.4%
	5,435,000	Old Republic International Corp., 4.875%, 10/01/2024(b)		5,622,812

		Railroads — 0.3%
	4,700,000	Canadian National Railway Co., 0.480%, 11/06/2015(b)(c)		4,700,771

		REITs – Health Care — 0.2%
	2,510,000	Healthcare Realty Trust, Inc., 3.875%, 5/01/2025		2,420,950

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Retailers — 0.1%
$	1,080,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023(b)	$	1,271,700

		Technology — 2.8%
	1,515,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		1,509,319
	2,415,000	Flextronics International Ltd., 4.750%, 6/15/2025, 144A		2,396,163
	10,955,000	Keysight Technologies, Inc., 4.550%, 10/30/2024, 144A(b)		10,573,700
	7,847,000	KLA-Tencor Corp., 4.650%, 11/01/2024(b)		7,842,715
	3,565,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		3,366,697
	3,565,000	Micron Technology, Inc., 5.625%, 1/15/2026, 144A		3,293,169
	3,890,000	Open Text Corp., 5.625%, 1/15/2023, 144A(b)		3,851,100
	1,720,000	Rolta Americas LLC, 8.875%, 7/24/2019, 144A		1,419,000
	6,125,000	Verisk Analytics, Inc., 5.500%, 6/15/2045		6,023,925

				40,275,788

		Treasuries — 1.4%
	3,200,000(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(b)		20,442,233

		Wirelines — 0.7%
	7,110,000	Level 3 Financing, Inc., 5.125%, 5/01/2023, 144A		6,976,687
	10,085,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(b)		3,016,645

				9,993,332

		Total Non-Convertible Bonds (Identified Cost $961,121,880)		937,211,558


	Convertible Bonds — 4.8%
		Building Materials — 0.1%
	930,000	Lennar Corp., 3.250%, 11/15/2021, 144A(b)		2,030,306

		Consumer Cyclical Services — 0.3%
	3,145,000	Jarden Corp., 1.125%, 3/15/2034(b)		3,661,959

		Media Entertainment — 0.5%
	7,450,000	Rovi Corp., 0.500%, 3/01/2020, 144A(e)		6,807,438

		Midstream — 0.8%
	10,600,000	Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A(e)		11,580,500

		Pharmaceuticals — 1.1%
	449,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018(b)		692,021
	1,168,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020(b)		1,860,040
	1,600,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021(b)		1,982,000
	690,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		3,557,813
	1,670,000	Mylan, Inc., 3.750%, 9/15/2015(b)		8,486,731

				16,578,605

		REITs – Mortgage — 0.0%
	220,000	Redwood Trust, Inc., 4.625%, 4/15/2018		210,925

		Technology — 2.0%
	1,075,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A(e)		1,118,000
	1,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A(b)		2,463,863
	1,600,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A		2,024,000
	915,000	Novellus Systems, Inc., 2.625%, 5/15/2041(b)		2,175,984

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	2,925,000	Nuance Communications, Inc., 1.500%, 11/01/2035	$	3,021,891
	3,145,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A(b)		5,120,453
	3,540,000	SunEdison, Inc., 2.375%, 4/15/2022, 144A(b)		4,705,987
	4,014,000	SunEdison, Inc., 2.625%, 6/01/2023, 144A		4,064,175
	4,516,000	SunEdison, Inc., 3.375%, 6/01/2025, 144A		4,665,593

				29,359,946

		Total Convertible Bonds (Identified Cost $58,266,696)		70,229,679


		Total Bonds and Notes (Identified Cost $1,019,388,576)		1,007,441,237


	Senior Loans — 11.3%
		Aerospace & Defense — 0.5%
	2,717,636	Transdigm, Inc., 2015 Term Loan E, 3.500%, 5/14/2022(c)		2,679,127
	1,640,120	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(c)		1,625,769
	2,982,826	Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(c)		2,956,398

				7,261,294

		Automotive — 0.5%
	771,155	American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.250%, 9/01/2021(c)		777,425
	1,635,640	Gates Global, Inc., Term Loan B, 4.250%, 7/05/2021(c)		1,609,061
	2,363,843	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(c)		2,298,837
	1,974,018	Visteon Corp., Delayed Draw Term Loan B, 3.500%, 4/09/2021(c)		1,967,602

				6,652,925

		Building Materials — 0.8%
	3,138,060	ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(c)		3,121,586
	2,271,777	Continental Building Products LLC, 1st Lien Term Loan, 4.000%, 8/28/2020(c)		2,260,418
	2,498,485	HD Supply, Inc., Term Loan B, 4.000%, 6/28/2018(c)		2,492,864
	268,761	Ply Gem Industries, Inc., Term Loan, 4.000%, 2/01/2021(c)		266,296
	3,278,963	Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(c)		3,277,585

				11,418,749

		Cable Satellite — 0.1%
	2,218,593	Virgin Media Investment Holdings Ltd., USD Term Loan F, 3.500%, 6/30/2023(c)		2,194,566

		Chemicals — 0.3%
	1,543,943	Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 3.750%, 2/01/2020(c)		1,541,241
	439,678	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(c)		438,442
	1,176,000	MacDermid, Inc., USD 1st Lien Term Loan, 4.500%, 6/07/2020(c)		1,177,470
	825,000	Royal Holdings, Inc., 2015 1st Lien Term Loan, 6/19/2022(j)		824,653

				3,981,806

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Consumer Cyclical Services — 0.8%
$	2,504,202	Creative Artists Agency LLC, Term Loan B, 5.500%, 12/17/2021(c)	$	2,522,984
	3,309,947	Realogy Corp., New Term Loan B, 3.750%, 3/05/2020(c)		3,300,646
	5,134,886	ServiceMaster Co., 2014 Term Loan B, 4.250%, 7/01/2021(c)		5,130,881

				10,954,511

		Consumer Products — 0.2%
	637,621	Bauer Performance Sports Ltd., Term Loan B, 4.000%, 4/15/2021(c)		632,042
	420,974	Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(c)		420,448
	2,017,196	SRAM LLC, New Term Loan B, 4.027%, 4/10/2020(k)		1,997,024

				3,049,514

		Diversified Manufacturing — 0.1%
	600,364	Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(c)		599,241
	899,943	Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(c)		893,194
	538,123	Milacron LLC, Term Loan B, 4.500%, 9/28/2020(c)		538,123
	92,368	WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(c)		92,253

				2,122,811

		Electric — 0.3%
	1,813,980	Calpine Construction Finance Co. LP, Original Term Loan B1, 3.000%, 5/03/2020(c)		1,776,195
	2,155,000	Calpine Corp., Term Loan B5, 3.500%, 5/27/2022(c)		2,133,989

				3,910,184

		Finance Companies — 0.1%
	974,015	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(c)		973,713

		Financial Other — 0.1%
	1,207,967	Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(c)		1,196,890
	544,571	Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(c)		539,125

				1,736,015

		Food & Beverage — 0.2%
	2,666,250	Aramark Services, Inc., USD Term Loan F, 3.250%, 2/24/2021(c)		2,652,439
	817,722	Reddy Ice Corp., 1st Lien Term Loan, 6.752%, 5/01/2019(k)		723,683

				3,376,122

		Health Insurance — 0.2%
	2,985,896	Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(c)		2,935,763

		Healthcare — 0.3%
	640,000	Community Health Systems, Inc., Term Loan H, 4.000%, 1/27/2021(c)		640,653
	1,485,000	Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(c)		1,454,246
	1,707,449	Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(c)		1,684,688

				3,779,587

		Industrial Other — 0.8%
	1,083,527	Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(c)		1,075,401
	2,303,915	Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 3.750%, 11/23/2020(c)		2,180,080

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Industrial Other — continued
$	5,248,329	Generac Power Systems, Inc., Term Loan B, 3.250%, 5/31/2020(c)	$	5,198,050
	512,786	Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(c)		510,222
	1,920,661	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(c)		1,919,470
	1,230,000	Sterigenics-Nordion Holdings LLC, Term Loan B, 4.250%, 5/15/2022(c)		1,226,925

				12,110,148

		Leisure — 0.1%
	1,794,870	Time, Inc., Term Loan B, 4.250%, 4/26/2021(c)		1,790,383

		Midstream — 0.2%
	1,002,817	Energy Transfer Equity LP, 2015 Term Loan, 4.000%, 12/02/2019(c)		1,001,814
	1,930,000	Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(c)		1,911,916

				2,913,730

		Natural Gas — 0.1%
	970,101	Southcross Energy Partners LP, 1st Lien Term Loan, 5.250%, 8/04/2021(c)		960,400

		Other Utility — 0.2%
	3,014,995	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c)		3,007,457
	160,706	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(c)		160,304

				3,167,761

		Packaging — 0.2%
	981,161	Ardagh Holdings USA, Inc., Incremental Term Loan, 4.000%, 12/17/2019(c)		977,786
	2,200,137	Signode Industrial Group U.S., Inc., USD Term Loan B, 3.750%, 5/01/2021(c)		2,172,635

				3,150,421

		Pharmaceuticals — 1.0%
	2,242,189	Amneal Pharmaceuticals LLC, Incremental Term Loan, 11/01/2019(j)		2,242,189
	1,546,380	DPx Holdings BV, 2014 USD Incremental Term Loan, 4.250%, 3/11/2021(c)		1,533,576
	1,809,110	Endo Luxembourg Finance Co. I S.a r.l., 2015 Term Loan B, 6/11/2022(j)		1,812,511
	981,575	IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(c)		975,440
	2,998,050	Mallinckrodt International Finance S.A., Term Loan B, 3.250%, 3/19/2021(c)		2,982,221
	4,313,365	Valeant Pharmaceuticals International, Term Loan B F1, 4.000%, 4/01/2022(c)		4,306,161

				13,852,098

		Property & Casualty Insurance — 0.5%
	3,054,338	Hub International Ltd., Term Loan B, 4.000%, 10/02/2020(c)		3,029,536
	1,486,275	Hyperion Insurance Group Ltd., 2015 Term Loan B, 5.500%, 4/29/2022(c)		1,489,991
	3,310,824	Vertafore, Inc., 1st Lien Term Loan, 4.250%, 10/03/2019(c)		3,304,202

				7,823,729

		Refining — 0.2%
	2,547,537	Western Refining, Inc., Term Loan B, 4.250%, 11/12/2020(c)		2,534,799

		Restaurants — 0.2%
	3,600,000	1011778 B.C. Unlimited Liability Co., 2015 Term Loan B, 12/10/2021(j)		3,591,000

		Retailers — 0.4%
	320,986	Hillman Group, Inc. (The), Term Loan B, 4.500%, 6/30/2021(c)		320,986
	3,162,382	PetSmart, Inc., Term Loan B, 4.250%, 3/11/2022(c)		3,153,685

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Retailers — continued
$	600,355	Staples, Inc., Term Loan B, 4/07/2021(j)	$	598,980
	1,896,558	Talbots, Inc. (The), 1st Lien Term Loan, 5.500%, 3/19/2020(c)		1,849,144

				5,922,795

		Technology — 1.3%
	2,853,875	Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(c)		2,818,201
	1,230,000	Dell International LLC, USD Term Loan B2, 4.000%, 4/29/2020(c)		1,229,779
	3,045,788	Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(c)		3,001,381
	3,267,925	IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(c)		3,022,831
	3,194,068	MA FinanceCo. LLC, Term Loan B, 5.250%, 11/19/2021(c)		3,196,911
	952,982	Nuance Communications, Inc., Term Loan C, 2.940%, 8/07/2019(c)		944,244
	1,439,363	NXP BV, Term Loan D, 3.250%, 1/11/2020(c)		1,433,072
	3,165,634	SS&C Technologies, Inc., 2015 Term Loan B1, 6/23/2022(j)		3,163,671
	713,138	SS&C Technologies, Inc., 2015 Term Loan B2, 6/23/2022(j)		712,696

				19,522,786

		Transportation Services — 0.1%
	779,135	FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(c)		771,990
	517,920	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(c)		517,599

				1,289,589

		Wireless — 0.3%
	2,328,016	Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(c)		2,331,903
	1,356,300	SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(c)		1,342,127

				3,674,030

		Wirelines — 1.2%
	2,855,000	Communications Sales & Leasing, Inc., Term Loan B, 5.000%, 10/24/2022(c)		2,800,270
	3,688,043	CWC Cayman Finance Ltd., Secured Term Loan, 5.500%, 4/28/2017(c)		3,683,433
	3,531,150	Integra Telecom, Inc., 2015 1st Lien Term Loan, 5.250%, 8/14/2020(c)		3,503,783
	2,114,040	Level 3 Financing, Inc., 2015 Term Loan B2, 3.500%, 5/31/2022(c)		2,097,741
	1,996,754	LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(c)		1,983,656
	3,025,909	Zayo Group LLC, Term Loan B, 3.750%, 5/06/2021(c)		2,997,738

				17,066,621

		Total Senior Loans (Identified Cost $164,063,900)		163,717,850


	Loan Participations — 0.2%
		ABS Other — 0.2%
	2,558,887	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(c)(f) (Identified Cost $2,578,078)		2,584,476


Shares
	Preferred Stocks — 4.6%
	Convertible Preferred Stocks — 4.0%
		Consumer Non-Cyclical Services — 0.8%
	217,998	Tyson Foods, Inc., 4.750%(b)		11,229,077

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Electric — 0.2%
	17,432	Dominion Resources, Inc., 6.375%(b)	$	814,074
	11,055	Dominion Resources, Inc., Series A, 6.125%(b)		592,437
	9,938	Dominion Resources, Inc., Series B, 6.000%(b)		534,963
	9,050	NextEra Energy, Inc., 5.889%(b)		558,476

				2,499,950

		Metals & Mining — 0.9%
	296,025	Alcoa, Inc., Series 1, 5.375%(e)		11,701,868
	131,000	ArcelorMittal, 6.000%(b)		2,044,910

				13,746,778

		Midstream — 0.3%
	1,977	Chesapeake Energy Corp., Series A, 5.750%, 144A(b)		1,332,320
	4,215	Chesapeake Energy Corp., 5.750%		2,868,834
	142	Chesapeake Energy Corp., 5.750%, 144A		96,649

				4,297,803

		Pharmaceuticals — 0.9%
	12,844	Allergan PLC, Series A, 5.500%		13,390,898

		REITs – Diversified — 0.8%
	7,169	Crown Castle International Corp., Series A, 4.500%		739,841
	223,896	Weyerhaeuser Co., Series A, 6.375%(b)		11,642,592

				12,382,433

		REITs – Mortgage — 0.1%
	17,715	iStar Financial, Inc., Series J, 4.500%		1,009,578

		Total Convertible Preferred Stocks (Identified Cost $60,825,928)		58,556,517


	Non-Convertible Preferred Stocks — 0.6%
		Banking — 0.3%
	3,802	Ally Financial, Inc., Series G, 7.000%, 144A(b)		3,841,802

		Cable Satellite — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(b)		4,297,550

		Total Non-Convertible Preferred Stocks (Identified Cost $7,754,788)		8,139,352


		Total Preferred Stocks (Identified Cost $68,580,716)		66,695,869


	Common Stocks — 2.4%
		Banks — 0.5%
	289,100	Mitsubishi UFJ Financial Group, Inc.		2,079,919
	1,055,000	Mizuho Financial Group, Inc.		2,282,738
	65,200	Sumitomo Mitsui Financial Group, Inc.		2,902,651

				7,265,308

		Capital Markets — 0.0%
	86,982	Huatai Securities Co. Ltd., Series H, 144A(l)		245,745

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Communications Equipment — 0.3%
	125,943	Cisco Systems, Inc.(b)	$	3,458,395

		Energy Equipment & Services — 0.1%
	35,206	Halliburton Co.(b)		1,516,322

		Oil, Gas & Consumable Fuels — 1.0%
	50,717	Anadarko Petroleum Corp.(b)		3,958,969
	48,169	Canadian Natural Resources Ltd.(b)		1,308,270
	173,661	Kinder Morgan, Inc.(b)		6,666,846
	8,736	Pioneer Natural Resources Co.(b)		1,211,596
	51,624	Suncor Energy, Inc.(b)		1,420,692

				14,566,373

		Specialty Retail — 0.5%
	30,674	Home Depot, Inc. (The)(b)		3,408,801
	47,543	Lowe’s Cos., Inc.(b)		3,183,955

				6,592,756

		Total Common Stocks (Identified Cost $33,016,549)		33,644,899


	Exchange-Traded Funds — 0.2%
	23,665	iShares^® Core S&P Mid-Cap ETF(b) (Identified Cost $3,438,100)		3,549,277


	Other Investments — 0.6%
		Aircraft ABS — 0.6%
	900	ECAF I Blocker Ltd.(f) (Identified Cost $9,000,000)		9,000,000


Contracts/ Shares/Units of Currency (†††)
	Purchased Options — 0.1%
		Index Options — 0.0%
	150	EURO STOXX 50^®, Call expiring September 18, 2015 at 3850		43,405

		Options on Securities — 0.0%
	366,900	Freeport-McMoRan, Inc., Call expiring August 21, 2015 at 25		20,179
	272,000	iShares^® Russell 2000 ETF, Put expiring July 17, 2015 at 121		274,720

				294,899

		Over-the-Counter Options on Currency — 0.1%
	26,720,000	INR Call, expiring July 24, 2015 at 61.5000(m)		1,550
	43,875,000	INR Call, expiring August 31, 2015 at 61.5000(n)		19,217
	61,600,000	KRW Put, expiring November 25, 2015 at 1113(m)		1,723,630

				1,744,397

		Total Purchased Options (Identified Cost $3,457,297)		2,082,701

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Notional Amount (†††)		Description	Value (†)
	Purchased Swaptions — 0.1%
		Interest Rate Swaptions — 0.1%
$	1,570,000,000	1-year Interest Rate Swap Put, expiring 10/01/2015, Pay 28-day TIIE, Receive MXN 4.200%(m)	$	337,274
	1,375,000,000	1-year Interest Rate Swap Put, expiring 10/16/2015, Pay 28-day TIIE, Receive MXN 4.400%(m)		410,728

		Total Purchased Swaptions (Identified Cost $706,414)		748,002


Principal Amount (‡)
	Short-Term Investments — 9.4%
$	2,923,697	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $2,923,697 on 7/01/2015 collateralized by $2,929,400 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $2,982,187 including accrued interest (Note 2 of Notes to Financial Statements)		2,923,697
	123,562,614	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $123,562,648 on 7/01/2015 collateralized by $585,000 U.S. Treasury Note, 0.625% due 6/30/2017 valued at $585,000; $150,000 U.S. Treasury Note, 4.000% due 8/15/2018 valued at $166,313; $127,195,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $125,287,075 including accrued interest (Note 2 of Notes to Financial Statements)		123,562,614
	9,400,000	U.S. Treasury Bills, 0.067%, 8/20/2015(o)(p)		9,399,934

		Total Short-Term Investments (Identified Cost $135,885,436)		135,886,245


		Total Investments — 98.5% (Identified Cost $1,440,115,066)(a)		1,425,350,556
		Other assets less liabilities — 1.5%		21,697,026

		Net Assets — 100.0%	$	1,447,047,582


Shares (†††)
	Written Options — (0.1%)
		Options on Securities – (0.0%)
	25,300	Anadarko Petroleum Corp., Call expiring July 02, 2015 at 84.5000	$	(2,277	)
	30,600	Home Depot, Inc. (The), Call expiring July 17, 2015 at 116		(5,508	)
	86,800	Kinder Morgan, Inc., Call expiring July 02, 2015 at 40.5000		(4,774	)
	47,500	Lowe’s Cos., Inc., Call expiring July 17, 2015 at 72.5000		(1,662	)

				(14,221	)

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Notional Amount/Units of Currency (†††)		Description	Value (†)
		Over-the-Counter Options on Currency — (0.1%)
	61,600,000	KRW Put, expiring November 25, 2015 at 1150(m)	$	(960,529	)

		Total Written Options (Premiums Received $1,038,595)	$	(974,750	)


	Written Swaptions — (0.0%)
		Interest Rate Swaptions — (0.0%)
$	1,570,000,000	1-year Interest Rate Swap Put, expiring 10/01/2015, Pay 3.730%, Receive 28-Day TIIE(m) (Premiums Received $103,414)	$	(84,286	)


	(‡)	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. Options on indices are expressed as contracts.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2015, the net unrealized depreciation on investments based on a cost of $1,440,384,265 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	$	28,758,353
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(43,792,062	)

		Net unrealized depreciation	$	(15,033,709	)


	(b)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or swaptions.
	(c)	Variable rate security. Rate as of June 30, 2015 is disclosed.
	(d)	Fair valued by the Fund’s adviser. At June 30, 2015, the value of these securities amounted to $1,350,548 or 0.1% of net assets. (See Note 2 of Notes to Financial Statements)
	(e)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or swaptions.
	(f)	Illiquid security. At June 30, 2015, the value of these securities amounted to $47,140,082 or 3.3% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. (See Note 2 of Notes to Financial Statements)
	(g)	Perpetual bond with no specified maturity date.
	(h)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(i)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



	(j)			Position is unsettled. Contract rate was not determined at June 30, 2015 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(k)			Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2015.
	(l)			Non-income producing security.
	(m)			Counterparty is Bank of America, N.A.
	(n)			Counterparty is Citibank, N.A.
	(o)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(p)			All of this security has been pledged as initial margin for open futures contracts.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015, the value of Rule 144A holdings amounted to $442,994,274 or 30.6% 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
	TIIE			Tasa de Interes de Equilibrio — Equilibrium Interbank Interest Rate

	BRL			Brazilian Real
	COP			Colombian Peso
	EUR			Euro
	INR			Indian Rupee
	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.

| 40

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2015, 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)
Citibank, N.A.	Republic of Brazil	(1.00%)		9/20/2020	$	12,700,000	$	939,389	$	957,616	$	18,227	$	(3,175	)



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		5.96	%	$	1,775,000	$	(198,289	)	$	(335,527	)	$	(137,238	)	$	441
Citibank, N.A.	Transocean, Inc.	1.00%		12/20/2019		5.96	%		600,000		(92,043	)		(113,418	)		(21,375	)		150
Citibank, N.A.	Transocean, Inc.	1.00%		12/20/2019		5.96	%		3,150,000		(351,893	)		(595,442	)		(243,549	)		782
Deutsche Bank AG	Transocean, Inc.	1.00%		12/20/2019		5.96	%		2,660,000		(327,192	)		(502,817	)		(175,625	)		665
JPMorgan Chase Bank, N.A.	Transocean, Inc.	1.00%		12/20/2019		5.96	%		4,075,000		(585,854	)		(770,293	)		(184,439	)		1,019
JPMorgan Chase Bank, N.A.	Transocean, Inc.	1.00%		12/20/2019		5.96	%		2,025,000		(303,314	)		(382,784	)		(79,470	)		506
JPMorgan Chase Bank, N.A.	Transocean, Inc.	1.00%		12/20/2019		5.96	%		1,215,000		(192,690	)		(229,670	)		(36,980	)		304
Morgan Stanley Capital Services, Inc.	Transocean, Inc.	1.00%		12/20/2019		5.96	%		810,000		(129,642	)		(153,114	)		(23,472	)		203

Total													$	(3,083,065	)	$	(902,148	)	$	4,070

(‡)	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.

At June 30, 2015, the Fund had the following open bilateral interest rate swap agreements:


Counterparty	Notional Value	Currency		Expiration Date		Fund Pays			Fund Receives	Market Value¹
Bank of America, N.A.	36,000,000		ZAR		5/8/2025		7.950	%	3-month SAFEX-JIBAR	$	71,302
Barclays Bank PLC	291,000,000		ZAR		5/5/2025		7.950	%	3-month SAFEX-JIBAR		575,207
JPMorgan Chase Bank, N.A.	57,120,000		ZAR		4/17/2025		7.720	%	3-month SAFEX-JIBAR		184,422

Total										$	830,931

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2015, the Fund had the following open centrally cleared interest rate swap agreements:

Notional Value

Currency

Expiration
Date

Fund Pays

Fund
Receives

Market
Value¹

40,170,000

USD

5/5/2025

2.184

3-month
LIBOR

937,241

¹ There are no up front payments on interest rate swap agreements; therefore unrealized appreciation (depreciation) is equal to market value.


LIBOR		London Interbank Offered Rate
JIBAR		Johannesburg Interbank Agreed Rate
SAFEX		South African Futures Exchange

At June 30, 2015, 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		7/06/2015	Brazilian Real		27,700,000	$	8,896,577	$	(284,464	)
Sell²		7/21/2015	Colombian Peso		18,400,000,000		7,048,715		213,105
Sell³		7/20/2015	Euro		5,911,000		6,591,436		55,696
Sell⁴		7/27/2015	Euro		9,845,000		10,979,258		41,334
Sell¹		7/29/2015	Euro		26,000,000		28,996,228		189,292
Buy¹		7/29/2015	Hungarian Forint		7,777,600,000		27,472,088		(375,669	)
Sell³		7/27/2015	Japanese Yen		3,535,800,000		28,899,346		(453,650	)
Sell¹		7/29/2015	Japanese Yen		870,500,000		7,115,076		(74,332	)
Sell⁴		7/08/2015	Mexican Peso		87,652,000		5,574,343		54,636
Sell⁴		7/09/2015	Mexican Peso		326,288,000		20,749,238		(13,582	)
Sell⁴		7/27/2015	Mexican Peso		5,362,500		340,576		5,870
Sell²		7/22/2015	New Zealand Dollar		8,860,000		5,993,432		137,936
Sell⁴		7/27/2015	South African Rand		266,200,000		21,787,017		2,115

Total								$	(501,713	)

At June 30, 2015, the Fund had the following open forward cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive/Units of Currency

Unrealized
Appreciation
(Depreciation)

7/29/2015

Australian Dollar

27,720,000

Canadian Dollar

⁴

26,481,193

(161,213

)

¹Counterparty is Bank of America, N.A.

²Counterparty is Citibank, N.A.

³Counterparty is Deutsche Bank AG

⁴Counterparty is Credit Suisse International

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2015, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		9/18/2015		23	$	7,060,525	$	(69,144	)
TOPIX		9/10/2015		108		14,375,914		(21,792	)

Total							$	(90,936	)

At June 30, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/18/2015		813	$	83,515,425	$	1,396,406
Eurodollar		12/19/2016		819		201,944,925		(33,675	)
Eurodollar		12/18/2017		1,420		347,758,000		553,022
Sterling		12/21/2016		1,123		217,542,475		630,713

Total							$	2,546,466

Industry Summary at June 30, 2015 (Unaudited)


ABS Home Equity	11.7	%
Technology	6.1
Banking	5.5
Automotive	5.0
Pharmaceuticals	4.9
Non-Agency Commercial Mortgage-Backed Securities	4.8
ABS Credit Card	4.1
Midstream	3.5
ABS Other	2.7
Finance Companies	2.6
Electric	2.1
Independent Energy	2.0
Consumer Cyclical Services	2.0
Other Investments, less than 2% each	32.1
Short-Term Investments	9.4

Total Investments	98.5
Other assets less liabilities (including open written options/swaptions, swap agreements, forward foreign currency contracts and futures contracts)	1.5

Net Assets	100.0	%

See accompanying notes to financial statements.

43 |

Statements of Assets and Liabilities

June 30, 2015 (Unaudited)


	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
ASSETS
Investments at cost	$	37,471,433		$	1,313,628,755
Repurchase agreement(s) at cost		5,295,948			126,486,311
Net unrealized appreciation (depreciation)		170,426			(14,764,510	)

Investments at value		42,937,807			1,425,350,556
Cash		489			3,113,137
Due from brokers (Note 2)		—			12,178,990
Foreign currency at value (identified cost $0 and $8,422,135, respectively)		—			8,419,599
Receivable for Fund shares sold		51,430			4,642,881
Receivable for securities sold		6,617			10,815,807
Collateral received for open forward foreign currency contracts, options, swaptions or swap agreements (Notes 2 and 4)		—			1,488,080
Dividends and interest receivable		38,872			8,334,723
Unrealized appreciation on bilateral swap agreements (Note 2)		—			849,158
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			699,984
Tax reclaims receivable		—			16,616
Receivable for variation margin on centrally cleared swap agreements (Note 2)		—			9,752
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			939,389
Fees receivable on swap agreements (Note 2)		—			338,365

TOTAL ASSETS		43,035,215			1,477,197,037

LIABILITIES
Options/swaptions written, at value (premiums received $678,922 and $1,142,009, respectively) (Note 2)		306,925			1,059,036
Payable for securities purchased		3,884,719			19,606,987
Unrealized depreciation on bilateral swap agreements (Note 2)		—			902,148
Payable for Fund shares redeemed		—			891,600
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			1,362,910
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		—			2,180,917
Due to brokers (Note 2)		—			1,488,080
Payable for variation margin on futures contracts (Note 2)		—			1,021,835
Fees payable on swap agreements (Note 2)		—			554,433
Management fees payable (Note 6)		9,988			831,482
Deferred Trustees’ fees (Note 6)		7,259			62,492
Administrative fees payable (Note 6)		1,090			50,416
Payable to distributor (Note 6d)		124			10,825
Other accounts payable and accrued expenses		38,089			126,294

TOTAL LIABILITIES		4,248,194			30,149,455

NET ASSETS	$	38,787,021		$	1,447,047,582

NET ASSETS CONSIST OF:
Paid-in capital	$	38,275,760		$	1,504,896,427
Undistributed (Distributions in excess of) net investment income		3,037			(2,144,993	)
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(34,195	)		(43,402,092	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		542,419			(12,301,760	)

NET ASSETS	$	38,787,021		$	1,447,047,582

See accompanying notes to financial statements.

| 44

Statements of Assets and Liabilities (continued)

June 30, 2015 (Unaudited)


	Gateway Equity Call Premium Fund		Loomis Sayles Strategic Alpha Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	2,899,332	$	112,859,820

Shares of beneficial interest		283,001		11,402,129

Net asset value and redemption price per share	$	10.24	$	9.90

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.86	$	10.37

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	36,863	$	66,504,421

Shares of beneficial interest		3,597		6,742,459

Net asset value and offering price per share	$	10.25	$	9.86

Class Y shares:
Net assets	$	35,850,826	$	1,267,683,341

Shares of beneficial interest		3,497,737		128,212,582

Net asset value, offering and redemption price per share	$	10.25	$	9.89

See accompanying notes to financial statements.

45 |

Statements of Operations

For the Six Months Ended June 30, 2015 (Unaudited)


	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
INVESTMENT INCOME
Interest	$	67		$	24,654,511
Dividends		424,706	(a)		2,174,703
Less net foreign taxes withheld		(207	)		(17,475	)

		424,566			26,811,739

Expenses
Management fees (Note 6)		87,314			4,924,426
Service and distribution fees (Note 6)		2,933			481,262
Administrative fees (Note 6)		5,697			298,365
Trustees’ fees and expenses (Note 6)		7,940			17,985
Transfer agent fees and expenses (Note 6)		6,889			519,849
Audit and tax services fees		20,507			39,957
Custodian fees and expenses		58,952			90,345
Legal fees		113			6,543
Registration fees		12,188			76,717
Shareholder reporting expenses		1,088			30,621
Miscellaneous expenses		5,651			30,307

Total expenses		209,272			6,516,377
Less waiver and/or expense reimbursement (Note 6)		(78,006	)		—

Net expenses		131,266			6,516,377

Net investment income		293,300			20,295,362

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		(99,221	)		(597,258	)
Futures contracts		—			(5,286,528	)
Options/swaptions written		572,231			2,187,419
Swap agreements		—			979,790
Foreign currency transactions		—			11,041,392
Net change in unrealized appreciation (depreciation) on:
Investments		(256,334	)		(10,799,531	)
Futures contracts		—			5,820,425
Options/swaptions written		305,257			(190,963	)
Swap agreements		—			532,184
Foreign currency translations		(4	)		(4,816,970	)

Net realized and unrealized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		521,929			(1,130,040	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	815,229		$	19,165,322

(a)	Includes a non-recurring dividend of $144,050 recognized as part of a merger transaction involving two of the Fund’s portfolio securities. The Fund’s cost basis in the new securities received in the merger was increased by this amount. There was no impact to the Fund’s net asset value.

See accompanying notes to financial statements.

| 46

Statements of Changes In Net Assets


	Gateway Equity Call Premium Fund						Loomis Sayles Strategic Alpha Fund
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014(a)			Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
FROM OPERATIONS:
Net investment income	$	293,300		$	30,945		$	20,295,362		$	38,148,683
Net realized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		473,010			(507,890	)		8,324,815			(1,418,567	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		48,919			493,500			(9,454,855	)		(7,982,537	)

Net increase in net assets resulting from operations		815,229			16,555			19,165,322			28,747,579

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(21,994	)		(379	)		(2,190,517	)		(4,068,797	)
Class C		(165	)		(2	)		(1,071,052	)		(1,878,950	)
Class Y		(265,826	)		(54,347	)		(25,607,126	)		(37,780,827	)

Total distributions		(287,985	)		(54,728	)		(28,868,695	)		(43,728,574	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		17,347,953			20,949,997			92,876,049			139,284,341

Net increase in net assets		17,875,197			20,911,824			83,172,676			124,303,346
NET ASSETS
Beginning of the period		20,911,824			—			1,363,874,906			1,239,571,560

End of the period	$	38,787,021		$	20,911,824		$	1,447,047,582		$	1,363,874,906

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	3,037		$	(2,278	)	$	(2,144,993	)	$	6,428,340

(a)	From commencement of operations on September 30, 2014 through December 31, 2014.

See accompanying notes to financial statements.

47 |

Financial Highlights

For a share outstanding throughout each period.


	Gateway Equity Call Premium Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	9.96		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11	(b)		0.02
Net realized and unrealized gain (loss)		0.25			(0.02	)

Total from Investment Operations		0.36			0.00	(c)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.04	)
Net realized capital gains		—			—

Total Distributions		(0.08	)		(0.04	)

Net asset value, end of the period	$	10.24		$	9.96

Total return(d)(e)(f)		3.62	%		0.00	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,899		$	96
Net expenses(g)(h)		1.21	%(i)		1.20	%
Gross expenses(h)		1.78	%(i)		3.69	%
Net investment income(h)		2.21	%(b)		0.84	%
Portfolio turnover rate		12	%		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)	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 0.95%.

(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)	Periods less than one year are not annualized.

(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)	Includes interest expense of 0.01%. Without this expense the ratio of net expenses would have been 1.20% and the ratio of gross expenses would have been 1.78%.

See accompanying notes to financial statements.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	Gateway Equity Call Premium Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	9.97		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10	(b)		0.00	(c)
Net realized and unrealized gain (loss)		0.23			(0.01	)

Total from Investment Operations		0.33			(0.01	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.02	)
Net realized capital gains		—			—

Total Distributions		(0.05	)		(0.02	)

Net asset value, end of the period	$	10.25		$	9.97

Total return(d)(e)(f)		3.31	%		(0.12	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	37		$	1
Net expenses(g)(h)		1.96	%(i)		1.95	%
Gross expenses(h)		2.41	%(i)		4.37	%
Net investment income(h)		1.96	%(b)		0.01	%
Portfolio turnover rate		12	%		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)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08 and the ratio of net investment income to average net assets would have been 1.60%.

(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)	Periods less than one year are not annualized.

(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)	Includes interest expense of 0.01%. Without this expense the ratio of net expenses would have been 1.95% and the ratio of gross expenses would have been 2.40%.

See accompanying notes to financial statements.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Gateway Equity Call Premium Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	9.97		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11	(b)		0.02
Net realized and unrealized gain (loss)		0.26			(0.01	)

Total from Investment Operations		0.37			0.01

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.04	)
Net realized capital gains		—			—

Total Distributions		(0.09	)		(0.04	)

Net asset value, end of the period	$	10.25		$	9.97

Total return(c)(d)		3.72	%		0.13	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	35,851		$	20,815
Net expenses(e)(f)		0.96	%(g)		0.95	%
Gross expenses(f)		1.54	%(g)		3.54	%
Net investment income(f)		2.18	%(b)		0.99	%
Portfolio turnover rate		12	%		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)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.06 and the ratio of net investment income to average net assets would have been 1.13%.

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

(d)	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)	Includes interest expense of 0.01%. Without this expense the ratio of net expenses would have been 0.95% and the ratio of gross expenses would have been 1.53%.

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			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	$	9.96		$	10.06		$	10.20		$	9.34		$	10.06		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.29	(b)		0.37			0.37			0.34			0.00	(c)
Net realized and unrealized gain (loss)		(0.00	)(c)		(0.07	)		(0.28	)		0.77			(0.75	)		0.06

Total from Investment Operations		0.13			0.22			0.09			1.14			(0.41	)		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.32	)		(0.23	)		(0.28	)		(0.31	)		(0.00	)(c)
Net realized capital gains		—			—			—			—			(0.00	)(c)		—

Total Distributions		(0.19	)		(0.32	)		(0.23	)		(0.28	)		(0.31	)		(0.00	)

Net asset value, end of the period	$	9.90		$	9.96		$	10.06		$	10.20		$	9.34		$	10.06

Total return(d)		1.34	%(e)		2.24	%(b)		0.96	%		12.24	%		(3.90	)%		0.41	%(e)(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	112,860		$	104,056		$	177,339		$	80,704		$	130,662		$	2,465
Net expenses		1.11	%(g)		1.10	%		1.11	%		1.12	%		1.15	%(h)		1.30	%(g)(i)
Gross expenses		1.11	%(g)		1.10	%		1.11	%		1.12	%		1.15	%(h)		6.98	%(g)
Net investment income		2.70	%(g)		2.90	%(b)		3.68	%		3.77	%		3.50	%		0.86	%(g)
Portfolio turnover rate		38	%		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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			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	$	9.93		$	10.03		$	10.16		$	9.31		$	10.05		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.21	(b)		0.30			0.30			0.28			0.00	(c)
Net realized and unrealized gain (loss)		(0.01	)		(0.06	)		(0.28	)		0.76			(0.77	)		0.05

Total from Investment Operations		0.09			0.15			0.02			1.06			(0.49	)		0.05

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.25	)		(0.15	)		(0.21	)		(0.25	)		(0.00	)(c)
Net realized capital gains		—			—			—			—			(0.00	)(c)		—

Total Distributions		(0.16	)		(0.25	)		(0.15	)		(0.21	)		(0.25	)		(0.00	)

Net asset value, end of the period	$	9.86		$	9.93		$	10.03		$	10.16		$	9.31		$	10.05

Total return(d)		0.86	%(e)		1.47	%(b)		0.22	%		11.44	%		(4.69	)%		0.31	%(e)(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	66,504		$	71,215		$	91,694		$	67,748		$	77,398		$	563
Net expenses		1.86	%(g)		1.85	%		1.86	%		1.87	%		1.89	%(h)		2.05	%(g)(i)
Gross expenses		1.86	%(g)		1.85	%		1.86	%		1.87	%		1.89	%(h)		8.68	%(g)
Net investment income		1.95	%(g)		2.13	%(b)		2.96	%		3.05	%		2.82	%		0.24	%(g)
Portfolio turnover rate		38	%		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)	Periods less than one year are not annualized.

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

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

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

(i)	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.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			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	$	9.95		$	10.05		$	10.19		$	9.33		$	10.05		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.31	(b)		0.40			0.41			0.37			0.00	(c)
Net realized and unrealized gain (loss)		(0.00	)(c)		(0.06	)		(0.29	)		0.76			(0.75	)		0.05

Total from Investment Operations		0.15			0.25			0.11			1.17			(0.38	)		0.05

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.35	)		(0.25	)		(0.31	)		(0.34	)		(0.00	)(c)
Net realized capital gains		—			—			—			—			(0.00	)(c)		—

Total Distributions		(0.21	)		(0.35	)		(0.25	)		(0.31	)		(0.34	)		(0.00	)

Net asset value, end of the period	$	9.89		$	9.95		$	10.05		$	10.19		$	9.33		$	10.05

Total return		1.46	%(d)		2.52	%(b)		1.19	%		12.57	%		(3.78	)%		0.41	%(d)(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,267,683		$	1,188,605		$	970,539		$	497,648		$	273,335		$	26,758
Net expenses		0.86	%(f)		0.85	%		0.86	%		0.87	%		0.90	%(g)		1.05	%(f)(h)
Gross expenses		0.86	%(f)		0.85	%		0.86	%		0.87	%		0.90	%(g)		5.37	%(f)
Net investment income		2.95	%(f)		3.10	%(b)		3.92	%		4.09	%		3.81	%		0.06	%(f)
Portfolio turnover rate		38	%		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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

53 |

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 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.

| 54

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and 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:

Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. 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 preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service 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 unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source.

55 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Domestic exchange-traded single name equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on domestic indices 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”). Option contracts on foreign indices are priced at the most recent settlement price. 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 quotations 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 S&P 500^® 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 June 30, 2015, written options of Gateway Equity Call Premium Fund were fair valued at $(306,925), representing (0.8%) of net assets, using the closing rotation values published by the CBOE.

| 56

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

As of June 30, 2015, securities of Strategic Alpha Fund were fair valued as follows:


Type	Value included in Net Assets (reflected at absolute value)		Percentage of Net Assets
Illiquid securities¹	$	47,140,082		3.3	%
Equity securities²		7,265,308		0.5	%
Option contracts²		43,405		0.0	%⁴
Futures contracts²		90,936		0.0	%⁴
Other fair valued securities³		1,350,548		0.1	%

	$	55,890,279		3.9	%

1	Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

2	Certain foreign equity securities, options contracts and futures contracts were 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/contracts.

3	Fair valued by the Fund’s adviser.

4	Represents less than 0.1% of net assets.

57 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of Strategic Alpha Fund’s net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Fund has net losses, reduce the amount of income available to be distributed by the Fund.

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 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.

| 58

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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.

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. OTC 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

59 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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.

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 and interest rate 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

| 60

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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.

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 notional 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 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 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 OTC 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

61 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

agreement is novated to a central counterparty (the “CCP”) and the Funds faces the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are 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 Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds 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 June 30, 2015 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 six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

| 62

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed 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 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 reported on the Statements of Assets and Liabilities. 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. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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


	2014 Distributions Paid From:
Fund	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

63 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

As of December 31, 2014, the capital loss carryforwards were as follows:


	Gateway Equity Call Premium Fund			Strategic Alpha Fund
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	)

l. Loan Participations. Strategic Alpha Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) 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 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 period, if any, are listed in each applicable Fund’s 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 June 30, 2015, 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.

| 64

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 six months ended June 30, 2015, 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 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.

•

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

•

65 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2015, at value:

Gateway Equity Call Premium Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	37,641,859	$	—	$	—	$	37,641,859
Short-Term Investments		—		5,295,948		—		5,295,948

Total	$	37,641,859	$	5,295,948	$	—	$	42,937,807

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Written Options(a)	$	—	$	(306,925	)	$	—	$	(306,925	)

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

For the six months ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.

| 66

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	167,476,941	$	1,350,548	(b)	$	168,827,489
ABS Other		—		12,027,559		23,891,656	(c)		35,919,215
Non-Agency Commercial Mortgage-Backed Securities		—		52,440,128		16,774,176	(c)		69,214,304
All Other Non-Convertible Bonds(a)		—		663,250,550		—			663,250,550

Total Non-Convertible Bonds		—		895,195,178		42,016,380			937,211,558

Convertible Bonds(a)		—		70,229,679		—			70,229,679

Total Bonds and Notes		—		965,424,857		42,016,380			1,007,441,237

Senior Loans
Pharmaceuticals		—		11,609,909		2,242,189	(c)		13,852,098
All Other Senior Loans(a)		—		149,865,752		—			149,865,752

Total Senior Loans		—		161,475,661		2,242,189			163,717,850

Loan Participations(a)		—		—		2,584,476	(c)		2,584,476
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		2,965,483		1,332,320	(c)		4,297,803
REITs – Mortgage		—		1,009,578		—			1,009,578
All Other Convertible Preferred Stocks(a)		53,249,136		—		—			53,249,136

Total Convertible Preferred Stocks		53,249,136		3,975,061		1,332,320			58,556,517

Non-Convertible Preferred Stocks
Cable Satellite		—		4,297,550		—			4,297,550
All Other Non-Convertible Preferred Stocks(a)		3,841,802		—		—			3,841,802

Total Non-Convertible Preferred Stocks		3,841,802		4,297,550		—			8,139,352

Total Preferred Stocks		57,090,938		8,272,611		1,332,320			66,695,869

Common Stocks
Banks		—		7,265,308		—			7,265,308
All Other Common Stocks(a)		26,379,591		—		—			26,379,591

Total Common Stocks		26,379,591		7,265,308		—			33,644,899

67 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3			Total
Exchange-Traded Funds		3,549,277		—		—			3,549,277
Other Investments(a)		—		—		9,000,000	(c)		9,000,000
Purchased Options(a)		294,899		1,787,802		—			2,082,701
Purchased Swaptions(a)		—		748,002		—			748,002
Short-Term Investments		—		135,886,245		—			135,886,245

Total Investments		87,314,705		1,280,860,486		57,175,365			1,425,350,556

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		18,227		—			18,227
Bilateral Interest Rate Swap Agreements (unrealized appreciation)		—		830,931		—			830,931
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		937,241		—		—			937,241
Forward Foreign Currency Contracts (unrealized appreciation)		—		699,984		—			699,984
Futures Contracts (unrealized appreciation)		2,580,141		—		—			2,580,141

Total	$	90,875,492	$	1,282,366,223	$	57,175,365		$	1,430,417,080

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(14,221	)	$	(960,529	)	$	—	$	(974,750	)
Written Swaptions(a)		—			(84,286	)		—		(84,286	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(902,148	)		—		(902,148	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(1,362,910	)		—		(1,362,910	)
Futures Contracts (unrealized depreciation)		(33,675	)		(90,936	)		—		(124,611	)

Total	$	(47,896	)	$	(3,400,809	)	$	—	$	(3,448,705	)

(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.

(c)	Valued using broker-dealer bid prices.

| 68

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2014 and/or June 30, 2015:

Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	811,274	$	—	$	9,595		$	7,551		$	—
ABS Other		20,098,815		—		185			(304,489	)		7,673,273
Non-Agency Commercial Mortgage-Backed Securities		4,387,394		—		(11,816	)		16,813			13,327,048
Senior Loans
Pharmaceuticals		—		—		—			—			2,242,189
Loan Participations		2,657,911		—		(644	)		13,010			—
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—			(691,634	)		—
Other Investments
Aircraft ABS		—		—		—			—			9,000,000

Total	$	27,955,394	$	—	$	(2,680	)	$	(958,749	)	$	32,242,510

69 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Strategic Alpha Fund (continued)
Asset Valuation Inputs (continued)
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(414,495	)	$	936,623	$	—		$	1,350,548	$	5,566
ABS Other		(2,081,158	)		—		(1,494,970	)		23,891,656		(588,271	)
Non-Agency Commercial Mortgage-Backed Securities		(945,263	)		—		—			16,774,176		5,281
Senior Loans
Pharmaceuticals		—			—		—			2,242,189		—
Loan Participations		(85,801	)		—		—			2,584,476		12,795
Preferred Stocks
Convertible Preferred Stocks
Midstream		—			2,023,954		—			1,332,320		(691,634	)
Other Investments
Aircraft ABS		—			—		—			9,000,000		—

Total	$	(3,526,717	)	$	2,960,577	$	(1,494,970	)	$	57,175,365	$	(1,256,263	)

Debt securities valued at $936,623 were transferred from Level 2 to Level 3 during the period ended June 30, 2015. At December 31, 2014, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A preferred stock valued at $2,023,954 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At December 31, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

A debt security valued at $1,494,970 was transferred from Level 3 to Level 2 during the period ended June 30, 2015. At December 31, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2015, this security was

| 70

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. 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 six months ended June 30, 2015, 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 six months ended June 30, 2015, the Fund used forward foreign currency and option contracts, swaptions, interest rate swap agreements 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, interest rate swap agreements and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2015, the Fund engaged in futures contracts and interest rate swap agreements to manage duration and for hedging purposes.

71 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2015, the Fund engaged in forward foreign currency and option contracts 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 six months ended June 30, 2015, the Fund engaged in credit default swap agreements (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 six months ended June 30, 2015, the Fund engaged in futures and option contracts for hedging purposes.

The following is a summary of derivative instruments for Gateway Equity Call Premium Fund as of June 30, 2015, as reflected within the Statements of Assets and Liabilities:


Liabilities		Options written at value
Exchange-traded/cleared liability derivatives
Equity contracts		$(306,925)

Transactions in derivative instruments for Gateway Equity Call Premium Fund during the six months ended June 30, 2015, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:		Options written
Equity contracts		$572,231


Net Change in Unrealized Appreciation (Depreciation) on:		Options written
Equity contracts		$305,257

| 72

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2015, 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	$	748,002	$	—	$	—	$	830,931	$	1,578,933
Foreign exchange contracts		1,744,397		699,984		—		—		2,444,381
Credit contracts		—		—		—		957,616		957,616

Total over-the-counter asset derivatives	$	2,492,399	$	699,984	$	—	$	1,788,547	$	4,980,930

Exchange-traded/ cleared asset derivatives
Interest rate contracts	$	—	$	—	$	1,183,735	$	937,241	$	2,120,976
Equity contracts		338,304		—		1,396,406		—		1,734,710

Total exchange-traded/cleared asset derivatives	$	338,304	$	—	$	2,580,141	$	937,241	$	3,855,686

Total asset derivatives	$	2,830,703	$	699,984	$	2,580,141	$	2,725,788		8,836,616

73 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Liabilities	Options/ swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts²			Swap agreements at value³			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(84,286	)	$	—		$	—		$	—		$	(84,286	)
Foreign exchange contracts		(960,529	)		(1,362,910	)		—			—			(2,323,439	)
Credit contracts		—			—			—			(3,083,065	)		(3,083,065	)

Total over-the-counter liability derivatives	$	(1,044,815	)	$	(1,362,910	)	$	—		$	(3,083,065	)	$	(5,490,790	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(33,675	)	$	—		$	(33,675	)
Equity contracts		(14,221	)		—			(90,936	)		—			(105,157	)

Total exchange-traded/cleared liability derivatives	$	(14,221	)	$	—		$	(124,611	)	$	—		$	(138,832	)

Total liability derivatives	$	(1,059,036	)	$	(1,362,910	)	$	(124,611	)	$	(3,083,065	)	$	(5,629,622	)

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.

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 six months ended June 30, 2015, 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	$	(269,562	)	$	(1,856,423	)	$	—	$	—	$	—
Foreign exchange contracts		2,153,575			—			266,000		—		11,127,663
Credit contracts		—			—			—		979,790		—
Equity contracts		(4,449,994	)		(3,430,105	)		1,921,419		—		—

Total	$	(2,565,981	)	$	(5,286,528	)	$	2,187,419	$	979,790	$	11,127,663

| 74

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Net Change in Unrealized Appreciation (Depreciation) on:	Investments⁴			Futures contracts		Options/ swaptions written			Swap agreements			Foreign currency translations⁵
Interest rate contracts	$	777,681		$	1,150,060	$	19,128		$	1,551,209		$	—
Foreign exchange contracts		(2,307,245	)		—		(243,925	)		—			(4,826,745	)
Credit contracts		—			—		—			(1,019,025	)		—
Equity contracts		155,867			4,670,365		33,834			—			—

Total	$	(1,373,697	)	$	5,820,425	$	(190,963	)	$	532,184		$	(4,826,745	)

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.

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 the six months ended June 30, 2015:


Gateway Equity Call Premium Fund	Call Options Written*
Average Notional Amount Outstanding		98.95	%
Highest Notional Amount Outstanding		99.25	%
Lowest Notional Amount Outstanding		98.62	%
Notional Amount Outstanding as of June 30, 2015		98.66	%

*	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.

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 six months ended June 30, 2015:


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		28.05	%		48.04	%		4.19	%		1.90	%
Highest Notional Amount Outstanding		45.78	%		62.45	%		7.12	%		4.98	%
Lowest Notional Amount Outstanding		15.17	%		48.52	%		2.00	%		0.00	%
Notional Amount Outstanding as of June 30, 2015		15.41	%		60.27	%		2.00	%		4.96	%

75 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 six months ended June 30, 2015:


Strategic Alpha Fund	Call Options Purchased*			Put Options Purchased*			Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		5.74	%		8.28	%		0.48	%		6.33	%
Highest Market Value of Underlying Instruments		7.41	%		10.53	%		1.28	%		10.67	%
Lowest Market Value of Underlying Instruments		3.91	%		1.84	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2015		5.58	%		6.59	%		0.82	%		4.39	%

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, for foreign indices by multiplying the number of contracts by the contract multiplier by the price of the underlying index and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

The volume of interest rate swaption activity, as a percentage of net assets 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 six months ended June 30, 2015:


Strategic Alpha Fund	Interest Rate Put Swaptions Written			Interest Rate Put Swaptions Purchased			Interest Rate Call Swaptions Purchased
Average Premium Paid/Received		0.00	%*		0.04	%		0.12	%
Highest Premium Paid/Received		0.01	%		0.05	%		0.20	%
Lowest Premium Paid/Received		0.00	%		0.03	%		0.00	%
Premium Paid/Received as of June 30, 2015		0.01	%		0.05	%		0.00	%

*	Amount rounds to less than 0.01%.

| 76

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The following is a summary of Gateway Equity Call Premium Fund’s written option activity:


Gateway Equity Call Premium Fund	Number of Contracts			Premiums
Outstanding at December 31, 2014		96		$	424,650
Options written		829			2,662,289
Options terminated in closing purchase transactions		(733	)		(2,390,681	)
Options expired		(12	)		(17,336	)

Outstanding at June 30, 2015		180		$	678,922

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, 2014		12,259		$	177,011
Options written		22,558			1,927,021
Options terminated in closing purchase transactions		(16,212	)		(307,660	)
Options expired		(16,344	)		(1,712,397	)
Options assigned		(359	)		(25,744	)

Outstanding at June 30, 2015		1,902		$	58,231

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, 2014		70,000,000		$	266,000
Options written		61,600,000			980,364
Options terminated in closing purchase transactions		(70,000,000	)		(266,000	)

Outstanding at June 30, 2015		61,600,000		$	980,364

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, 2014	$	—	$	—
Swaptions written		1,570,000,000		103,414
Swaptions terminated in closing purchase transactions		—		—

Outstanding at June 30, 2015	$	1,570,000,000	$	103,414

77 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 June 30, 2015, 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.	$	2,733,776	$	(2,114,807	)	$	618,969	$	(570,000	)	$	48,969
Barclays Bank PLC		575,207		—			575,207		(298,080	)		277,127
Citibank, N.A.		1,327,874		(708,860	)		619,014		(330,000	)		289,014
Credit Suisse International		103,955		(103,955	)		—		—			—
Deutsche Bank AG		55,696		(55,696	)		—		—			—
JPMorgan Chase Bank, N.A.		184,422		(184,422	)		—		—			—

	$	4,980,930	$	(3,167,740	)	$	1,813,190	$	(1,198,080	)	$	615,110

| 78

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(2,114,807	)	$	2,114,807	$	—		$	—	$	—
Citibank, N.A.		(708,860	)		708,860		—			—		—
Credit Suisse International		(174,795	)		103,955		(70,840	)		—		(70,840	)
Deutsche Bank AG		(956,467	)		55,696		(900,771	)		900,771		—
JPMorgan Chase Bank, N.A.		(1,382,747	)		184,422		(1,198,325	)		1,198,325		—
Morgan Stanley Capital Services, Inc.		(153,114	)		—		(153,114	)		—		(153,114	)

	$	(5,490,790	)	$	3,167,740	$	(2,323,050	)	$	2,099,096	$	(223,954	)

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.

79 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 June 30, 2015:

Fund

Maximum Amount

of Loss - Gross

Maximum Amount

of Loss - Net

Strategic Alpha Fund

26,569,616

20,104,700

These amounts include cash and U.S. government and agency securities received as collateral of $1,488,080. 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.


Fund	Purchases		Sales
Gateway Equity Call Premium Fund	$	21,246,288	$	3,287,612
Strategic Alpha Fund		546,039,122		475,812,334

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 Global Asset Management, L.P. (“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.

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, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30,

| 80

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

2016, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2015, 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 six months ended June 30, 2015, the management fees and waivers of management fees for each Fund were as follows:


	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross			Net
Gateway Equity Call Premium Fund	$	87,314	$	78,006	$	9,308		0.65	%		0.07	%
Strategic Alpha Fund		4,924,426		—		4,924,426		0.70	%		0.70	%

¹	Management fee waivers are subject to possible recovery until December 31, 2016.

No expenses were recovered for either Fund during the six months ended June 30, 2015 under the terms of the expense limitation agreements.

81 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

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

For the six months ended June 30, 2015, 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	$	2,830	$	26	$	77
Strategic Alpha Fund		137,721		85,885		257,656

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 six months ended June 30, 2015, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Gateway Equity Call Premium Fund	$	5,697
Strategic Alpha Fund		298,365

| 82

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, 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	$	3,422
Strategic Alpha Fund		496,276


Fund	Reimbursements of Sub-Transfer Agent Fees
Gateway Equity Call Premium Fund	$	124
Strategic Alpha Fund		10,825

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

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2015 were as follows:


Fund	Commissions
Strategic Alpha Fund	$	41,184

83 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

g. Affiliated Ownership. As of June 30, 2015, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Strategic Alpha Fund representing 0.01% of the Fund’s net assets.

h. Payment by Affiliates. For the six months ended June 30, 2015, Loomis Sayles reimbursed Strategic Alpha Fund $128,504 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 $150,000,000 committed unsecured

| 84

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

line of credit provided by State Street Bank. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). 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 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2015, none of the Funds had borrowings under this agreement.

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 Funds. As of June 30, 2015, 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			Percentage of Affiliated Ownership (Note 6)			Total Percentage of Ownership
Strategic Alpha Fund		3		42.40	%		0.01	%		42.41	%
Gateway Equity Call Premium Fund		2		82.45	%		—			82.45	%

85 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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


	Six Months Ended June 30, 2015					Period Ended December 31, 2014(a)
Gateway Equity Call Premium Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	296,032		$	2,987,369		9,653		$	95,980
Issued in connection with the reinvestment of distributions	2,109			21,775		38			379
Redeemed	(24,733	)		(254,839	)	(98	)		(980	)

Net change	273,408		$	2,754,305		9,593		$	95,379

Class C
Issued from the sale of shares	3,581		$	36,310		101		$	1,011
Issued in connection with the reinvestment of distributions	16			165		—	(b)		2
Redeemed	(100	)		(1,029	)	(1	)		(10	)

Net change	3,497		$	35,446		100		$	1,003

Class Y
Issued from the sale of shares	2,586,268		$	26,686,498		2,437,927		$	24,313,859
Issued in connection with the reinvestment of distributions	13,121			135,607		4,090			40,780
Redeemed	(1,189,286	)		(12,263,903	)	(354,383	)		(3,501,024	)

Net change	1,410,103		$	14,558,202		2,087,634		$	20,853,615

Increase (decrease) from capital share transactions	1,687,008		$	17,347,953		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.

| 86

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

10. Capital Shares (continued).


	Six Months Ended June 30, 2015					Year Ended December 31, 2014
Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,006,616		$	20,214,934		3,289,877		$	33,285,385
Issued in connection with the reinvestment of distributions	167,521			1,670,862		314,559			3,151,241
Redeemed	(1,219,396	)		(12,259,547	)	(10,780,235	)		(109,403,574	)

Net change	954,741		$	9,626,249		(7,175,799	)	$	(72,966,948	)

Class C
Issued from the sale of shares	503,267		$	5,032,490		652,702		$	6,559,344
Issued in connection with the reinvestment of distributions	69,571			692,006		120,066			1,196,499
Redeemed	(1,005,373	)		(10,050,465	)	(2,740,650	)		(27,590,387	)

Net change	(432,535	)	$	(4,325,969	)	(1,967,882	)	$	(19,834,544	)

Class Y
Issued from the sale of shares	21,961,421		$	220,717,215		53,741,784		$	543,162,597
Issued in connection with the reinvestment of distributions	1,706,895			17,006,058		2,470,530			24,696,717
Redeemed	(14,928,350	)		(150,147,504	)	(33,268,929	)		(335,773,481	)

Net change	8,739,966		$	87,575,769		22,943,385		$	232,085,833

Increase (decrease) from capital share transactions	9,262,172		$	92,876,049		13,799,704		$	139,284,341

87 |

SEMIANNUAL REPORT

June 30, 2015

LOGO

ASG Global Alternatives Fund

ASG Global Macro Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 16

Financial Statements page 38

Notes to Financial Statements page 56

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
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

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.

1 |

Average Annual Total Returns — June 30, 2015³



	6 Months			1 Year			5 Years			Life of Class

Class A (Inception 9/30/08)											Class A/C/Y		Class N
NAV		3.53	%		5.27	%		6.53	%		5.19	%	—
With 5.75% Maximum Sales Charge		-2.43			-0.77			5.29			4.27		—

Class C (Inception 9/30/08)
NAV		3.13			4.46			5.73			4.40		—
With CDSC¹		2.13			3.47			5.73			4.40		—

Class N (Inception 5/1/13)
NAV		3.58			5.49			—			—		7.16	%

Class Y (Inception 9/30/08)
NAV		3.58			5.49			6.77			5.44		—

Comparative Performance
Barclay Fund of Funds Index²		2.73			3.68			3.74			2.32		4.68

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

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 BarclayHedge, 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.

| 2

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
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

Objective

The Fund seeks capital appreciation by pursuing long-term positive returns independent of market cycles.

Total Returns — June 30, 2015³



	6 Months			Life of Fund

Class A (Inception 12/1/14)
NAV		-2.45	%		-1.47	%
With 5.75% Maximum Sales Charge		-8.10			-7.14

Class C (Inception 12/1/14)
NAV		-2.65			-1.78
With CDSC¹		-3.62			-2.75

Class Y (Inception 12/1/14)
NAV		-2.25			-1.26

Comparative Performance
Barclay Global Macro Index²		0.09			0.23

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

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 BarclayHedge, 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.

3 |

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
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

Objective

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

Average Annual Total Returns — June 30, 2015³



	6 Months			1 Year			Life of Fund

Class A (Inception 7/30/10)
NAV		-0.19	%⁴		16.07	%		6.81	%
With 5.75% Maximum Sales Charge		-5.93			9.38			5.53

Class C (Inception 7/30/10)
NAV		-0.67	⁴		15.12			5.99
With CDSC¹		-1.63			14.13			5.99

Class Y (Inception 7/30/10)
NAV		-0.10	⁴		16.40			7.06

Comparative Performance
Newedge Trend Index²		-2.49			17.54			4.27

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	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.

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

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. The return presented in the table(s) is what an investor would have actually experienced.

| 4

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
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)
Kevin H. Maeda
Serena V. Stone, CFA^®
Active Investment Advisors, a division of NGAM Advisors, L.P. (Subadviser)

Objective

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

5 |

Average Annual Total Returns — June 30, 2015⁴



	6 Months			1 Year			Life of Fund

Class A (Inception 9/30/13)
NAV		0.24	%		6.70	%		16.12	%
With 5.75% Maximum Sales Charge		-5.51			0.54			12.26

Class C (Inception 9/30/13)
NAV		-0.10			5.93			15.31
With CDSC¹		-1.10			4.93			15.31

Class Y (Inception 9/30/13)
NAV		0.40			7.01			16.43

Comparative Performance
S&P 500^® Index²		1.23			7.42			14.76
Barclay Equity Long/Short Index³		3.49			4.06			6.44

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.

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 BarclayHedge 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.

| 6

ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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, 2015 is available on the Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

7 |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2015 through June 30, 2015. 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.

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ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,035.30		$7.67
Hypothetical (5% return before expenses)		$1,000.00		$1,017.26		$7.60
Class C
Actual		$1,000.00		$1,031.30		$11.43
Hypothetical (5% return before expenses)		$1,000.00		$1,013.54		$11.33
Class N
Actual		$1,000.00		$1,035.80		$6.16
Hypothetical (5% return before expenses)		$1,000.00		$1,018.74		$6.11
Class Y
Actual		$1,000.00		$1,035.80		$6.41
Hypothetical (5% return before expenses)		$1,000.00		$1,018.50		$6.36

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: 1.52%, 2.27%, 1.22% and 1.27% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


ASG GLOBAL MACRO FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$975.50		$8.52
Hypothetical (5% return before expenses)		$1,000.00		$1,016.17		$8.70
Class C
Actual		$1,000.00		$973.50		$12.18
Hypothetical (5% return before expenses)		$1,000.00		$1,012.45		$12.42
Class Y
Actual		$1,000.00		$977.50		$7.31
Hypothetical (5% return before expenses)		$1,000.00		$1,017.41		$7.45

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: 1.74%, 2.49% and 1.49%, for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period).

9 |


ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$998.10		$8.52
Hypothetical (5% return before expenses)		$1,000.00		$1,016.27		$8.60
Class C
Actual		$1,000.00		$993.30		$12.26
Hypothetical (5% return before expenses)		$1,000.00		$1,012.50		$12.37
Class Y
Actual		$1,000.00		$999.00		$7.29
Hypothetical (5% return before expenses)		$1,000.00		$1,017.50		$7.35

Expenses are equal to the Fund’s annualized expense ratio, including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.72%, 2.48% and 1.47% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 1/1/2015		ENDING ACCOUNT VALUE 6/30/2015		EXPENSES PAID DURING PERIOD* 1/1/2015 – 6/30/2015
Class A
Actual		$1,000.00		$1,002.40		$6.95
Hypothetical (5% return before expenses)		$1,000.00		$1,017.85		$7.00
Class C
Actual		$1,000.00		$999.00		$10.66
Hypothetical (5% return before expenses)		$1,000.00		$1,014.13		$10.74
Class Y
Actual		$1,000.00		$1,004.00		$5.71
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76

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

| 10

BOARD APPROVAL OF THE ADVISORY AND

SUB-ADVISORY AGREEMENTS FOR THE FUNDS INCLUDED IN THIS REPORT

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. The ASG Global Macro Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreements are in effect until December 1, 2016. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

11 |

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

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

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

| 12

Trustees also noted that the ASG Tactical U.S. Market Fund was relatively new and therefore had a limited operating history on which to judge its performance record.

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

13 |

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

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

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

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

| 14

associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, with the addition of the breakpoint with respect to the ASG Managed Futures Strategy Fund and the reduction in the expense cap for the ASG Tactical U.S. Market Fund described above, should be continued through June 30, 2016.

15 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 93.7% of Net Assets
		Certificates of Deposit — 84.3%
$	175,000,000	Canadian Imperial Bank of Commerce, 0.030%, 7/01/2015(f)	$	175,000,000
	37,300,000	Credit Agricole Indosuez (NY), 0.060%, 7/01/2015(f)		37,300,000
	150,000,000	Bank of Tokyo-Mitsubishi UFJ Ltd., 0.130%, 7/01/2015		150,000,000
	120,000,000	Dexia Credit Local, 0.324%, 7/01/2015(b)		120,000,000
	50,000,000	Landesbank Hessen Thueringen Girozentrale, 0.140%, 7/06/2015		50,000,100
	60,400,000	Sumitomo Mitsui Bank (NY), 0.315%, 7/06/2015(b)		60,399,879
	75,000,000	Norinchukin Bank, 0.320%, 7/08/2015		75,002,175
	100,000,000	Credit Agricole, 0.130%, 7/09/2015		100,001,300
	135,000,000	National Bank of Kuwait, 0.215%, 7/09/2015		135,001,215
	25,000,000	Norinchukin Bank, 0.270%, 7/13/2015		25,000,700
	35,000,000	Mizuho Corporate Bank, 0.260%, 7/16/2015		35,001,470
	30,000,000	Bank of Montreal (IL), 0.265%, 7/16/2015(b)		29,999,490
	40,000,000	Westpac Banking Corp. (NY), 0.255%, 7/17/2015(b)(c)		39,999,280
	25,000,000	China Construction Bank Corp. (NY), 0.435%, 7/20/2015(b)(d)		25,000,000
	20,000,000	Toronto Dominion Bank, 0.200%, 7/27/2015		20,002,100
	75,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/28/2015		75,001,200
	140,000,000	Svenska Handelsbanken (NY), 0.250%, 8/03/2015		140,008,680
	50,000,000	DNB Bank ASA, 0.190%, 8/05/2015		50,004,600
	10,000,000	Sumitomo Mitsui Bank (NY), 0.325%, 8/05/2015(b)		9,999,900
	70,000,000	Bank of Montreal (IL), 0.254%, 8/07/2015(b)(c)		69,998,390
	100,000,000	Toronto Dominion Bank, 0.310%, 8/10/2015		100,025,800
	30,000,000	Toronto Dominion Bank, 0.260%, 8/11/2015		30,006,120
	50,000,000	Banco Del Estado de Chile, 0.265%, 8/17/2015(b)		49,998,450
	150,000,000	Credit Industriel et Commercial, 0.200%, 8/19/2015		150,010,350
	50,000,000	Mizuho Bank Ltd., 0.260%, 8/24/2015		50,004,200
	50,000,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 8/25/2015		50,008,050
	60,000,000	Deutsche Zentral-Genossenschaftsbank, 0.270%, 8/26/2015		60,006,000
	50,000,000	Norinchukin Bank, 0.260%, 9/08/2015		50,000,950
	25,000,000	Wells Fargo, 0.289%, 9/14/2015(b)		24,999,350
	50,000,000	Bank of Nova Scotia (TX), 0.280%, 9/16/2015(c)		50,008,650
	100,000,000	DNB Bank ASA, 0.220%, 9/17/2015		100,007,200
	125,000,000	National Bank of Canada, 0.230%, 9/18/2015		124,998,000
	100,000,000	Swedbank, 0.210%, 9/21/2015		100,001,400
	55,000,000	Mizuho Corporate Bank, 0.340%, 10/02/2015		55,007,975
	50,000,000	Standard Chartered Bank (NY), 0.320%, 10/05/2015		50,010,200
	20,000,000	Banco Del Estado de Chile, 0.277%, 10/20/2015(b)		19,998,740
	150,000,000	Skandinaviska Enskilda Banken (NY), 0.275%, 11/05/2015(b)(c)		149,989,800
	75,000,000	Wells Fargo, 0.284%, 11/06/2015(b)(c)		74,994,675
	100,000,000	Standard Chartered Bank (NY), 0.339%, 11/10/2015(b)		100,007,000
	50,000,000	State Street Bank and Trust Company, 0.267%, 11/23/2015(b)		49,995,950
	50,000,000	Bank of Nova Scotia (TX), 0.273%, 12/07/2015(b)		49,995,700
	90,000,000	Sumitomo Mitsui Bank (NY), 0.387%, 1/04/2016(b)		89,990,640
	60,000,000	Bank of Montreal (IL), 0.283%, 1/08/2016(b)		59,996,760
	49,700,000	Royal Bank of Canada, 0.286%, 1/13/2016(b)		49,686,532

See accompanying notes to financial statements.

| 16

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
		Certificates of Deposit — continued
$	30,000,000	Westpac Banking Corp. (NY), 0.314%, 2/08/2016(b)	$	29,998,110
	50,000,000	Royal Bank of Canada, 0.307%, 2/23/2016(b)(c)		49,996,350

				3,192,463,431

		Commercial Paper — 5.1%
	49,700,000	Cofco Capital Corp., (Credit Support: Australia and New Zealand Banking Group Ltd.), 0.160%, 7/21/2015(e)		49,695,080
	100,000,000	ING (U.S.) Funding LLC, 0.270%, 8/19/2015(e)		99,970,700
	42,550,000	Oversea-Chinese Banking Corp. Ltd., 0.230%, 9/24/2015(e)		42,529,150

				192,194,930

		Other Notes — 1.8%
	50,000,000	Wells Fargo, 0.401%, 7/19/2016(b)		50,002,400
	20,000,000	JPMorgan Chase Bank NA, Series 1, 0.439%, 8/05/2016(b)		20,000,500

				70,002,900

		Financial Company Commercial Paper — 2.5%
	45,000,000	JPMorgan Securities LLC, 0.293%, 11/03/2015(b)		44,996,985
	50,000,000	JPMorgan Securities LLC, 0.344%, 1/08/2016(b)		49,994,800

				94,991,785

		Total Short-Term Investments (Identified Cost $3,549,593,387)		3,549,653,046


		Total Investments — 93.7% (Identified Cost $3,549,593,387)(a)		3,549,653,046
		Other assets less liabilities — 6.3%		236,855,520

		Net Assets — 100.0%	$	3,786,508,566


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2015, the net unrealized appreciation on investments based on a cost of $3,549,593,387 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	$	137,911
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(78,252	)

		Net unrealized appreciation	$	59,659


	(b)	Variable rate security. Rate as of June 30, 2015 is disclosed.
	(c)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(d)	Security payable on demand at par including accrued interest.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(f)	Time deposit.

See accompanying notes to financial statements.

17 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2015, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		9/16/2015	Australian Dollar		92,500,000	$	71,075,243	$	(216,080	)
Sell		9/16/2015	British Pound		14,125,000		22,181,785		(590,042	)
Buy		9/16/2015	Canadian Dollar		130,000,000		103,978,040		(1,118,156	)
Buy		9/16/2015	Euro		41,000,000		45,757,347		(364,902	)
Sell		9/16/2015	Euro		461,000,000		514,491,144		3,618,197
Buy		9/16/2015	Japanese Yen		30,987,500,000		253,444,984		3,882,901
Sell		9/16/2015	Japanese Yen		21,712,500,000		177,585,292		(1,560,585	)
Sell		9/16/2015	Swedish Krona		1,152,000,000		139,184,775		(458,690	)
Buy		9/16/2015	Swiss Franc		14,000,000		15,018,269		(133,952	)
Sell		9/16/2015	Swiss Franc		140,250,000		150,450,870		639,723

Total								$	3,698,414

¹ Counterparty is UBS AG.

At June 30, 2015, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		9/18/2015		956	$	293,472,255	$	(575,730	)
E-mini S&P 500^®		9/18/2015		7,224		742,085,400		(16,091,460	)
Eurodollar		12/14/2015		19,168		4,766,362,800		3,165,712
FTSE 100 Index		9/18/2015		6,660		680,552,804		(13,850,106	)
German Euro Bund		9/08/2015		5,245		888,802,674		(997,121	)
TOPIX		9/10/2015		4,712		627,215,785		(7,605,312	)
10 Year Japan Government Bond		9/10/2015		100		120,088,246		218,164
10 Year U.S. Treasury Note		9/21/2015		888		112,040,625		494,844

Total							$	(35,241,009	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/16/2015		350	$	14,741,562	$	(715,312	)
Copper LME		9/16/2015		1,549		223,181,856		(7,451,036	)
Gold		8/27/2015		363		42,536,340		(541,020	)
Low Sulfur Gasoil		8/12/2015		291		16,761,600		(458,325	)
Natural Gas		7/29/2015		628		17,784,960		207,240
New York Harbor ULSD		7/31/2015		209		16,589,542		59,690
Nickel LME		9/16/2015		201		14,437,629		(1,256,049	)
Zinc LME		9/16/2015		295		14,738,938		(1,286,937	)

Total							$	(11,441,749	)

See accompanying notes to financial statements.

| 18

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Hang Seng Index^®		7/30/2015		1	$	168,880	$	6,885
UK Long Gilt		9/28/2015		1,370		249,121,828		2,035,476
2 Year U.S. Treasury Note		9/30/2015		6,402		1,401,637,875		(4,074,014	)

Total							$	(2,031,653	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		7/16/2015		153	$	9,729,270	$	(54,000	)
WTI Crude Oil		7/21/2015		743		44,186,210		227,020

Total							$	173,020

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

Investment Summary at June 30, 2015 (Unaudited)


Certificates of Deposit	84.3	%
Commercial Paper	5.1
Other Notes	1.8
Financial Company Commercial Paper	2.5

Total Investments	93.7
Other assets less liabilities (including forward foreign currency and futures contracts)	6.3

Net Assets	100.0	%

See accompanying notes to financial statements.

19 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Macro Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 91.4% of Net Assets
		Certificates of Deposit — 80.7%
$	700,000	Canadian Imperial Bank of Commerce, 0.030%, 7/01/2015(e)	$	700,000
	1,000,000	Bank of Tokyo-Mitsubishi UFJ Ltd., 0.130%, 7/01/2015		1,000,000
	500,000	Credit Agricole, 0.130%, 7/09/2015		500,006
	1,000,000	National Bank of Kuwait, 0.215%, 7/09/2015		1,000,009
	1,000,000	Norinchukin Bank, 0.270%, 7/13/2015		1,000,028
	1,100,000	Toronto Dominion Bank, 0.200%, 7/27/2015		1,100,115
	200,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/28/2015		200,003
	500,000	National Australia Bank, 0.220%, 7/29/2015		500,016
	900,000	Svenska Handelsbanken (NY), 0.250%, 8/03/2015(b)		900,056
	900,000	DNB Bank ASA, 0.190%, 8/05/2015		900,083
	700,000	Sumitomo Mitsui Bank (NY), 0.325%, 8/05/2015(b)(c)		699,993
	100,000	Banco Del Estado de Chile, 0.265%, 8/17/2015(c)		99,997
	1,000,000	Credit Industriel et Commercial, 0.200%, 8/19/2015		1,000,069
	1,000,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 8/25/2015(b)		1,000,161
	1,100,000	Swedbank, 0.300%, 9/01/2015		1,100,275
	1,000,000	Wells Fargo, 0.289%, 9/14/2015(c)		999,974
	1,100,000	Bank of Nova Scotia (TX), 0.280%, 9/16/2015(b)		1,100,190
	200,000	DNB Bank ASA, 0.220%, 9/17/2015		200,014
	1,000,000	National Bank of Canada, 0.230%, 9/18/2015		999,984
	500,000	Standard Chartered Bank (NY), 0.320%, 10/05/2015		500,102
	800,000	Banco Del Estado de Chile, 0.277%, 10/20/2015(c)		799,950
	600,000	Skandinaviska Enskilda Banken (NY), 0.275%, 11/05/2015(c)		599,959
	500,000	Standard Chartered Bank (NY), 0.339%, 11/10/2015(c)		500,035
	500,000	State Street Bank and Trust Company, 0.267%, 11/23/2015(c)		499,960
	300,000	Sumitomo Mitsui Bank (NY), 0.387%, 1/04/2016(c)		299,969
	1,000,000	Bank of Montreal (IL), 0.283%, 1/08/2016(c)		999,946
	500,000	Royal Bank of Canada, 0.286%, 1/13/2016(b)(c)		499,865
	800,000	Westpac Banking Corp. (NY), 0.314%, 2/08/2016(c)		799,950
	500,000	Royal Bank of Canada, 0.307%, 2/23/2016(b)(c)		499,963

				21,000,672

		Commercial Paper — 7.3%
	1,000,000	ING (U.S.) Funding LLC, 0.270%, 8/19/2015(d)		999,707
	900,000	Oversea-Chinese Banking Corp. Ltd., 0.230%, 9/24/2015(d)		899,559

				1,899,266

		Financial Company Commercial Paper — 3.4%
	700,000	JPMorgan Securities LLC, 0.293%, 11/03/2015(c)		699,953
	200,000	JPMorgan Securities LLC, 0.344%, 1/08/2016(c)		199,979

				899,932

		Total Short-Term Investments (Identified Cost $23,799,404)		23,799,870


		Total Investments — 91.4% (Identified Cost $23,799,404)(a)		23,799,870
		Other assets less liabilities — 8.6%		2,234,043

		Net Assets — 100.0%	$	26,033,913

See accompanying notes to financial statements.

| 20

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Macro Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
	At June 30, 2015, the net unrealized appreciation on investments based on a cost of $23,799,404 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,163
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(697	)

	Net unrealized appreciation	$	466


(b)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
(c)	Variable rate security. Rate as of June 30, 2015 is disclosed.
(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(e)	Time deposit.

At June 30, 2015, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		9/16/2015	Australian Dollar		1,400,000	$	1,075,733	$	5,946
Buy		9/16/2015	Australian Dollar		1,800,000		1,383,086		(5,672	)
Sell		9/16/2015	Australian Dollar		100,000		76,838		703
Sell		9/16/2015	Australian Dollar		1,400,000		1,075,733		(3,270	)
Buy		9/16/2015	British Pound		437,500		687,046		18,276
Sell		9/16/2015	Canadian Dollar		4,000,000		3,199,324		31,687
Sell		9/16/2015	Euro		2,625,000		2,929,586		21,278
Buy		9/16/2015	Japanese Yen		462,500,000		3,782,761		57,954
Buy		9/16/2015	New Zealand Dollar		3,300,000		2,221,869		(62,049	)
Sell		9/16/2015	New Zealand Dollar		1,000,000		673,294		22,339
Buy		9/16/2015	Norwegian Krone		6,000,000		763,916		(12,756	)
Sell		9/16/2015	Norwegian Krone		6,000,000		763,916		4,675
Buy		9/16/2015	Singapore Dollar		250,000		185,418		782
Buy		9/16/2015	Singapore Dollar		625,000		463,545		(3,148	)
Sell		9/16/2015	Singapore Dollar		500,000		370,836		1,446
Sell		9/16/2015	Singapore Dollar		375,000		278,127		(1,421	)
Buy		9/16/2015	Swedish Krona		10,000,000		1,208,201		(6,731	)
Sell		9/16/2015	Swedish Krona		10,000,000		1,208,201		6,431
Sell		9/16/2015	Swiss Franc		1,875,000		2,011,375		14,915
Buy		9/16/2015	Turkish Lira		300,000		109,525		1,837
Sell		9/16/2015	Turkish Lira		300,000		109,525		(487	)

Total								$	92,735

¹ Counterparty is UBS AG.

See accompanying notes to financial statements.

21 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Macro Fund – (continued)

At June 30, 2015, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		7/17/2015		1	$	105,638	$	(4,565	)
ASX SPI 200™		9/17/2015		1		103,785		(4,965	)
CAC40^®		7/17/2015		3		160,728		(5,157	)
E-mini Dow		9/18/2015		4		350,460		(9,570	)
E-mini NASDAQ 100		9/18/2015		4		351,220		(10,418	)
EURO STOXX 50^®		9/18/2015		4		153,765		(3,473	)
FTSE 100 Index		9/18/2015		12		1,226,221		(28,799	)
FTSE MIB		9/18/2015		1		125,920		(5,688	)
FTSE/JSE Top 40 Index		9/17/2015		5		189,903		(3,090	)
IBEX 35		7/17/2015		1		120,587		(6,606	)
Mini-Russell 2000		9/18/2015		2		250,080		(7,540	)
MSCI Singapore		7/30/2015		3		165,470		(1,831	)
MSCI Taiwan Index		7/30/2015		5		171,061		(739	)
Nikkei 225™		9/10/2015		2		330,346		(7,114	)
OMXS30^®		7/17/2015		9		167,432		(3,947	)
S&P CNX Nifty Futures Index		7/30/2015		4		67,076		242
S&P/TSX 60 Index		9/17/2015		2		270,264		(6,261	)
TOPIX		9/10/2015		11		1,464,213		(17,382	)
UK Long Gilt		9/28/2015		22		4,000,497		(1,508	)
10 Year U.S. Treasury Note		9/21/2015		51		6,434,766		687

Total							$	(127,724	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/16/2015		5	$	210,594	$	(10,218	)
Cocoa		9/15/2015		15		490,350		22,530
Copper LME		9/16/2015		2		288,162		(13,612	)
Gasoline		7/31/2015		1		86,075		(374	)
Live Cattle		8/31/2015		8		473,840		(6,650	)
Nickel LME		9/16/2015		2		143,658		(18,330	)
Soybean Meal		12/14/2015		7		241,780		17,930
Soybean Oil		12/14/2015		1		20,442		582
Zinc LME		9/16/2015		9		449,662		(39,263	)

Total							$	(47,405	)

At June 30, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		9/18/2015		2	$	613,959	$	672
E-mini S&P 500^®		9/18/2015		5		513,625		5,112
Euro Schatz		9/08/2015		236		29,276,953		(17,107	)
German Euro BOBL		9/08/2015		70		10,112,354		(23,802	)

See accompanying notes to financial statements.

| 22

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Global Macro Fund – (continued)


Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
German Euro Bund		9/08/2015		5	$	847,286	$	2,230
Hang Seng Index^®		7/30/2015		1		168,880		(1,803	)
2 Year U.S. Treasury Note		9/30/2015		130		28,461,875		(60,891	)
3 Year Australia Government Bond		9/15/2015		102		8,762,526		(15,728	)
5 Year U.S. Treasury Note		9/30/2015		59		7,036,211		(13,407	)
10 Year Australia Government Bond		9/15/2015		11		1,063,100		7,523
10 Year Canada Government Bond		9/21/2015		63		7,061,649		(36,085	)
10 Year Japan Government Bond		9/10/2015		15		18,013,237		(33,092	)
30 Year U.S. Treasury Bond		9/21/2015		12		1,810,125		13,391

Total							$	(172,987	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/16/2015		6	$	252,712	$	3,045
Brent Crude Oil		7/16/2015		6		381,540		550
Coffee		9/18/2015		6		297,900		16,087
Copper		9/28/2015		2		130,750		275
Copper LME		9/16/2015		2		288,163		2,578
Corn		12/14/2015		13		280,475		(37,050	)
Gold		8/27/2015		5		585,900		5,180
Low Sulfur Gasoil		8/12/2015		4		230,400		6,300
Natural Gas		7/29/2015		4		113,280		(1,320	)
New York Harbor ULSD		7/31/2015		3		238,127		(857	)
Silver		9/28/2015		4		311,620		5,700
Sugar		9/30/2015		27		377,093		(5,040	)
WTI Crude Oil		7/21/2015		4		237,880		2,580
Zinc LME		9/16/2015		4		199,850		5,480

Total							$	3,508

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 June 30, 2015 (Unaudited)


Certificates of Deposit	80.7	%
Commercial Paper	7.3
Financial Company Commercial Paper	3.4

Total Investments	91.4
Other assets less liabilities (including forward foreign currency and futures contracts)	8.6

Net Assets	100.0	%

See accompanying notes to financial statements.

23 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 90.4% of Net Assets
		Certificates of Deposit — 78.6%
$	94,250,000	Canadian Imperial Bank of Commerce, 0.030%, 7/01/2015(f)	$	94,250,000
	35,000,000	Bank of Tokyo-Mitsubishi UFJ Ltd., 0.130%, 7/01/2015		35,000,000
	35,000,000	Dexia Credit Local, 0.324%, 7/01/2015(b)		35,000,000
	30,000,000	Sumitomo Mitsui Bank (NY), 0.315%, 7/06/2015(b)		29,999,940
	50,000,000	Norinchukin Bank, 0.320%, 7/08/2015		50,001,450
	40,000,000	Credit Agricole, 0.130%, 7/09/2015		40,000,520
	50,000,000	National Bank of Kuwait, 0.215%, 7/09/2015		50,000,450
	25,000,000	Norinchukin Bank, 0.270%, 7/13/2015		25,000,700
	35,000,000	Mizuho Corporate Bank, 0.260%, 7/16/2015		35,001,470
	20,000,000	Bank of Montreal (IL), 0.265%, 7/16/2015(b)		19,999,660
	10,000,000	Westpac Banking Corp. (NY), 0.255%, 7/17/2015(b)		9,999,820
	15,000,000	China Construction Bank Corp. (NY), 0.435%, 7/20/2015(b)(c)		15,000,000
	20,000,000	Toronto Dominion Bank, 0.200%, 7/27/2015		20,002,100
	20,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/28/2015		20,000,320
	50,000,000	National Australia Bank, 0.220%, 7/29/2015(d)		50,001,600
	65,000,000	Svenska Handelsbanken (NY), 0.250%, 8/03/2015(d)		65,004,030
	50,000,000	DNB Bank ASA, 0.190%, 8/05/2015		50,004,600
	10,000,000	Sumitomo Mitsui Bank (NY), 0.325%, 8/05/2015(b)		9,999,900
	15,000,000	Bank of Montreal (IL), 0.254%, 8/07/2015(b)		14,999,655
	30,000,000	Toronto Dominion Bank, 0.310%, 8/10/2015(d)		30,007,740
	30,000,000	Toronto Dominion Bank, 0.260%, 8/11/2015		30,006,120
	30,000,000	Banco Del Estado de Chile, 0.265%, 8/17/2015(b)		29,999,070
	90,000,000	Credit Industriel et Commercial, 0.200%, 8/19/2015		90,006,210
	35,000,000	Mizuho Bank Ltd., 0.260%, 8/24/2015		35,002,940
	35,000,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 8/25/2015		35,005,635
	40,000,000	Deutsche Zentral-Genossenschaftsbank, 0.270%, 8/26/2015		40,004,000
	20,000,000	Norinchukin Bank, 0.260%, 9/08/2015		20,000,380
	30,000,000	Wells Fargo, 0.289%, 9/14/2015(b)		29,999,220
	25,000,000	Bank of Nova Scotia (TX), 0.280%, 9/16/2015(d)		25,004,325
	40,000,000	DNB Bank ASA, 0.220%, 9/17/2015		40,002,880
	75,000,000	National Bank of Canada, 0.230%, 9/18/2015		74,998,800
	19,000,000	Mizuho Corporate Bank, 0.340%, 10/02/2015		19,002,755
	25,000,000	Standard Chartered Bank (NY), 0.320%, 10/05/2015		25,005,100
	50,000,000	Banco Del Estado de Chile, 0.277%, 10/20/2015(b)		49,996,850
	95,000,000	Skandinaviska Enskilda Banken (NY), 0.275%, 11/05/2015(b)		94,993,540
	30,000,000	Wells Fargo, 0.284%, 11/06/2015(b)(d)		29,997,870
	15,000,000	Royal Bank of Canada, 0.275%, 11/10/2015(b)(d)		14,998,830
	70,000,000	Standard Chartered Bank (NY), 0.339%, 11/10/2015(b)		70,004,900
	50,000,000	State Street Bank and Trust Company, 0.267%, 11/23/2015(b)		49,995,950
	65,000,000	Bank of Nova Scotia (TX), 0.273%, 12/07/2015(b)		64,994,410
	50,000,000	Sumitomo Mitsui Bank (NY), 0.387%, 1/04/2016(b)		49,994,800
	55,000,000	Bank of Montreal (IL), 0.283%, 1/08/2016(b)		54,997,030
	30,000,000	Royal Bank of Canada, 0.286%, 1/13/2016(b)(d)		29,991,870
	20,000,000	Westpac Banking Corp. (NY), 0.314%, 2/08/2016(b)		19,998,740
	30,000,000	Royal Bank of Canada, 0.307%, 2/23/2016(b)(d)		29,997,810

				1,753,273,990

See accompanying notes to financial statements.

| 24

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Principal Amount		Description	Value (†)
		Commercial Paper — 6.8%
$	40,000,000	Cofco Capital Corp., (Credit Support: Bank of China Ltd.), 0.420%, 7/21/2015(e)	$	39,996,040
	70,000,000	ING (U.S.) Funding LLC, 0.270%, 8/19/2015(e)		69,979,490
	42,550,000	Oversea-Chinese Banking Corp. Ltd., 0.230%, 9/24/2015(e)		42,529,151

				152,504,681

		Financial Company Commercial Paper — 3.4%
	25,000,000	JPMorgan Securities LLC, 0.293%, 11/03/2015(b)		24,998,325
	50,000,000	JPMorgan Securities LLC, 0.344%, 1/08/2016(b)		49,994,800

				74,993,125

		Other Notes — 1.6%
	30,000,000	Wells Fargo, 0.401%, 7/19/2016(b)		30,001,440
	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.439%, 8/05/2016(b)		5,000,125

				35,001,565

		Total Short-Term Investments (Identified Cost $2,015,748,321)		2,015,773,361


		Total Investments — 90.4% (Identified Cost $2,015,748,321)(a)		2,015,773,361
		Other assets less liabilities — 9.6%		213,543,865

		Net Assets — 100.0%	$	2,229,317,226


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2015, the net unrealized appreciation on investments based on a cost of $2,015,748,321 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	$	83,659
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(58,619	)

		Net unrealized appreciation	$	25,040


	(b)	Variable rate security. Rate as of June 30, 2015 is disclosed.
	(c)	Security payable on demand at par including accrued interest.
	(d)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(f)	Time deposit.

See accompanying notes to financial statements.

25 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2015, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		9/16/2015	Australian Dollar		25,900,000	$	19,901,068	$	(138,726	)
Sell		9/16/2015	Australian Dollar		15,800,000		12,140,419		65,497
Sell		9/16/2015	Australian Dollar		12,700,000		9,758,439		(29,667	)
Buy		9/16/2015	British Pound		51,062,500		80,188,135		863,762
Buy		9/16/2015	British Pound		74,062,500		116,307,148		(1,141,088	)
Sell		9/16/2015	British Pound		54,375,000		85,390,058		413,537
Sell		9/16/2015	British Pound		47,812,500		75,084,362		(1,040,064	)
Buy		9/16/2015	Canadian Dollar		87,600,000		70,065,202		(1,721,655	)
Sell		9/16/2015	Canadian Dollar		167,900,000		134,291,638		1,454,926
Buy		9/16/2015	Euro		36,750,000		41,014,207		(436,379	)
Sell		9/16/2015	Euro		151,750,000		169,357,985		1,177,769
Buy		9/16/2015	Japanese Yen		7,887,500,000		64,511,410		740,592
Sell		9/16/2015	Japanese Yen		57,062,500,000		466,710,913		(5,735,727	)
Buy		9/17/2015	Mexican Peso		651,500,000		41,227,719		(1,288,132	)
Sell		9/17/2015	Mexican Peso		656,500,000		41,544,125		474,073
Sell		9/16/2015	New Zealand Dollar		218,800,000		147,316,659		3,691,533
Buy		9/16/2015	Norwegian Krone		210,000,000		26,737,071		(267,063	)
Sell		9/16/2015	Norwegian Krone		580,000,000		73,845,245		323,532
Sell		9/16/2015	Norwegian Krone		290,000,000		36,922,622		(320,494	)
Buy		9/16/2015	Singapore Dollar		253,375,000		187,921,085		(1,659,467	)
Sell		9/16/2015	Singapore Dollar		91,875,000		68,141,094		134,408
Sell		9/16/2015	Singapore Dollar		222,250,000		164,836,551		(530,214	)
Buy		9/16/2015	South African Rand		584,500,000		47,413,010		(140,239	)
Sell		9/16/2015	South African Rand		1,071,000,000		86,876,533		(2,258,777	)
Buy		9/16/2015	Swedish Krona		724,000,000		87,473,765		(1,935,485	)
Sell		9/16/2015	Swedish Krona		276,000,000		33,346,352		169,130
Sell		9/16/2015	Swedish Krona		808,000,000		97,622,655		(321,720	)
Buy		9/16/2015	Swiss Franc		28,750,000		30,841,087		(340,502	)
Sell		9/16/2015	Swiss Franc		6,875,000		7,375,043		29,767
Buy		9/16/2015	Turkish Lira		7,800,000		2,847,651		14,067
Buy		9/16/2015	Turkish Lira		9,600,000		3,504,801		(24,319	)
Sell		9/16/2015	Turkish Lira		4,200,000		1,533,350		2,872
Sell		9/16/2015	Turkish Lira		4,500,000		1,642,875		(48,025	)

Total								$	(9,822,278	)

¹ Counterparty is UBS AG.

At June 30, 2015, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		7/17/2015		755	$	79,756,821	$	867,403
ASX SPI 200™		9/17/2015		400		41,513,917		(1,796,917	)
CAC40^®		7/17/2015		763		40,878,355		(316,998	)

See accompanying notes to financial statements.

| 26

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)


Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		9/18/2015		120	$	36,837,522	$	(71,246	)
E-mini Dow		9/18/2015		961		84,198,015		(2,199,425	)
E-mini NASDAQ 100		9/18/2015		1,268		111,336,740		(3,000,212	)
E-mini S&P 500^®		9/18/2015		631		64,819,475		(1,405,553	)
Euribor		12/14/2015		2,699		752,094,301		(94,609	)
Euro Schatz		9/08/2015		4,491		557,130,494		229,458
EURO STOXX 50^®		9/18/2015		1,062		40,824,574		439,349
Euro-BTP		9/08/2015		279		40,500,913		307,632
Euro-OAT		9/08/2015		632		103,200,555		915,414
Eurodollar		12/14/2015		12,143		3,019,508,737		772,363
FTSE 100 Index		9/18/2015		357		36,480,083		(1,431,035	)
FTSE MIB		9/18/2015		423		53,264,141		1,142,610
German Euro BOBL		9/08/2015		3,003		433,820,010		379,985
German Euro Bund		9/08/2015		514		87,100,967		(91,184	)
Hang Seng Index^®		7/30/2015		458		77,346,869		(3,095,798	)
IBEX 35		7/17/2015		396		47,752,587		575,999
Mini-Russell 2000		9/18/2015		1,092		136,543,680		(1,452,600	)
MSCI Singapore		7/30/2015		603		33,259,554		(324,282	)
MSCI Taiwan Index		7/30/2015		1,154		39,480,923		(78,317	)
Nikkei 225™		9/10/2015		735		121,402,085		(578,428	)
OMXS30^®		7/17/2015		2,445		45,485,611		(496,853	)
S&P/TSX 60 Index		9/17/2015		578		78,106,357		(1,575,311	)
Sterling		12/16/2015		8,832		1,721,996,870		(303,624	)
TOPIX		9/10/2015		1,170		155,739,064		(1,672,547	)
UK Long Gilt		9/28/2015		111		20,184,323		(22,422	)
Ultra Long U.S. Treasury Bond		9/21/2015		137		21,106,562		93,063
2 Year U.S. Treasury Note		9/30/2015		4,785		1,047,615,937		1,704,611
3 Year Australia Government Bond		9/15/2015		3,918		336,584,093		(830,904	)
5 Year U.S. Treasury Note		9/30/2015		3,110		370,891,798		209,525
10 Year Australia Government Bond		9/15/2015		100		9,664,549		50,009
10 Year Canada Government Bond		9/21/2015		891		99,871,898		603,219
10 Year Japan Government Bond		9/10/2015		402		482,754,749		(421,865	)
10 Year U.S. Treasury Note		9/21/2015		554		69,899,219		(63,797	)
30 Year U.S. Treasury Bond		9/21/2015		70		10,559,062		(25,406	)

Total							$	(13,058,693	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/16/2015		1,287	$	54,206,831	$	(2,248,923	)
Cocoa		9/15/2015		1,384		45,242,960		2,044,690
Corn		12/14/2015		1,150		24,811,250		1,593,788
Cotton		12/08/2015		972		33,004,260		148,760
Live Cattle		8/31/2015		303		17,946,690		(473,490	)
Soybean		11/13/2015		1,695		87,906,937		4,751,900
Soybean Meal		12/14/2015		2,332		80,547,280		6,165,420
Soybean Oil		12/14/2015		1,519		31,051,398		498,144
Wheat		9/14/2015		7		215,513		11,025
Zinc LME		9/16/2015		119		5,945,538		(519,138	)

Total							$	11,972,176

See accompanying notes to financial statements.

27 |

Consolidated Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
FTSE/JSE Top 40 Index		9/17/2015		107	$	4,063,927	$	14,188
S&P CNX Nifty Futures Index		7/30/2015		514		8,619,266		33,417

Total							$	47,605


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/16/2015		2,158	$	90,892,262	$	4,410,413
Brent Crude Oil		7/16/2015		249		15,833,910		(39,360	)
Coffee		9/18/2015		289		14,348,850		(37,538	)
Copper		9/28/2015		432		28,242,000		66,175
Copper LME		9/16/2015		261		37,605,206		1,234,406
Gasoline		7/31/2015		32		2,754,394		(41,265	)
Gold		8/27/2015		727		85,189,860		421,860
Low Sulfur Gasoil		8/12/2015		124		7,142,400		124,000
Natural Gas		7/29/2015		1,017		28,801,440		(335,610	)
New York Harbor ULSD		7/31/2015		167		13,255,759		(47,695	)
Nickel LME		9/16/2015		343		24,637,347		2,143,407
Silver		9/28/2015		763		59,441,515		722,600
Sugar		9/30/2015		2,325		32,471,880		(2,042,790	)
WTI Crude Oil		7/21/2015		239		14,213,330		(92,750	)
Zinc LME		9/16/2015		474		23,682,225		1,079,045

Total							$	7,564,898

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

Investment Summary at June 30, 2015 (Unaudited)


Certificates of Deposit	78.6	%
Commercial Paper	6.8
Financial Company Commercial Paper	3.4
Other Notes	1.6

Total Investments	90.4
Other assets less liabilities (including forward foreign currency and futures contracts)	9.6

Net Assets	100.0	%

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2015 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks — 46.7% of Net Assets
		Aerospace & Defense — 1.8%
	2,196	Boeing Co. (The)	$	304,629
	2,010	General Dynamics Corp.		284,797
	3,754	Honeywell International, Inc.		382,795
	1,078	Northrop Grumman Corp.		171,003
	1,086	Precision Castparts Corp.		217,059
	1,641	Rockwell Collins, Inc.		151,546
	3,751	United Technologies Corp.		416,099

				1,927,928

		Air Freight & Logistics — 0.3%
	1,610	FedEx Corp.		274,344

		Auto Components — 0.3%
	3,866	Goodyear Tire & Rubber Co. (The)		116,560
	4,380	Johnson Controls, Inc.		216,941

				333,501

		Banks — 3.8%
	42,410	Bank of America Corp.		721,818
	12,395	Citigroup, Inc.		684,700
	15,379	JPMorgan Chase & Co.		1,042,081
	3,627	PNC Financial Services Group, Inc. (The)		346,923
	6,208	U.S. Bancorp		269,427
	18,922	Wells Fargo & Co.		1,064,173

				4,129,122

		Beverages — 1.8%
	21,642	Coca-Cola Co. (The)		849,016
	4,969	Coca-Cola Enterprises, Inc.		215,853
	1,790	Dr Pepper Snapple Group, Inc.		130,491
	8,427	PepsiCo, Inc.		786,576

				1,981,936

		Biotechnology — 1.9%
	3,198	Amgen, Inc.		490,957
	824	Biogen, Inc.(b)		332,847
	2,310	Celgene Corp.(b)		267,348
	5,816	Gilead Sciences, Inc.		680,937
	600	Regeneron Pharmaceuticals, Inc.(b)		306,078

				2,078,167

		Capital Markets — 0.4%
	8,094	Bank of New York Mellon Corp. (The)		339,705
	4,858	E*TRADE Financial Corp.(b)		145,497

				485,202

		Chemicals — 1.4%
	812	Air Products & Chemicals, Inc.		111,106
	2,070	CF Industries Holdings, Inc.		133,060
	3,575	Dow Chemical Co. (The)		182,933

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Chemicals — continued
	3,872	E.I. du Pont de Nemours & Co.	$	247,614
	1,495	Ecolab, Inc.		169,040
	1,923	Monsanto Co.		204,972
	2,043	Mosaic Co. (The)		95,714
	1,203	Praxair, Inc.		143,819
	418	Sherwin-Williams Co. (The)		114,958
	914	Sigma-Aldrich Corp.		127,366

				1,530,582

		Commercial Services & Supplies — 0.4%
	2,034	Cintas Corp.		172,056
	762	Stericycle, Inc.(b)		102,039
	3,007	Waste Management, Inc.		139,375

				413,470

		Communications Equipment — 0.5%
	18,244	Cisco Systems, Inc.		500,980

		Construction & Engineering — 0.1%
	5,612	Quanta Services, Inc.(b)		161,738

		Consumer Finance — 0.3%
	4,750	American Express Co.		369,170

		Containers & Packaging — 0.1%
	1,305	Sealed Air Corp.		67,051

		Diversified Financial Services — 1.0%
	3,270	Berkshire Hathaway, Inc., Class B(b)		445,080
	1,863	CME Group, Inc.		173,371
	2,614	McGraw Hill Financial, Inc.		262,576
	2,016	Moody’s Corp.		217,647

				1,098,674

		Diversified Telecommunication Services — 1.0%
	2,456	CenturyLink, Inc.		72,157
	47,869	Frontier Communications Corp.		236,952
	17,245	Verizon Communications, Inc.		803,789

				1,112,898

		Electric Utilities — 0.7%
	2,933	American Electric Power Co., Inc.		155,361
	2,691	Duke Energy Corp.		190,039
	2,128	Eversource Energy		96,633
	2,212	NextEra Energy, Inc.		216,842
	3,171	PPL Corp.		93,449

				752,324

		Electronic Equipment, Instruments & Components — 0.1%
	2,529	TE Connectivity Ltd.		162,615

		Energy Equipment & Services — 1.0%
	6,194	Halliburton Co.		266,775
	4,338	National Oilwell Varco, Inc.		209,439

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Energy Equipment & Services — continued
	7,032	Schlumberger Ltd.	$	606,088

				1,082,302

		Food & Staples Retailing — 1.1%
	4,891	CVS Health Corp.		512,968
	2,115	Wal-Mart Stores, Inc.		150,017
	6,215	Walgreens Boots Alliance, Inc.		524,795

				1,187,780

		Food Products — 0.8%
	6,099	Archer-Daniels-Midland Co.		294,094
	1,265	Mead Johnson Nutrition Co.		114,128
	10,782	Mondelez International, Inc., Class A		443,572

				851,794

		Health Care Equipment & Supplies — 0.4%
	1,208	CR Bard, Inc.		206,206
	3,626	Medtronic PLC		268,686

				474,892

		Health Care Providers & Services — 0.4%
	2,182	DaVita HealthCare Partners, Inc.(b)		173,404
	1,410	McKesson Corp.		316,982

				490,386

		Hotels, Restaurants & Leisure — 0.5%
	234	Chipotle Mexican Grill, Inc.(b)		141,568
	7,087	Starbucks Corp.		379,969

				521,537

		Household Durables — 0.2%
	1,215	Garmin Ltd.		53,375
	3,106	Lennar Corp., Class A		158,530

				211,905

		Household Products — 0.4%
	4,854	Colgate-Palmolive Co.		317,500
	2,116	Procter & Gamble Co. (The)		165,556

				483,056

		Independent Power & Renewable Electricity Producers — 0.1%
	3,009	NRG Energy, Inc.		68,846

		Industrial Conglomerates — 1.4%
	2,000	3M Co.		308,600
	2,836	Danaher Corp.		242,733
	36,559	General Electric Co.		971,373

				1,522,706

		Insurance — 1.2%
	2,128	Assurant, Inc.		142,576
	2,088	Chubb Corp. (The)		198,652

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Insurance — continued
	3,940	Hartford Financial Services Group, Inc. (The)	$	163,786
	3,200	Lincoln National Corp.		189,504
	3,555	Principal Financial Group, Inc.		182,336
	3,045	Torchmark Corp.		177,280
	5,629	XL Group PLC		209,399

				1,263,533

		Internet & Catalog Retail — 0.7%
	1,497	Amazon.com, Inc.(b)		649,833
	138	Priceline Group, Inc. (The)(b)		158,889

				808,722

		Internet Software & Services — 1.7%
	6,283	Facebook, Inc., Class A(b)		538,862
	1,009	Google, Inc., Class A(b)		544,900
	1,389	Google, Inc., Class C(b)		722,988

				1,806,750

		IT Services — 1.4%
	2,826	Accenture PLC, Class A		273,500
	3,929	Cognizant Technology Solutions Corp., Class A(b)		240,023
	526	International Business Machines Corp.		85,559
	5,323	Paychex, Inc.		249,542
	10,002	Visa, Inc., Class A		671,635

				1,520,259

		Machinery — 0.3%
	622	Caterpillar, Inc.		52,758
	2,527	Illinois Tool Works, Inc.		231,953

				284,711

		Media — 2.1%
	10,176	Comcast Corp., Class A		611,985
	2,634	DIRECTV(b)		244,409
	1,374	Time Warner Cable, Inc.		244,806
	4,064	Time Warner, Inc.		355,234
	7,779	Twenty-First Century Fox, Inc., Class A		253,167
	5,522	Walt Disney Co. (The)		630,281

				2,339,882

		Multi-Utilities — 0.6%
	1,829	CMS Energy Corp.		58,235
	1,801	Consolidated Edison, Inc.		104,242
	2,127	Dominion Resources, Inc.		142,233
	3,695	NiSource, Inc.		168,455
	2,951	PG&E Corp.		144,894

				618,059

		Multiline Retail — 0.5%
	2,236	Dollar Tree, Inc.(b)		176,621
	1,833	Family Dollar Stores, Inc.		144,459

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Multiline Retail — continued
	2,452	Kohl’s Corp.	$	153,520
	972	Nordstrom, Inc.		72,414

				547,014

		Oil, Gas & Consumable Fuels — 2.7%
	1,587	Cimarex Energy Co.		175,062
	7,655	ConocoPhillips		470,093
	4,138	EOG Resources, Inc.		362,282
	2,422	Exxon Mobil Corp.		201,510
	10,994	Kinder Morgan, Inc.		422,060
	5,500	Marathon Petroleum Corp.		287,705
	3,685	Phillips 66		296,864
	600	Pioneer Natural Resources Co.		83,214
	3,420	Range Resources Corp.		168,880
	7,558	Spectra Energy Corp.		246,391
	3,035	Valero Energy Corp.		189,991

				2,904,052

		Pharmaceuticals — 4.2%
	8,164	AbbVie, Inc.		548,539
	1,688	Allergan PLC(b)		512,241
	8,074	Bristol-Myers Squibb Co.		537,244
	10,455	Johnson & Johnson		1,018,944
	11,869	Merck & Co., Inc.		675,702
	3,889	Mylan NV(b)		263,908
	24,344	Pfizer, Inc.		816,254
	5,210	Zoetis, Inc.		251,226

				4,624,058

		Professional Services — 0.2%
	1,889	Equifax, Inc.		183,403

		REITs – Apartments — 0.4%
	1,224	AvalonBay Communities, Inc.		195,681
	3,311	Equity Residential		232,333

				428,014

		REITs – Diversified — 0.4%
	3,058	American Tower Corp.		285,281
	5,023	Weyerhaeuser Co.		158,224

				443,505

		REITs – Storage — 0.1%
	767	Public Storage		141,412

		Road & Rail — 0.4%
	7,092	CSX Corp.		231,554
	2,025	Union Pacific Corp.		193,124

				424,678

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 1.1%
	4,383	Analog Devices, Inc.	$	281,323
	16,521	Intel Corp.		502,486
	2,087	Lam Research Corp.		169,778
	4,942	Microchip Technology, Inc.		234,374

				1,187,961

		Software — 2.2%
	4,476	Adobe Systems, Inc.(b)		362,601
	24,168	Microsoft Corp.		1,067,017
	16,096	Oracle Corp.		648,669
	5,230	Salesforce.com, Inc.(b)		364,165

				2,442,452

		Specialty Retail — 1.0%
	238	AutoZone, Inc.(b)		158,722
	3,076	Gap, Inc. (The)		117,411
	3,359	Home Depot, Inc. (The)		373,286
	2,431	Lowe’s Cos., Inc.		162,804
	4,027	TJX Cos., Inc. (The)		266,466

				1,078,689

		Technology Hardware, Storage & Peripherals — 2.3%
	16,009	Apple, Inc.		2,007,929
	7,990	Hewlett-Packard Co.		239,780
	5,135	Seagate Technology PLC		243,912

				2,491,621

		Textiles, Apparel & Luxury Goods — 0.6%
	3,035	NIKE, Inc., Class B		327,840
	1,713	Under Armour, Inc., Class A(b)		142,933
	2,777	VF Corp.		193,668

				664,441

		Thrifts & Mortgage Finance — 0.1%
	6,681	Hudson City Bancorp, Inc.		66,008

		Tobacco — 0.3%
	3,761	Reynolds American, Inc.		280,796

		Total Common Stocks (Identified Cost $48,706,080)		50,824,926


	Exchange-Traded Funds — 9.9%
	52,427	SPDR^® S&P 500^® ETF Trust (Identified Cost $10,348,680)		10,792,098

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Principal Amount		Description	Value (†)
	Short-Term Investments — 40.4%
		Certificates of Deposit — 36.2%
$	1,550,000	Canadian Imperial Bank of Commerce, 0.030%, 7/01/2015(f)	$	1,550,000
	1,950,000	Bank of Tokyo-Mitsubishi UFJ Ltd., 0.130%, 7/01/2015		1,950,000
	700,000	Dexia Credit Local, 0.324%, 7/01/2015(c)		700,000
	1,600,000	Landesbank Hessen Thueringen Girozentrale, 0.140%, 7/06/2015		1,600,003
	1,000,000	Norinchukin Bank, 0.320%, 7/08/2015		1,000,029
	1,000,000	Credit Agricole, 0.130%, 7/09/2015		1,000,013
	1,900,000	National Bank of Kuwait, 0.215%, 7/09/2015		1,900,017
	300,000	Norinchukin Bank, 0.270%, 7/13/2015		300,008
	700,000	Mizuho Corporate Bank, 0.260%, 7/16/2015		700,029
	600,000	Toronto Dominion Bank, 0.200%, 7/27/2015		600,063
	900,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/28/2015		900,014
	700,000	National Australia Bank, 0.220%, 7/29/2015		700,022
	1,300,000	Svenska Handelsbanken (NY), 0.250%, 8/03/2015		1,300,081
	1,500,000	DNB Bank ASA, 0.190%, 8/05/2015		1,500,138
	800,000	Sumitomo Mitsui Bank (NY), 0.325%, 8/05/2015(c)		799,992
	500,000	Toronto Dominion Bank, 0.310%, 8/10/2015		500,129
	250,000	Banco Del Estado de Chile, 0.265%, 8/17/2015(c)		249,992
	1,700,000	Credit Industriel et Commercial, 0.200%, 8/19/2015		1,700,117
	1,000,000	Mizuho Bank Ltd., 0.260%, 8/24/2015		1,000,084
	1,200,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 8/25/2015		1,200,193
	1,900,000	Swedbank, 0.300%, 9/01/2015		1,900,475
	500,000	Norinchukin Bank, 0.260%, 9/08/2015(d)		500,010
	700,000	Wells Fargo, 0.289%, 9/14/2015(c)(d)		699,982
	700,000	Bank of Nova Scotia (TX), 0.280%, 9/16/2015(d)		700,121
	400,000	DNB Bank ASA, 0.220%, 9/17/2015		400,029
	1,500,000	National Bank of Canada, 0.230%, 9/18/2015		1,499,976
	500,000	Standard Chartered Bank (NY), 0.320%, 10/05/2015(d)		500,102
	1,200,000	Banco Del Estado de Chile, 0.277%, 10/20/2015(c)(d)		1,199,925
	1,500,000	Skandinaviska Enskilda Banken (NY), 0.275%, 11/05/2015(c)(d)		1,499,898
	800,000	Wells Fargo, 0.284%, 11/06/2015(c)(d)		799,943
	1,000,000	Standard Chartered Bank (NY), 0.339%, 11/10/2015(c)(d)		1,000,070
	1,500,000	State Street Bank and Trust Company, 0.267%, 11/23/2015(c)		1,499,879
	1,200,000	Bank of Nova Scotia (TX), 0.273%, 12/07/2015(c)		1,199,897
	1,100,000	Sumitomo Mitsui Bank (NY), 0.387%, 1/04/2016(c)		1,099,886
	1,500,000	Bank of Montreal (IL), 0.283%, 1/08/2016(c)(d)		1,499,919
	800,000	Royal Bank of Canada, 0.286%, 1/13/2016(c)(d)		799,783
	1,000,000	Westpac Banking Corp. (NY), 0.314%, 2/08/2016(c)(d)		999,937
	500,000	Royal Bank of Canada, 0.307%, 2/23/2016(c)(d)		499,964

				39,450,720

		Financial Company Commercial Paper — 1.7%
	400,000	General Electric Capital Corp., 0.260%, 8/24/2015(d)(e)		399,927
	1,000,000	JPMorgan Securities LLC, 0.293%, 11/03/2015(c)(d)		999,933
	500,000	JPMorgan Securities LLC, 0.344%, 1/08/2016(c)(d)		499,948

				1,899,808

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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


Principal Amount		Description	Value (†)
		Commercial Paper — 2.5%
$	1,700,000	ING (U.S.) Funding LLC, 0.270%, 8/19/2015(e)	$	1,699,502
	960,000	Oversea-Chinese Banking Corp. Ltd., 0.230%, 9/24/2015(e)		959,529

				2,659,031

		Total Short-Term Investments (Identified Cost $44,009,035)		44,009,559


		Total Investments — 97.0% (Identified Cost $103,063,795)(a)		105,626,583
		Other assets less liabilities — 3.0%		3,309,692

		Net Assets — 100.0%	$	108,936,275


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2015, the net unrealized appreciation on investments based on a cost of $103,063,795 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	$	3,404,961
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(842,173	)

		Net unrealized appreciation	$	2,562,788


	(b)	Non-income producing security.
	(c)	Variable rate security. Rate as of June 30, 2015 is disclosed.
	(d)	All of this security has been designated to cover the Fund’s obligations under open futures contracts.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(f)	Time deposit.

	ETF	Exchange-Traded Fund
	REITs	Real Estate Investment Trusts
	SPDR	Standard & Poor’s Depositary Receipt

At June 30, 2015, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/18/2015		452	$	46,431,700	$	(1,032,328	)

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2015 (Unaudited)

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

Industry Summary at June 30, 2015 (Unaudited)


Exchange-Traded Funds	9.9	%
Pharmaceuticals	4.2
Banks	3.8
Oil, Gas & Consumable Fuels	2.7
Technology Hardware, Storage & Peripherals	2.3
Software	2.2
Media	2.1
Other Investments, less than 2% each	29.4
Short-Term Investments	40.4

Total Investments	97.0
Other assets less liabilities (including futures contracts)	3.0

Net Assets	100.0	%

See accompanying notes to financial statements.

37 |

Statements of Assets and Liabilities

June 30, 2015 (Unaudited)


	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	$	3,549,593,387		$	23,799,404		$	2,015,748,321		$	103,063,795
Net unrealized appreciation		59,659			466			25,040			2,562,788

Investments at value		3,549,653,046			23,799,870			2,015,773,361			105,626,583
Cash		8,553,340			423,785			20,668,477			387,274
Due from brokers (including variation margin on futures contracts) (Note 2)		256,527,987			2,148,758			196,444,332			3,409,380
Receivable for Fund shares sold		21,814,045			4,200			10,783,802			664,997
Dividends and interest receivable		1,244,439			8,534			697,336			121,177
Unrealized appreciation on forward foreign currency contracts (Note 2)		8,140,821			188,269			9,555,465			—
Unrealized appreciation on futures contracts (Note 2)		6,415,031			118,674			33,753,878			—

TOTAL ASSETS		3,852,348,709			26,692,090			2,287,676,651			110,209,411

LIABILITIES
Payable for Fund shares redeemed		2,432,820			500			5,947,849			108,449
Unrealized depreciation on forward foreign currency contracts (Note 2)		4,442,407			95,534			19,377,743			—
Unrealized depreciation on futures contracts (Note 2)		54,956,422			463,282			27,227,892			1,032,328
Management fees payable (Note 6)		3,466,913			9,016			2,336,684			80,951
Deferred Trustees’ fees (Note 6)		118,098			5,164			66,695			15,606
Administrative fees payable (Note 6)		144,546			11,310			98,919			3,770
Payable to distributor (Note 6d)		16,515			4			18,547			921
Other accounts payable and accrued expenses		262,422			73,367			3,285,096			31,111

TOTAL LIABILITIES		65,840,143			658,177			58,359,425			1,273,136

NET ASSETS	$	3,786,508,566		$	26,033,913		$	2,229,317,226		$	108,936,275

NET ASSETS CONSIST OF:
Paid-in capital	$	3,781,901,863		$	26,685,574		$	2,329,787,974		$	105,015,263
Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss		(18,506,803	)		(325,214	)		(13,785,652	)		3,856
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		67,892,783			(75,108	)		(83,417,794	)		2,386,696
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(44,779,277	)		(251,339	)		(3,267,302	)		1,530,460

NET ASSETS	$	3,786,508,566		$	26,033,913		$	2,229,317,226		$	108,936,275

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

See accompanying notes to financial statements.

| 38

Statements of Assets and Liabilities (continued)

June 30, 2015 (Unaudited)


	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	$	214,665,584	$	200,390	$	251,721,818	$	13,033,801

Shares of beneficial interest		19,260,636		20,538		23,659,529		1,105,050

Net asset value and redemption price per share	$	11.15	$	9.76	$	10.64	$	11.79

Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.83	$	10.36	$	11.29	$	12.51

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	101,993,138	$	73,321	$	63,612,947	$	2,714,579

Shares of beneficial interest		9,642,193		7,541		6,174,846		233,239

Net asset value and offering price per share	$	10.58	$	9.72	$	10.30	$	11.64

Class N shares:
Net assets	$	10,145,317	$	—	$	—	$	—

Shares of beneficial interest		899,606		—		—		—

Net asset value, offering and redemption price per share	$	11.28	$	—	$	—	$	—

Class Y shares:
Net assets	$	3,459,704,527	$	25,760,202	$	1,913,982,461	$	93,187,895

Shares of beneficial interest		306,331,036		2,635,858		179,288,286		7,868,393

Net asset value, offering and redemption price per share	$	11.29	$	9.77	$	10.68	$	11.84

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

See accompanying notes to financial statements.

39 |

Statements of Operations

For the Six Months Ended June 30, 2015 (Unaudited)


	ASG Global Alternatives Fund (Consolidated*)			ASG Global Macro Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund
INVESTMENT INCOME
Interest	$	3,939,587		$	26,231		$	2,163,138		$	41,129
Dividends		—			—			—			511,046

		3,939,587			26,231			2,163,138			552,175

Expenses
Management fees (Note 6)		19,282,578			165,703			12,965,048			361,035
Service and distribution fees (Note 6)		701,059			640			560,372			22,103
Administrative fees (Note 6)		771,093			32,827			502,958			19,139
Trustees’ and directors’ fees and expenses (Note 6)		39,539			15,910			29,066			8,406
Transfer agent fees and expenses (Notes 6 and 7)		923,119			2,658			1,007,671			39,962
Audit and tax services fees		36,171			36,139			36,231			20,578
Custodian fees and expenses		122,710			14,245			140,242			19,441
Interest expense (Note 10)		186,118			5,158			248,373			—
Legal fees		15,935			337			9,850			388
Registration fees		118,104			22,247			260,644			31,760
Shareholder reporting expenses		92,748			673			53,497			3,004
Miscellaneous expenses		35,426			8,514			23,258			5,350

Total expenses		22,324,600			305,051			15,837,210			531,166
Fee/expense recovery (Note 6)		—			—			10,991			9,925
Less waiver and/or expense reimbursement (Note 6)		(81	)		(107,037	)		—			—

Net expenses		22,324,519			198,014			15,848,201			541,091

Net investment income (loss)		(18,384,932	)		(171,783	)		(13,685,063	)		11,084

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		2,541			4			2,029			935,276
Futures contracts		164,798,960			(268,469	)		5,663,335			2,110,949
Foreign currency transactions		19,557,511			431,599			12,518,042			—
Net change in unrealized appreciation (depreciation) on:
Investments		69,848			1,004			23,562			(1,351,037	)
Futures contracts		(64,596,739	)		(483,915	)		(43,236,554	)		(1,692,988	)
Foreign currency translations		(3,460,603	)		(128,278	)		(17,387,479	)		—

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		116,371,518			(448,055	)		(42,417,065	)		2,200

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	97,986,586		$	(619,838	)	$	(56,102,128	)	$	13,284

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

See accompanying notes to financial statements.

| 40

Statements of Changes in Net Assets


	ASG Global Alternatives Fund (Consolidated*)						ASG Global Macro Fund (Consolidated*)
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014(a)
FROM OPERATIONS:
Net investment income (loss)	$	(18,384,932	)	$	(32,327,932	)	$	(171,783	)	$	(27,861	)
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		184,359,012			189,266,386			163,134			(77,500	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(67,987,494	)		(45,110,530	)		(611,189	)		359,850

Net increase (decrease) in net assets resulting from operations		97,986,586			111,827,924			(619,838	)		254,489

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			—			—			(12	)
Class C		—			—			—			—
Class Y		—			—			—			(4,042	)
Net realized capital gains
Class A		(5,892,846	)		(10,062,726	)		(5,576	)		—
Class C		(3,221,998	)		(4,886,872	)		(386	)		—
Class N		(327,390	)		(57	)		—			—
Class Y		(101,691,464	)		(135,501,390	)		(280,561	)		—

Total distributions		(111,133,698	)		(150,451,045	)		(286,523	)		(4,054	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		774,741,578			620,398,567			1,197,294			25,492,545

Net increase in net assets		761,594,466			581,775,446			290,933			25,742,980
NET ASSETS
Beginning of the period		3,024,914,100			2,443,138,654			25,742,980			—

End of the period	$	3,786,508,566		$	3,024,914,100		$	26,033,913		$	25,742,980

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	(18,506,803	)	$	(121,871	)	$	(325,214	)	$	(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.

See accompanying notes to financial statements.

41 |

Statements of Changes in Net Assets (continued)


ASG Managed Futures Strategy Fund (Consolidated*)						ASG Tactical U.S. Market Fund
Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014

$	(13,685,063	)	$	(14,611,589	)	$	11,084		$	36,393

	18,183,406			250,254,639			3,046,225			3,430,691

	(60,600,471	)		20,841,824			(3,044,025	)		3,149,647


	(56,102,128	)		256,484,874			13,284			6,616,731



	(2,249,868	)		(3,167,093	)		—			—
	(527,672	)		(660,959	)		—			—
	(16,398,072	)		(35,091,249	)		—			(35,402	)

	(6,425,672	)		(13,087,867	)		(75,525	)		(133,879	)
	(1,507,709	)		(3,260,501	)		(17,212	)		(68,503	)
	—			—			—			—
	(46,853,908	)		(128,728,349	)		(587,682	)		(3,490,643	)

	(73,962,901	)		(183,996,018	)		(680,419	)		(3,728,427	)


	824,285,249			622,627,741			40,004,613			44,079,440

	694,220,220			695,116,597			39,337,478			46,967,744

	1,535,097,006			839,980,409			69,598,797			22,631,053

$	2,229,317,226		$	1,535,097,006		$	108,936,275		$	69,598,797


$	(13,785,652	)	$	19,075,023		$	3,856		$	(7,228	)

See accompanying notes to financial statements.

| 42

Financial Highlights

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class A**
	Six Months Ended June 30, 2015 (Unaudited)			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	$	11.12		$	11.33		$	10.62		$	10.26		$	10.67		$	10.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.07	)		(0.15	)		(0.15	)		(0.14	)		(0.14	)		(0.14	)
Net realized and unrealized gain (loss)		0.48			0.53			1.79			0.50			(0.21	)		0.86

Total from Investment Operations		0.41			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		(0.38	)		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)

Total Distributions		(0.38	)		(0.59	)		(0.93	)		—			(0.06	)		(0.44	)

Net asset value, end of the period	$	11.15		$	11.12		$	11.33		$	10.62		$	10.26		$	10.67

Total return^(c)		3.53	%^(d)		3.53	%		15.69	%		3.51	%		(3.29	)%		6.94	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	214,666		$	150,462		$	189,313		$	126,226		$	280,353		$	204,313
Net expenses, including interest expense		1.52	%^(f)		1.55	%		1.58	%		1.61	%^(g)		1.61	%		1.61	%^(h)
Gross expenses, including interest expense		1.52	%^(f)		1.55	%		1.58	%		1.61	%^(g)		1.61	%		1.67	%
Net expenses, excluding interest expense		1.51	%^(f)		1.53	%		1.57	%		1.60	%^(g)		1.60	%		1.60	%^(h)
Gross expenses, excluding interest expense		1.51	%^(f)		1.53	%		1.57	%		1.60	%^(g)		1.60	%		1.66	%
Net investment loss		(1.29	)%^(f)		(1.34	)%		(1.35	)%		(1.34	)%		(1.34	)%		(1.28	)%
Portfolio turnover rate⁽ⁱ⁾		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

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

See accompanying notes to financial statements.

43 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class C**
	Six Months Ended June 30, 2015 (Unaudited)			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	$	10.61		$	10.92		$	10.32		$	10.05		$	10.53		$	10.33

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.11	)		(0.22	)		(0.23	)		(0.21	)		(0.22	)		(0.21	)
Net realized and unrealized gain (loss)		0.46			0.50			1.74			0.48			(0.20	)		0.85

Total from Investment Operations		0.35			0.28			1.51			0.27			(0.42	)		0.64

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			(0.00	)^(b)
Net realized capital gains		(0.38	)		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)

Total Distributions		(0.38	)		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)

Net asset value, end of the period	$	10.58		$	10.61		$	10.92		$	10.32		$	10.05		$	10.53

Total return^(c)		3.13	%^(d)		2.73	%		14.86	%		2.69	%		(4.00	)%		6.21	%^(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	101,993		$	87,941		$	85,323		$	71,227		$	92,540		$	66,832
Net expenses, including interest expense		2.27	%^(f)		2.31	%		2.33	%		2.36	%^(g)		2.36	%		2.36	%^(h)
Gross expenses, including interest expense		2.27	%^(f)		2.31	%		2.33	%		2.36	%^(g)		2.36	%		2.42	%
Net expenses, excluding interest expense		2.25	%^(f)		2.28	%		2.32	%		2.35	%^(g)		2.35	%		2.35	%^(h)
Gross expenses, excluding interest expense		2.25	%^(f)		2.28	%		2.32	%		2.35	%^(g)		2.35	%		2.42	%
Net investment loss		(2.04	)%^(f)		(2.10	)%		(2.10	)%		(2.10	)%		(2.09	)%		(2.03	)%
Portfolio turnover rate⁽ⁱ⁾		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Periods less than one year are not annualized.

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

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

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

(h)	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.

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

See accompanying notes to financial statements.

| 44

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Global Alternatives Fund (Consolidated*)—Class N
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Period Ended December 31, 2013**
Net asset value, beginning of the period	$	11.24		$	11.42		$	11.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.12	)		(0.09	)
Net realized and unrealized gain (loss)		0.48			0.53			0.99

Total from Investment Operations		0.42			0.41			0.90

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—
Net realized capital gains		(0.38	)		(0.59	)		(0.68	)

Total Distributions		(0.38	)		(0.59	)		(0.68	)

Net asset value, end of the period	$	11.28		$	11.24		$	11.42

Total return(b)		3.58	%(c)		3.77	%		8.05	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10,145		$	1		$	1
Net expenses, including interest expense(d)		1.22	%(e)		1.27	%		1.32	%(e)
Gross expenses, including interest expense		1.23	%(e)		7.42	%		3.22	%(e)
Net expenses, excluding interest expense(d)		1.21	%(e)		1.25	%		1.30	%(e)
Gross expenses, excluding interest expense		1.22	%(e)		7.40	%		3.20	%(e)
Net investment loss		(0.99	)%(e)		(1.07	)%		(1.12	)%(e)
Portfolio turnover rate(f)		—	%		—	%		—	%

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

**	From commencement of Class 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.

(c)	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.

45 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class Y**
	Six Months Ended June 30, 2015 (Unaudited)			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	$	11.25		$	11.43		$	10.72		$	10.34		$	10.72		$	10.41

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.06	)		(0.12	)		(0.13	)		(0.11	)		(0.12	)		(0.11	)
Net realized and unrealized gain (loss)		0.48			0.53			1.82			0.49			(0.20	)		0.86

Total from Investment Operations		0.42			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		(0.38	)		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)

Total Distributions		(0.38	)		(0.59	)		(0.98	)		—			(0.06	)		(0.44	)

Net asset value, end of the period	$	11.29		$	11.25		$	11.43		$	10.72		$	10.34		$	10.72

Total return		3.58	%^(c)		3.77	%		16.05	%		3.68	%		(3.00	)%^(d)		7.22	%^(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,459,705		$	2,786,510		$	2,168,502		$	1,002,226		$	1,071,912		$	343,236
Net expenses, including interest expense		1.27	%^(e)		1.31	%		1.33	%		1.36	%^(f)		1.36	%^(g)		1.36	%^(g)
Gross expenses, including interest expense		1.27	%^(e)		1.31	%		1.33	%		1.36	%^(f)		1.37	%		1.42	%
Net expenses, excluding interest expense		1.26	%^(e)		1.29	%		1.32	%		1.35	%^(f)		1.35	%^(g)		1.35	%^(g)
Gross expenses, excluding interest expense		1.26	%^(e)		1.29	%		1.32	%		1.35	%^(f)		1.36	%		1.41	%
Net investment loss		(1.04	)%^(e)		(1.10	)%		(1.10	)%		(1.10	)%		(1.09	)%		(1.03	)%
Portfolio turnover rate^(h)		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Periods less than one year are not annualized.

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

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

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

See accompanying notes to financial statements.

| 46

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Global Macro Fund (Consolidated*)—Class A
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014**
Net asset value, beginning of the period	$	10.10		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.08	)		(0.01	)
Net realized and unrealized gain (loss)		(0.15	)		0.11

Total from Investment Operations		(0.23	)		0.10

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)
Net realized capital gains		(0.11	)		—

Total Distributions		(0.11	)		(0.00	)

Net asset value, end of the period	$	9.76		$	10.10

Total return(c)(d)		(2.45	)%		1.01	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	200		$	219
Net expenses, including interest expense(e)(f)		1.74	%		1.70	%
Gross expenses, including interest expense(f)		2.54	%		5.26	%
Net expenses, excluding interest expense(e)(f)		1.70	%		1.70	%
Gross expenses, excluding interest expense(f)		2.51	%		5.26	%
Net investment loss(f)		(1.62	)%		(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.

47 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Global Macro Fund (Consolidated*)—Class C
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014**
Net asset value, beginning of the period	$	10.09		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.11	)		(0.02	)
Net realized and unrealized gain (loss)		(0.15	)		0.11

Total from Investment Operations		(0.26	)		0.09

LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.11	)		—

Total Distributions		(0.11	)		—

Net asset value, end of the period	$	9.72		$	10.09

Total return(b)(c)		(2.65	)%		0.90	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	73		$	1
Net expenses, including interest expense(d)(e)		2.49	%		2.45	%
Gross expenses, including interest expense(e)		3.36	%		6.33	%
Net expenses, excluding interest expense(d)(e)		2.45	%		2.45	%
Gross expenses, excluding interest expense(e)		3.33	%		6.33	%
Net investment loss(e)		(2.29	)%		(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.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Global Macro Fund (Consolidated*)—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			Period Ended December 31, 2014**
Net asset value, beginning of the period	$	10.10		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.01	)
Net realized and unrealized gain (loss)		(0.16	)		0.11

Total from Investment Operations		(0.22	)		0.10

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)
Net realized capital gains		(0.11	)		—

Total Distributions		(0.11	)		(0.00	)

Net asset value, end of the period	$	9.77		$	10.10

Total return(c)		(2.25	)%		1.02	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,760		$	25,523
Net expenses, including interest expense(d)(e)		1.49	%		1.45	%
Gross expenses, including interest expense(e)		2.30	%		5.20	%
Net expenses, excluding interest expense(d)(e)		1.45	%		1.45	%
Gross expenses, excluding interest expense(e)		2.26	%		5.20	%
Net investment loss(e)		(1.29	)%		(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.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class A**
	Six Months Ended June 30, 2015 (Unaudited)			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	$	10.98		$	10.25		$	9.11		$	10.34		$	10.61		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.09	)		(0.16	)		(0.14	)		(0.14	)		(0.16	)		(0.07	)
Net realized and unrealized gain (loss)		0.14	^(b)		2.37			1.28			(1.00	)		0.19	^(b)		1.41

Total from Investment Operations		0.05			2.21			1.14			(1.14	)		0.03			1.34

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.29	)		—			(0.09	)		(0.30	)		(0.33	)
Net realized capital gains		(0.29	)		(1.19	)		—			—			—			(0.40	)

Total Distributions		(0.39	)		(1.48	)		—			(0.09	)		(0.30	)		(0.73	)

Net asset value, end of the period	$	10.64		$	10.98		$	10.25		$	9.11		$	10.34		$	10.61

Total return^(c)		0.09	%^(d)(i)		21.76	%^(e)		12.51	%^(e)		(11.09	)%^(e)		0.25	%^(e)		13.44	%^(d)(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	251,722		$	137,991		$	125,903		$	145,729		$	312,098		$	6,511
Net expenses, including interest expense		1.72	%^(f)		1.72	%^(g)		1.73	%^(g)		1.73	%^(g)		1.71	%^(g)		1.73	%^(f)(g)
Gross expenses, including interest expense		1.72	%^(f)		1.76	%		1.78	%		1.80	%		1.78	%		2.78	%^(f)
Net expenses, excluding interest expense		1.70	%^(f)		1.70	%^(g)		1.70	%^(g)		1.70	%^(g)		1.70	%^(g)		1.70	%^(f)(g)
Gross expenses, excluding interest expense		1.70	%^(f)		1.74	%		1.75	%		1.77	%		1.76	%		2.75	%^(f)
Net investment loss		(1.52	)%^(f)		(1.53	)%		(1.51	)%		(1.49	)%		(1.47	)%		(1.43	)%^(f)
Portfolio turnover rate^(h)		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Periods less than one year are not annualized

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

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

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

(i)

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the adjusted net asset value per share may differ from the total return reported in the average annual total return table.

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class C**
	Six Months Ended June 30, 2015 (Unaudited)			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	$	10.69		$	10.03		$	8.99		$	10.25		$	10.58		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.13	)		(0.24	)		(0.21	)		(0.21	)		(0.24	)		(0.10	)
Net realized and unrealized gain (loss)		0.13	^(b)		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		(0.10	)		(0.23	)		—			(0.06	)		(0.28	)		(0.32	)
Net realized capital gains		(0.29	)		(1.19	)		—			—			—			(0.40	)

Total Distributions		(0.39	)		(1.42	)		—			(0.06	)		0.28			(0.72	)

Net asset value, end of the period	$	10.30		$	10.69		$	10.03		$	8.99		$	10.25		$	10.58

Total return^(c)		(0.38	)%^(d)(i)		21.01	%^(e)		11.57	%^(e)		(11.74	)%^(e)		(0.51	)%^(e)		13.04	%^(d)(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	63,613		$	33,945		$	18,770		$	21,891		$	24,838		$	2,357
Net expenses, including interest expense		2.48	%^(f)		2.47	%^(g)		2.48	%^(g)		2.48	%^(g)		2.46	%^(g)		2.47	%^(f)(g)
Gross expenses, including interest expense		2.48	%^(f)		2.51	%		2.53	%		2.55	%		2.56	%		3.31	%^(f)
Net expenses, excluding interest expense		2.45	%^(f)		2.45	%^(g)		2.45	%^(g)		2.45	%^(g)		2.45	%^(g)		2.45	%^(f)(g)
Gross expenses, excluding interest expense		2.45	%^(f)		2.49	%		2.50	%		2.52	%		2.54	%		3.29	%^(f)
Net investment loss		(2.27	)%^(f)		(2.28	)%		(2.26	)%		(2.24	)%		(2.22	)%		(2.17	)%^(f)
Portfolio turnover rate^(h)		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Periods less than one year are not annualized.

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

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

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

(i)

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the adjusted net asset value per share may differ from the total return reported in the average annual total return table.

See accompanying notes to financial statements.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class Y**
	Six Months Ended June 30, 2015 (Unaudited)			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	$	11.01		$	10.26		$	9.10		$	10.34		$	10.60		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss^(a)		(0.07	)		(0.14	)		(0.12	)		(0.12	)		(0.13	)		(0.06	)
Net realized and unrealized gain (loss)		0.13	^(b)		2.40			1.28			(1.00	)		0.19	^(b)		1.40

Total from Investment Operations		0.06			2.26			1.16			(1.12	)		0.06			1.34

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.32	)		(0.00	)^(c)		(0.12	)		(0.32	)		(0.34	)
Net realized capital gains		(0.29	)		(1.19	)		—			—			—			(0.40	)

Total Distributions		(0.39	)		(1.51	)		(0.00	)		(0.12	)		(0.32	)		(0.74	)

Net asset value, end of the period	$	10.68		$	11.01		$	10.26		$	9.10		$	10.34		$	10.60

Total return		0.19	%^(d)(i)		22.21	%^(e)		12.75	%^(e)		(10.90	)%^(e)		0.57	%^(e)		13.39	%^(d)(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,913,982		$	1,363,162		$	695,307		$	593,013		$	410,166		$	49,803
Net expenses, including interest expense		1.47	%^(f)(j)		1.47	%^(g)		1.48	%^(g)		1.48	%^(g)		1.46	%^(g)		1.48	%^(f)(g)
Gross expenses, including interest expense		1.47	%^(f)(j)		1.51	%		1.53	%		1.56	%		1.57	%		2.68	%^(f)
Net expenses, excluding interest expense		1.45	%^(f)		1.45	%^(g)		1.45	%^(g)		1.45	%^(g)		1.45	%^(g)		1.45	%^(f)(g)
Gross expenses, excluding interest expense		1.45	%^(f)		1.49	%		1.51	%		1.52	%		1.56	%		2.65	%^(f)
Net investment loss		(1.27	)%^(f)		(1.28	)%		(1.26	)%		(1.24	)%		(1.22	)%		(1.20	)%^(f)
Portfolio turnover rate^(h)		—	%		—	%		—	%		—	%		—	%		—	%

*	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)	Periods less than one year are not annualized.

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

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

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

(i)

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the adjusted net asset value per share may differ from the total return reported in the average annual total return table.

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

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class A
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.85		$	11.02		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)		(0.01	)		(0.01	)
Net realized and unrealized gain (loss)		0.04			1.60			1.31

Total from Investment Operations		0.03			1.59			1.30

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—
Net realized capital gains		(0.09	)		(0.76	)		(0.28	)

Total Distributions		(0.09	)		(0.76	)		(0.28	)

Net asset value, end of the period	$	11.79		$	11.85		$	11.02

Total return(b)		0.24	%(c)		14.69	%(d)		12.96	%(c)(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	13,034		$	3,089		$	29
Net expenses		1.40	%(e)(g)		1.40	%(f)		1.40	%(e)(f)
Gross expenses		1.40	%(e)(g)		1.57	%		2.21	%(e)
Net investment loss		(0.11	)%(e)		(0.09	)%		(0.38	)%(e)
Portfolio turnover rate		49	%		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)	Periods less than one year are not annualized.

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

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

(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 0.02%.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class C
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.73		$	11.00		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.10	)		(0.03	)
Net realized and unrealized gain (loss)		0.05			1.59			1.31

Total from Investment Operations		—			1.49			1.28

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—
Net realized capital gains		(0.09	)		(0.76	)		(0.28	)

Total Distributions		(0.09	)		(0.76	)		(0.28	)

Net asset value, end of the period	$	11.64		$	11.73		$	11.00

Total return(b)		(0.10	)%(c)		13.88	%(d)		12.76	%(c)(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,715		$	1,468		$	8
Net expenses		2.15	%(e)(g)		2.15	%(f)		2.15	%(e)(f)
Gross expenses		2.15	%(e)(g)		2.33	%		2.80	%(e)
Net investment loss		(0.92	)%(e)		(0.86	)%		(1.00	)%(e)
Portfolio turnover rate		49	%		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)	Periods less than one year are not annualized.

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

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

(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 0.02%.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class Y
	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.88		$	11.03		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.00	(b)		0.01			(0.00	)(b)
Net realized and unrealized gain (loss)		0.05			1.61			1.31

Total from Investment Operations		0.05			1.62			1.31

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		—
Net realized capital gains		(0.09	)		(0.76	)		(0.28	)

Total Distributions		(0.09	)		(0.77	)		(0.28	)

Net asset value, end of the period	$	11.84		$	11.88		$	11.03

Total return		0.40	%(c)		14.92	%(d)		13.06	%(c)(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	93,188		$	65,042		$	22,595
Net expenses		1.15	%(e)(g)		1.15	%(f)		1.15	%(e)(f)
Gross expenses		1.15	%(e)(g)		1.32	%		1.93	%(e)
Net investment income (loss)		0.07	%(e)		0.10	%		(0.13	)%(e)
Portfolio turnover rate		49	%		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)	Periods less than one year are not annualized.

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

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

(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 0.02%.

See accompanying notes to financial statements.

55 |

Notes to Financial Statements

June 30, 2015 (Unaudited)

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

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

ASG 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”)

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 Class A, Class C and Class Y, collectively, and Class N individually, transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

Global Alternatives Fund, 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

| 56

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 June 30, 2015, 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	$	38,961,986		1.03	%
Global Macro Fund		814,379		3.13	%
Managed Futures Strategy Fund		66,594,573		2.99	%

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 preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is

57 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

no reported sale during the day, the closing bid quotation. 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted 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, 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 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.

| 58

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Fund	Notional Value		Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
Global Alternatives Fund	$	1,601,409,724	$	22,038,033		0.58	%
Global Macro Fund	$	5,267,908	$	95,831		0.37	%
Managed Futures Strategy Fund	$	854,086,033	$	12,901,970		0.58	%

*	Amounts are reflected at absolute value.

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

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

59 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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

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

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.

| 60

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2015 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 six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

Each Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Global Alternatives Fund, 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 in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of

61 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 reported on the Statements of Assets and Liabilities. 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. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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


	2014 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Global Alternatives Fund	$	43,798,875	$	106,652,170	$	150,451,045
Global Macro Fund		4,054		—		4,054
Managed Futures Strategy Fund		119,637,458		64,358,560		183,996,018
Tactical U.S. Market Fund		1,330,202		2,398,225		3,728,427

As of December 31, 2014, the post-October capital loss deferrals were as follows:


	Global Alternatives Fund		Global Macro Fund			Managed Futures Strategy Fund		Tactical U.S. Market Fund
Post-October capital loss deferrals*	$	—	$	(151,642	)	$	—	$	—

*	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.

| 62

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

•

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

•

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2015, at value:

Global Alternatives Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investment(a)	$	—	$	3,549,653,046	$	—	$	3,549,653,046
Forward Foreign Currency Contracts (unrealized appreciation)		—		8,140,821		—		8,140,821
Futures Contracts (unrealized appreciation)		6,408,146		6,885		—		6,415,031

Total	$	6,408,146	$	3,557,800,752	$	—	$	3,564,208,898

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(4,442,407	)	$	—	$	(4,442,407	)
Futures Contracts (unrealized depreciation)		(32,925,274	)		(22,031,148	)		—		(54,956,422	)

Total	$	(32,925,274	)	$	(26,473,555	)	$	—	$	(59,398,829	)

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

63 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.

Global Macro Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investment(a)	$	—	$	23,799,870	$	—	$	23,799,870
Forward Foreign Currency Contracts (unrealized appreciation)		—		188,269		—		188,269
Futures Contracts (unrealized appreciation)		118,002		672		—		118,674

Total	$	118,002	$	23,988,811	$	—	$	24,106,813

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(95,534	)	$	—	$	(95,534	)
Futures Contracts (unrealized depreciation)		(368,123	)		(95,159	)		—		(463,282	)

Total	$	(368,123	)	$	(190,693	)	$	—	$	(558,816	)

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

For the six months ended June 30, 2015, 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)	$	—	$	2,015,773,361	$	—	$	2,015,773,361
Forward Foreign Currency Contracts (unrealized appreciation)		—		9,555,465		—		9,555,465
Future Contracts (unrealized appreciation)		30,714,329		3,039,549		—		33,753,878

Total	$	30,714,329	$	2,028,368,375	$	—	$	2,059,082,704

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(19,377,743	)	$	—	$	(19,377,743	)
Future Contracts (unrealized depreciation)		(17,365,471	)		(9,862,421	)		—		(27,227,892	)

Total	$	(17,365,471	)	$	(29,240,164	)	$	—	$	(46,605,635	)

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

| 64

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, 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)	$	50,824,926	$	—	$	—	$	50,824,926
Exchange-Traded Funds		10,792,098		—		—		10,792,098
Short-Term Investments(a)		—		44,009,559		—		44,009,559

Total Investments	$	61,617,024	$	44,009,559	$	—	$	105,626,583

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(1,032,328	)	$	—	$	—	$	(1,032,328	)

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

For the six months ended June 30, 2015, 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 an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts and futures contracts.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 2015, the Fund used long contracts on U.S. market indices and long and short contracts on U.S. and foreign government bonds, foreign equity market indices, commodities (through investments in the Subsidiary), short-term interest rates and foreign currencies in accordance with these objectives.

Global Macro 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

65 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 six months ended June 30, 2015, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary) to capture the exposures suggested by the quantitative investment models.

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 six months ended June 30, 2015, the Fund used long and short contracts on foreign equity market indices, U.S. and foreign government bonds, short-term interest rates, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on U.S. equity market indices, to capture the exposures suggested by the quantitative investment models.

Tactical U.S. Market Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. During the six months ended June 30, 2015, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.

| 66

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2015, 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	$	8,140,821	$	—	$	8,140,821

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	5,914,196	$	5,914,196
Equity contracts		—		6,885		6,885
Commodity contracts		—		493,950		493,950

Total exchange-traded asset derivatives	$	—	$	6,415,031	$	6,415,031

Total asset derivatives	$	8,140,821	$	6,415,031	$	14,555,852


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(4,442,407	)	$	—		$	(4,442,407	)

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(5,071,135	)	$	(5,071,135	)
Equity contracts		—			(38,122,608	)		(38,122,608	)
Commodity contracts		—			(11,762,679	)		(11,762,679	)

Total exchange-traded liability derivatives	$	—		$	(54,956,422	)	$	(54,956,422	)

Total liability derivatives	$	(4,442,407	)	$	(54,956,422	)	$	(59,398,829	)

67 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2015 as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	43,002,669		$	—
Foreign exchange contracts		—			19,986,494
Equity contracts		122,775,621			—
Commodity contracts		(979,330	)		—

Total	$	164,798,960		$	19,986,494


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations¹
Interest rate contracts	$	(15,117,702	)	$	—
Foreign exchange contracts		—			(3,465,509	)
Equity contracts		(52,206,950	)		—
Commodity contracts		2,727,913			—

Total	$	(64,596,739	)	$	(3,465,509	)

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 Global Macro Fund as of June 30, 2015, 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	$	188,269	$	—	$	188,269

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	23,831	$	23,831
Equity contracts		—		6,026		6,026
Commodity contracts		—		88,817		88,817

Total exchange-traded asset derivatives	$	—	$	118,674	$	118,674

Total asset derivatives	$	188,269	$	118,674	$	306,943

| 68

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(95,534	)	$	—		$	(95,534	)
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(201,620	)	$	(201,620	)
Equity contracts		—			(128,948	)		(128,948	)
Commodity contracts		—			(132,714	)		(132,714	)

Total exchange-traded liability derivatives	$	—		$	(463,282	)	$	(463,282	)

Total liability derivatives	$	(95,534	)	$	(463,282	)	$	(558,816	)

Transactions in derivative instruments for Global Macro Fund during the six months ended June 30, 2015 as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(148,585	)	$	—
Foreign exchange contracts		—			425,406
Equity contracts		241,466			—
Commodity contracts		(361,350	)		—

Total	$	(268,469	)	$	425,406


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations¹
Interest rate contracts	$	(100,160	)	$	—
Foreign exchange contracts		—			(127,106	)
Equity contracts		(255,361	)		—
Commodity contracts		(128,394	)		—

Total	$	(483,915	)	$	(127,106	)

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.

69 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2015, 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	$	9,555,465	$	—	$	9,555,465
Exchange-traded asset derivatives
Interest rate contracts	$	—	$	5,265,279	$	5,265,279
Equity contracts		—		3,072,966		3,072,966
Commodity contracts		—		25,415,633		25,415,633

Total exchange-traded asset derivatives	$	—	$	33,753,878	$	33,753,878

Total asset derivatives	$	9,555,465	$	33,753,878	$	43,309,343


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(19,377,743	)	$	—		$	(19,377,743	)
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(1,853,811	)	$	(1,853,811	)
Equity contracts		—			(19,495,522	)		(19,495,522	)
Commodity contracts		—			(5,878,559	)		(5,878,559	)

Total exchange-traded liability derivatives	$	—		$	(27,227,892	)	$	(27,227,892	)

Total liability derivatives	$	(19,377,743	)	$	(27,227,892	)	$	(46,605,635	)

| 70

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2015 as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(36,060,755	)	$	—
Foreign exchange contracts		—			13,368,269
Equity contracts		80,289,499			—
Commodity contracts		(38,565,409	)		—

Total	$	5,663,335		$	13,368,269


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations¹
Interest rate contracts	$	(15,483,293	)	$	—
Foreign exchange contracts		—			(17,408,171	)
Equity contracts		(26,310,632	)		—
Commodity contracts		(1,442,629	)		—

Total	$	(43,236,554	)	$	(17,408,171	)

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 June 30, 2015, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Equity contracts	$	(1,032,328	)

Transactions in derivative instruments for Tactical U.S. Market Fund during the six months ended June 30, 2015 as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Equity contracts	$	2,110,949

Net Change in Unrealized

Appreciation (Depreciation) on:

Futures contracts

Equity contracts

(1,692,988

)

71 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2015:


Global Alternatives Fund	Forwards	Futures
Average Notional Amount Outstanding	64.84%	400.25%
Highest Notional Amount Outstanding	105.38%	514.40%
Lowest Notional Amount Outstanding	39.02%	223.76%
Notional Amount Outstanding as of June 30, 2015	39.43%	271.92%


Global Macro Fund	Forwards	Futures
Average Notional Amount Outstanding	220.27%	392.09%
Highest Notional Amount Outstanding	390.45%	523.48%
Lowest Notional Amount Outstanding	83.52%	333.08%
Notional Amount Outstanding as of June 30, 2015	94.41%	523.48%


Managed Futures Strategy Fund	Forwards	Futures
Average Notional Amount Outstanding	85.32%	726.71%
Highest Notional Amount Outstanding	121.23%	874.13%
Lowest Notional Amount Outstanding	46.91%	510.54%
Notional Amount Outstanding as of June 30, 2015	113.65%	510.54%


Tactical U.S. Market Fund		Futures
Average Notional Amount Outstanding		57.27%
Highest Notional Amount Outstanding		64.59%
Lowest Notional Amount Outstanding		42.62%
Notional Amount Outstanding as of June 30, 2015		42.62%

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

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

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

| 72

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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.

Global Alternatives Fund


Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	8,140,821		$	(4,442,407	)	$	3,698,414	$	—	$	3,698,414	(a)

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(4,442,407	)	$	4,442,407		$	—	$	—	$	—

Global Macro Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	188,269		$	(95,534	)	$	92,735	$	—	$	92,735	(a)

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(95,534	)	$	95,534		$	—	$	—	$	—

73 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Managed Futures Strategy Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	9,555,465		$	(9,555,465	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(19,377,743	)	$	9,555,465		$	(9,822,278	)	$	9,822,278	$	—

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

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of June 30, 2015, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:


	Independent Amount of Collateral		Increase (Decrease) For Change in Value			Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Global Alternatives Fund	$	31,764,995	$	(4,874,650	)	$	26,890,345	$	29,611,607	$	2,721,262
Global Macro Fund		378,808		(95,920	)		282,888		341,348		58,460
Managed Futures Strategy Fund		36,412,022		7,660,679			44,072,701		45,551,853		1,479,152

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.

| 74

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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 June 30, 2015:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net

Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	8,140,821	$	3,698,414
Collateral pledged to UBS AG		29,611,607		29,611,607

Total over-the-counter counterparty credit risk		37,752,428		33,310,021

Exchange-traded counterparty credit risk
Futures contracts		6,415,031		6,415,031
Margin with brokers		227,721,408		227,721,408

Total exchange-traded counterparty credit risk		234,136,439		234,136,439

Total counterparty credit risk	$	271,888,867	$	267,446,460

75 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net

Global Macro Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	188,269	$	92,735
Collateral pledged to UBS AG		341,348		341,348

Total over-the-counter counterparty credit risk		529,617		434,083

Exchange-traded counterparty credit risk
Futures contracts		118,674		118,674
Margin with brokers		1,942,683		1,942,683

Total exchange-traded counterparty credit risk		2,061,357		2,061,357

Total counterparty credit risk	$	2,590,974	$	2,495,440


Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	9,555,465		—
Collateral pledged to UBS AG		45,551,853		45,551,853

Total over-the-counter counterparty credit risk		55,107,318		45,551,853

Exchange-traded counterparty credit risk
Futures contracts		33,753,878		33,753,878
Margin with brokers		154,613,986		154,613,986
Total exchange-traded counterparty credit risk		188,367,864		188,367,864

Total counterparty credit risk	$	243,475,182	$	233,919,717


Tactical U.S. Market Fund
Exchange-traded counterparty credit risk
Margin with brokers	$	3,409,380	$	3,409,380

5. Purchases and Sales of Securities. For the six months ended June 30, 2015, purchases and proceeds from sales or maturities of short-term investments were as follows:


Fund	Purchases		Sales/Maturities
Global Alternatives Fund	$	36,396,454,716	$	35,669,899,302
Global Macro Fund		302,947,387		300,699,941
Managed Futures Strategy Fund		22,986,023,791		22,291,598,791

| 76

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Tactical U.S. Market Fund	$	47,464,551	$	24,136,913

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	%

Effective July 1, 2015, Managed Futures Strategy Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets, less the net asset value of the Subsidiary:


	Percentage of Average Daily Net Assets
Fund	First $2.5 billion			Over $2.5 billion
Managed Futures Strategy Fund		1.25	%		1.20	%

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.

Prior to the close of business on May 15, 2015, AlphaSimplex had 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 paid a subadvisory fee at the annual rate of 0.05% of the average daily net assets of the Funds

77 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

that were allocated by AlphaSimplex to be managed by Reich & Tang, subject to a minimum annual subadvisory fee of $50,000 per Fund. Effective as of the close of business on May 15, 2015, these agreements were terminated and AlphaSimplex assumed portfolio management responsibility for the portions of the Funds previously managed by Reich & Tang.

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 were reduced by the amount of payments to NGAM Advisors and Reich & Tang, as described above, prior to the close of business on May 15, 2015.

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, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2016, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2015, 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	%

Effective July 1, 2015, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Tactical U.S. Market Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N		Class Y
Tactical U.S. Market Fund		1.25	%		2.00	%		—		1.00	%

| 78

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

This undertaking is in effect until April 30, 2017, may be terminated before then only with the consent of the Fund’s Board of Trustees, and will be reevaluated on an annual basis.

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

For the six months ended June 30, 2015, 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
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross			Net
Global Alternatives Fund	$	19,282,578	$	—	$	19,282,578		1.13	%		1.13	%
Global Macro Fund		165,703		107,037		58,666		1.25	%		0.44	%
Managed Futures Strategy Fund		12,965,048		—		12,965,048		1.25	%		1.25	%
Tactical U.S. Market Fund		361,035		—		361,035		0.80	%		0.80	%

¹	Management fee waivers are subject to possible recovery until December 31, 2016.

For the six months ended June 30, 2015, class specific expenses have been reimbursed as follows:


Fund	Reimbursement Class N
Global Alternatives Fund	$	81

For the the six months ended June 30, 2015, expense reimbursements related to the prior fiscal year were recovered as follows:


Fund	Recovered Expenses
Managed Futures Strategy Fund	$	10,991
Tactical U.S. Market Fund		9,925

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.

79 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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”).

For the six months ended June 30, 2015, 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	$	226,574	$	118,621	$	355,864
Global Macro Fund		468		43		129
Managed Futures Strategy Fund		290,338		67,508		202,526
Tactical U.S. Market Fund		11,682		2,605		7,816

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 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.

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

| 80

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

amount of payments to NGAM Advisors by the Subsidiaries. In addition, NGAM Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.

For the six months ended June 30, 2015, 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	$	724,370
Global Macro Fund		5,623
Managed Futures Strategy Fund		439,833
Tactical U.S. Market Fund		19,139

For the six months ended June 30, 2015, 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	$	661,027
Global Macro Fund		139
Managed Futures Strategy Fund		945,178
Tactical U.S. Market Fund		35,196

81 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)


Fund	Reimbursements of Sub-Transfer Agent Fees
Global Alternatives Fund	$	16,515
Global Macro Fund		4
Managed Futures Strategy Fund		18,547
Tactical U.S. Market Fund		921

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2015 were as follows:


Fund	Commissions
Global Alternatives Fund	$	164,178
Managed Futures Strategy Fund		460,262
Tactical U.S. Market Fund		11,177

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, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Gateway Trust 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.

| 82

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

g. Affiliated Ownership. As of June 30, 2015, Natixis US and affiliates held shares of Global Macro Fund representing 94.82% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

h. Reimbursement of Transfer Agent Fees and Expenses. 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 six months ended June 30, 2015, NGAM Advisors reimbursed the Fund $81 for transfer agency expenses related to Class N shares.

i. Payment by Affiliates. During the period ended June 30, 2015, AlphaSimplex reimbursed Managed Futures Strategy Fund $1,178 for overdraft charges.

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2015, 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	$	48,967	$	25,764	$	81	$	848,307

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 $150,000,000 committed unsecured

83 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, none of the Funds had borrowings under this agreement.

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, Global Macro Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2015 is reflected on the Statements of Operations.

| 84

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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
Global Alternatives Fund		2		37.70	%
Managed Futures Strategy Fund		2		20.66	%(a)
Tactical U.S. Market Fund		1		59.98	%(a)

(a)	Investments on behalf of non-affiliated account holders representing 8.79% and 59.98% of net assets for Managed Futures Strategy Fund and Tactical U.S. Market Fund, respectively, are controlled by AlphaSimplex.

85 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

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


	Six Months Ended June 30, 2015					Year Ended December 31, 2014
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	7,504,038		$	85,983,859		10,549,922		$	117,074,063
Issued in connection with the reinvestment of distributions	404,650			4,673,704		808,086			8,795,307
Redeemed	(2,179,669	)		(24,979,468	)	(14,539,064	)		(161,014,264	)

Net change	5,729,019		$	65,678,095		(3,181,056	)	$	(35,144,894	)

Class C
Issued from the sale of shares	1,967,979		$	21,572,150		2,207,989		$	23,527,887
Issued in connection with the reinvestment of distributions	172,414			1,893,104		264,553			2,771,655
Redeemed	(786,628	)		(8,607,840	)	(2,001,060	)		(21,287,783	)

Net change	1,353,765		$	14,857,414		471,482		$	5,011,759

Class N
Issued from the sale of shares	871,579		$	10,005,771		—	(a)	$	1
Issued in connection with the reinvestment of distributions	28,030			327,390		5			57
Redeemed	(103	)		(1,183	)	—			—

Net change	899,506		$	10,331,978		5		$	58

Class Y
Issued from the sale of shares	81,505,494		$	949,619,554		121,806,162		$	1,366,499,501
Issued in connection with the reinvestment of distributions	4,360,784			51,021,174		5,800,398			64,201,320
Redeemed	(27,235,238	)		(316,766,637	)	(69,706,045	)		(780,169,177	)

Net change	58,631,040		$	683,874,091		57,900,515		$	650,531,644

Increase (decrease) from capital share transactions	66,613,330		$	774,741,578		55,190,946		$	620,398,567

(a)	Amount rounds to less than one share.

| 86

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2015					Period Ended December 31, 2014*
Global Macro Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	35,297		$	360,768		22,757		$	225,501
Issued in connection with the reinvestment of distributions	538			5,524		1			12
Redeemed	(36,961	)		(368,759	)	(1,094	)		(11,012	)

Net change	(1,126	)	$	(2,467	)	21,664		$	214,501

Class C
Issued from the sale of shares	7,555		$	76,851		100		$	1,001
Issued in connection with the reinvestment of distributions	38			386		—			—
Redeemed	(152	)		(1,506	)	—			—

Net change	7,441		$	75,731		100		$	1,001

Class Y
Issued from the sale of shares	86,450		$	900,049		2,527,338		$	25,273,001
Issued in connection with the reinvestment of distributions	27,295			280,045		400			4,042
Redeemed	(5,625	)		(56,064	)	—			—

Net change	108,120		$	1,124,030		2,527,738		$	25,277,043

Increase (decrease) from capital share transactions	114,435		$	1,197,294		2,549,502		$	25,492,545

*	From commencement of operations on December 1, 2014 through December 31, 2014.

87 |

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2015					Year Ended December 31, 2014
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	17,331,546		$	203,120,253		7,926,341		$	85,835,159
Issued in connection with the reinvestment of distributions	657,108			7,937,866		1,409,586			15,334,925
Redeemed	(6,891,101	)		(77,375,087	)	(9,059,693	)		(96,168,941	)

Net change	11,097,553		$	133,683,032		276,234		$	5,001,143

Class C
Issued from the sale of shares	3,458,368		$	39,452,752		1,508,317		$	15,998,285
Issued in connection with the reinvestment of distributions	112,458			1,316,880		246,210			2,613,508
Redeemed	(572,681	)		(6,206,286	)	(448,720	)		(4,552,344	)

Net change	2,998,145		$	34,563,346		1,305,807		$	14,059,449

Class Y
Issued from the sale of shares	76,346,130		$	894,036,774		68,198,054		$	730,964,650
Issued in connection with the reinvestment of distributions	3,983,569			48,700,572		13,546,753			148,000,892
Redeemed	(24,882,515	)		(286,698,475	)	(25,644,666	)		(275,398,393	)

Net change	55,447,184		$	656,038,871		56,100,141		$	603,567,149

Increase (decrease) from capital share transactions	69,542,882		$	824,285,249		57,682,182		$	622,627,741

| 88

Notes to Financial Statements (continued)

June 30, 2015 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2015					Year Ended December 30, 2014
Tactical U.S. Market Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	930,818		$	11,061,799		295,712		$	3,496,801
Issued in connection with the reinvestment of distributions	5,943			70,786		9,178			110,542
Redeemed	(92,498	)		(1,111,588	)	(46,700	)		(538,192	)

Net change	844,263		$	10,020,997		258,190		$	3,069,151

Class C
Issued from the sale of shares	117,603		$	1,394,691		120,966		$	1,405,317
Issued in connection with the reinvestment of distributions	1,460			17,184		5,761			68,239
Redeemed	(10,922	)		(129,351	)	(2,311	)		(27,368	)

Net change	108,141		$	1,282,524		124,416		$	1,446,188

Class Y
Issued from the sale of shares	4,294,147		$	51,526,188		3,953,299		$	45,963,032
Issued in connection with the reinvestment of distributions	48,480			579,331		298,226			3,511,746
Redeemed	(1,949,070	)		(23,404,427	)	(825,607	)		(9,910,677	)

Net change	2,393,557		$	28,701,092		3,425,918		$	39,564,101

Increase (decrease) from capital share transactions	3,345,961		$	40,004,613		3,808,524		$	44,079,440

89 |

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a) (1)

Not applicable

(a) (2)

Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(a) (3)

Not applicable.

(b)

Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

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


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		August 20, 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:		August 20, 2015



By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		August 20, 2015