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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)
888 Boylston Street, Suite 800, Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Russell L. Kane, Esq.
Natixis Distribution, L.P.
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2822
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
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Item 1. Reports to Stockholders.
The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
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Annual Report
December 31, 2019
ASG Dynamic Allocation Fund
ASG Global Alternatives Fund
ASG Managed Futures Strategy Fund
ASG Tactical U.S. Market Fund
| Portfolio Review | 1 | |||
| Portfolio of Investments | 25 | |||
| Financial Statements | 57 | |||
| Notes to Financial Statements | 78 | |||
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
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| Managers | Symbols | |
| Alexander D. Healy, PhD | Class A DAAFX | |
| Robert S. Rickard | Class C DACFX | |
| Derek M. Schug, CFA® | Class Y DAYFX | |
| AlphaSimplex Group, LLC (Adviser) | ||
Investment Goal
The Fund seeks long-term capital appreciation. The secondary goal of the Fund is the protection of capital during unfavorable market conditions.
Market Conditions
The positive momentum in risk assets that began in the last days of 2018 continued apace through 2019. Punctuated by intermittent volatility throughout the year, the risk-on sentiment in markets globally accelerated into year-end.
The first quarter of the year saw the yield curve invert on Federal Reserve accommodation late in the quarter. Major equity, bond, credit, and energy indices around the world rallied powerfully in response, despite gaps in economic improvement both in the US and other developed-market economies. The first three months of 2019 also saw a remarkable rally in crude oil prices, the best quarterly performance since 2002. The dollar remained steady, while the Turkish lira and, to a lesser degree, the Japanese yen saw significant downside volatility. In the second quarter, global interest rates became correlated in a downward move driven by investor expectations of central bank easing in the near-to-medium term. As economic conditions in the US appeared to synchronize with the softer data from the rest of the world, consensus drove the 10-year US Treasury yield lower at a faster pace through May, ending the quarter at its lowest level since the election-related spike in 2016. Nevertheless, equities finished the quarter higher, pushing through mid-quarter weakness while weather-related devastation to crops in the Midwest US pulled commodity prices up abruptly, reversing steady downward pressure from tariffs.
September was the pivotal point of a coordinated move in bonds, equities, and currencies with a clear shift toward risk-off sentiment occurring mid-month and continuing through the end of the quarter, particularly in bond yields. Equities in the United States and abroad finished the third quarter mostly unchanged, but volatility during the three-month period was generally higher than the trailing quarter, with the VIX Index reaching a high of 24.59% on August 5. European stocks ended a turbulent quarter higher, while emerging market stocks struggled to recover from the mid-quarter drawdown.
The third quarter also saw notable volatility in oil prices. After increasing with risk-on sentiment early in July and August, contracts spiked higher when the Saudi Arabian facility in Abqaiq was attacked in mid-September. The attack put significant amounts of production capability offline and escalated tensions in the region. However, demand concerns on a weak global growth outlook and a well-supplied domestic US oil market pulled prices down steadily after the spike.
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Globally, equities had a very strong year heading into the fourth quarter. Performance continued into year-end helped in part by completion in principle of the Phase 1 deal with China and clarity over Brexit following the convincing election results in the UK. The correlation between bonds and equities that held in the first nine months broke down. Equities continued to drive higher and bond yields began to rise as the positive macro environment caused some investors to question the need for further monetary stimulus.
The constructive macro environment in the fourth quarter was also linked to a softer US dollar as investors pushed demand up for traditionally riskier currencies. The DXY index was down 2.3% in the quarter, while a strong bid was seen in emerging markets bonds, especially in December.
The decisive election results in the United Kingdom had substantial impact on its currency. The pound sterling showed remarkable strength in the fourth quarter, not just against a softening dollar. The pound/euro cross pushed higher by 3.4%. Against the dollar, the pound reached its strongest level since the Brexit referendum passed in 2016. Separately, the Swedish krona had a notable strengthening run against the dollar, with spot prices appreciating more than 5%, which coincided with the Riksbank setting its overnight policy rate at zero after being negative since February 2015.
Resiliency in the US economy was a defining characteristic for the year, especially in labor markets and wage growth. While the Federal Open Market Committee (FOMC) lowered its target rate in October, the plan to keep rates on hold while growing the balance sheet to facilitate liquidity in the repo market supported risk assets’ performance in the fourth quarter.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of ASG Dynamic Allocation Fund returned 16.82% at net asset value. Although the Fund does not seek to track any particular index, the Morningstar® Global Allocation IndexSM may be used as a benchmark for performance analysis. This benchmark returned 18.53% over the same period. It is important to note that there are material differences between the Fund and this benchmark.
Explanation of Fund Performance
The Fund uses a set of proprietary quantitative models to invest in global stock and fixed-income markets. The Fund’s strategy is to overweight and/or underweight assets within this universe based on these models. The Fund uses exchange-traded funds and derivative instruments, such as futures contracts, to gain exposure to six classes of global assets: US stocks, developed international stocks, emerging market stocks, US bonds, developed international bonds, and emerging market bonds.
After a difficult end to the previous year, both stocks and bonds posted meaningful gains during 2019. Five of the six asset groups in which the Fund invests contributed to gains during the year. The most significant contribution to Fund performance came from the exposure to US stocks. The Fund began the year underweight the group, but its weight gradually increased from March through year-end as US stock volatility declined and its trend improved. International developed market stocks and all three bond groups also
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contributed gains to the Fund, while emerging market equities posted a modest loss. Finally, the Fund’s strategic currency hedge posted a small loss for the year.
With global stocks exhibiting negative trends and high volatility in late 2018, the Fund entered the year positioned conservatively with an underweight position in equities and an overweight exposure to bonds. As equities rebounded sharply from their 2018 losses early in the year, the Fund underperformed its benchmark through April. The Fund began to pick up on equities’ improving trend in late February and increased its allocation to all three stock groups, helping the Fund’s relative performance as the year progressed. While the Fund’s average exposure to stocks was 61% for all of 2019, approximately equal to the benchmark weight, this masks the dynamic nature of our exposures, which ranged from a low of 13.3% early in the year to a high of 102.2% toward year-end.
The Fund’s bond exposure contributed positively to performance, as the allocation was overweight relative to the benchmark. Exposure to bonds averaged 62% for the year, ranging from a low of 40.2% to a high of 80.9%, with the larger exposures occurring in the first half. Holding higher exposures to bonds in the first part of the year helped Fund performance as the 10-year US Treasury yield declined from January through August before reversing course and rising during the final months. (Declining yields generally contribute to gains in bond prices.) As yields rose late in the year the Fund’s overall bond exposures were reduced, but still finished the year with a small overweight relative to the benchmark.
The Fund relies primarily on a systematic process to identify trends and changes in the asset allocation of the broad hedge fund universe. The Fund has the ability to adjust its total exposure from 0% to 200%. Mostly a result of volatility and trend changes observed across markets, the Fund enters 2020 positioned aggressively relative to the benchmark with a significant overweight in the overall equity exposure. Our stock weight ended the year at 102% compared to 24% at the beginning of 2019, while bonds started the year at a 63% weight and ended at 45%.
The Fund’s portfolio is adjusted on a daily basis to incorporate new information about trends and hedge fund positioning, and seeks to control risk by maintaining an annual standard deviation of daily returns below 20%. While volatility in 2019 was lower compared to 2018, it was far from extreme. The benchmark’s annualized volatility was 5.4%, below 2018 levels and well below its longer-term volatility of 9.0%.1 The Fund’s annualized volatility during 2019 was 7.1%, also lower than its experience in 2018 and well below 20%. While the Fund spent most of 2019 more aggressively positioned than the benchmark, it is important to note that Fund positioning is dynamic and will vary over time relative to the benchmark.
Outlook
Signs of renewed investor confidence can be seen as global equities, and risk assets generally, show fundamental strength and strong sentiment heading into 2020. Looking ahead, the outlook is balanced between stable short-term forces already in place and longer-term structural uncertainties in the US and abroad.
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A short-term positive is the clarity gained from the British election in December. Having been a risk factor since the referendum passed in 2016, the clear message from the recent United Kingdom vote finally opens the path for Brexit in 2020. The UK is now in a position to focus on the terms of its exit from the EU and on minimizing the disruption to its economy.
In Europe and Japan, messaging from central banks points to a low likelihood of policy rates moving any lower after years in negative territory. Markets have already reacted, steadily pushing benchmark sovereign rates higher in both of those major economies. Fiscal stimulus in Europe and Japan will have the effect of strengthening the apparent floor in rates set in the previous year, and we expect those influences on fixed income to persist in 2020. Moreover, the growth outlook in Asia outside of Japan is also positive, with a liftoff spurred on by progress on trade relations between the US and China. Despite monetary and fiscal stimulus, growth challenges will continue in Europe and China as demographics and debt dynamics dampen demand.
In the United States, positive market sentiment and asset fundamentals being carried into 2020 are likely to be constrained by ongoing uncertainties. The presidential election in November will elevate headline risk throughout the year, compounded by primary elections, trade relations, questions about impeachment, and the durability of economic growth and the labor market. US risk asset performance, as well as rates and commodity prices, will be determined by how markets absorb these unknowns and balance the outcomes of a pivotal year in domestic politics.
| 1 | Annualized standard deviation of daily returns of Morningstar® Global Allocation IndexSM from 7/1/2002-12/31/2019. |
Hypothetical Growth of $100,000 Investment in Class Y Shares4
November 30, 2015 (inception) through December 31, 2019
See notes to chart on page 5.
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Average Annual Total Returns — December 31, 20194
| Expense Ratios5 | ||||||||||||||||
| 1 Year | Life of Fund | Gross | Net | |||||||||||||
| Class Y (Inception 11/30/15) | ||||||||||||||||
| NAV | 16.82 | % | 6.61 | % | 1.41 | % | 0.96 | % | ||||||||
| Class A (Inception 11/30/15) | ||||||||||||||||
| NAV | 16.59 | 6.37 | 1.68 | 1.21 | ||||||||||||
| With 5.75% Maximum Sales Charge | 9.91 | 4.84 | ||||||||||||||
| Class C (Inception 11/30/15) | ||||||||||||||||
| NAV | 15.75 | 5.57 | 2.40 | 1.96 | ||||||||||||
| With CDSC1 | 14.75 | 5.57 | ||||||||||||||
| Comparative Performance | ||||||||||||||||
| Morningstar® Global Allocation IndexSM2 | 18.53 | 8.35 | ||||||||||||||
| Blended Index3 | 20.01 | 7.84 | ||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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 Morningstar® Global Allocation IndexSM represents a diverse multi-asset-class portfolio of liquid global asset classes that reflects the global investment opportunities available to an investor with a moderate risk tolerance. |
| 3 | The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI World Index (Net)/40% Bloomberg Barclays U.S. Aggregate 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. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ASG GLOBAL ALTERNATIVES FUND
| Managers | Symbols | |
| Alexander D. Healy, PhD | Class A GAFAX | |
| David E. Kuenzi, CFA® | Class C GAFCX | |
| Peter A. Lee | Class N GAFNX | |
| Philippe P. Lüdi, CFA®, PhD | Class Y GAFYX | |
| Robert S. Rickard | ||
| AlphaSimplex Group, LLC (Adviser) | ||
Investment Goal
The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.
Market Conditions
The positive momentum in risk assets that began in the last days of 2018 continued apace through 2019. Punctuated by intermittent volatility throughout the year, the risk-on sentiment in markets globally accelerated into year-end.
The first quarter of the year saw the yield curve invert on Federal Reserve accommodation late in the quarter. Major equity, bond, credit, and energy indices around the world rallied powerfully in response, despite gaps in economic improvement both in the US and other developed-market economies. The first three months of 2019 also saw a remarkable rally in crude oil prices, the best quarterly performance since 2002. The dollar remained steady, while the Turkish lira and, to a lesser degree, the Japanese yen saw significant downside volatility.
In the second quarter, global interest rates became correlated in a downward move driven by investor expectations of central bank easing in the near-to-medium term. As economic conditions in the US appeared to synchronize with the softer data from the rest of the world, consensus drove the 10-year US Treasury yield lower at a faster pace through May, ending the quarter at its lowest level since the election-related spike in 2016. Nevertheless, equities finished the quarter higher, pushing through mid-quarter weakness while weather-related devastation to crops in the Midwest US pulled commodity prices up abruptly, reversing steady downward pressure from tariffs.
September was the pivotal point of a coordinated move in bonds, equities, and currencies with a clear shift toward risk-off sentiment occurring mid-month and continuing through the end of the quarter, particularly in bond yields. Equities in the United States and abroad finished the third quarter mostly unchanged, but volatility during the three-month period was generally higher than the trailing quarter, with the VIX Index reaching a high of 24.59% on August 5. European stocks ended a turbulent quarter higher, while emerging market stocks struggled to recover from the mid-quarter drawdown.
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The third quarter also saw notable volatility in oil prices. After increasing with risk-on sentiment early in July and August, contracts spiked higher when the Saudi Arabian facility in Abqaiq was attacked in mid-September. The attack put significant amounts of production capability offline and escalated tensions in the region. However, demand concerns on a weak global growth outlook and a well-supplied domestic US oil market pulled prices down steadily after the spike.
Globally, equities had a very strong year heading into the fourth quarter. Performance continued into year-end helped in part by completion in principle of the Phase 1 deal with China and clarity over Brexit following the convincing election results in the UK. The correlation between bonds and equities that held in the first nine months broke down. Equities continued to drive higher and bond yields began to rise as the positive macro environment caused some investors to question the need for further monetary stimulus.
The constructive macro environment in the fourth quarter was also linked to a softer US dollar as investors pushed demand up for traditionally riskier currencies. The DXY index was down 2.3% in the quarter, while a strong bid was seen in emerging markets bonds, especially in December.
The decisive election results in the United Kingdom had substantial impact on its currency. The pound sterling showed remarkable strength in the fourth quarter, not just against a softening dollar. The pound/euro cross pushed higher by 3.4%. Against the dollar, the pound reached its strongest level since the Brexit referendum passed in 2016. Separately, the Swedish krona had a notable strengthening run against the dollar, with spot prices appreciating more than 5%, which coincided with the Riksbank setting its overnight policy rate at zero after being negative since February 2015.
Resiliency in the US economy was a defining characteristic for the year, especially in labor markets and wage growth. While the FOMC lowered its target rate in October, the plan to keep rates on hold while growing the balance sheet to facilitate liquidity in the repo market supported risk assets’ performance in the fourth quarter.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of the ASG Global Alternatives Fund returned 10.49%. Although the Fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. This benchmark returned 5.86% for the same period. It is important to note that there are material differences between the Fund and this benchmark.
Explanation of Fund Performance
The Fund seeks to earn returns from sources like those that drive the typical diversified portfolio of hedge funds. Accordingly, the Fund employs two primary sets of strategies. The hedge fund consensus component seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as estimated by a proprietary process that uses quantitative models. The Fund’s alternative risk premia (ARP) strategies, on the other hand, attempt to provide an alpha-like return stream reflective of the diversifying returns often provided by hedge funds.
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When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but suffers losses when the price falls. When the Fund takes on a “short” exposure, the short exposure generally suffers losses as the price of the underlying security rises but profits as the price falls. The Fund typically makes extensive use of futures and forward contracts on global stock indices, fixed income securities, currencies, and commodities, as well as long and short (through equity basket total return swaps and/or short sales) positions in single-name equities. As market events unfold, these exposures result in a profit or loss for the Fund.
During 2019, the Fund experienced significant gains compared to its benchmark. The majority of the returns were driven by the Fund’s hedge fund consensus strategies due to long exposures in both equities and bonds, the strong equity rally and the precipitous drop in bond yields. Within hedge fund consensus, all asset classes contributed positively, with the exception of a small negative contribution from currencies.
The ARP component of the portfolio includes a number of strategies designed to provide access to uncorrelated sources of return. In 2019, the ARP strategies also contributed strongly, with positive performance across the five distinct categories of those strategies.
The contribution from the Fund’s money market holdings was slightly more than 1% as short-maturity interest rates have risen modestly due to actions from the Federal Reserve. The Fund’s portfolio is adjusted on a daily and monthly basis to incorporate new information about hedge funds’ exposures and changing market dynamics or to update risk premia positioning, and on a daily basis to control risk. The risk control mechanism is designed to target an average annual volatility of 9% or less — greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2019 was 4.5%, which is in line with our expectations and consistent with the long-run average level. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.
Outlook
Signs of renewed investor confidence can be seen as global equities, and risk assets generally, show fundamental strength and strong sentiment heading into 2020. Looking ahead, the outlook is balanced between stable short-term forces already in place and longer-term structural uncertainties in the US and abroad.
A short-term positive is the clarity gained from the British election in December. Having been a risk factor since the referendum passed in 2016, the clear message from the recent United Kingdom vote finally opens the path for Brexit in 2020. The UK is now in a position to focus on the terms of its exit from the EU and on minimizing the disruption to its economy.
In Europe and Japan, messaging from central banks points to a low likelihood of policy rates moving any lower after years in negative territory. Markets have already reacted, steadily pushing benchmark sovereign rates higher in both of those major economies. Fiscal stimulus in Europe and Japan will have the effect of strengthening the apparent floor in rates set in the previous year, and we expect those influences on fixed income to persist in
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2020. Moreover, the growth outlook in Asia outside of Japan is also positive, with a liftoff spurred on by progress on trade relations between the US and China. Despite monetary and fiscal stimulus, growth challenges will continue in Europe and China as demographics and debt dynamics dampen demand.
In the United States, positive market sentiment and asset fundamentals being carried into 2020 are likely to be constrained by ongoing uncertainties. The presidential election in November will elevate headline risk throughout the year, compounded by primary elections, trade relations, questions about impeachment, and the durability of economic growth and the labor market. US risk asset performance, as well as rates and commodity prices, will be determined by how markets absorb these unknowns and balance the outcomes of a pivotal year in domestic politics.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2009 through December 31, 2019
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Average Annual Total Returns — December 31, 20193
| Life of Class N |
Expense Ratios4 | |||||||||||||||||||||||
| 1 Year | 5 Year | 10 Year | Gross | Net | ||||||||||||||||||||
| Class Y (Inception 9/30/08) | ||||||||||||||||||||||||
| NAV | 10.49 | % | 1.49 | % | 3.41 | % | — | % | 1.32 | % | 1.31 | % | ||||||||||||
| Class A (Inception 9/30/08) | ||||||||||||||||||||||||
| NAV | 10.26 | 1.23 | 3.15 | — | 1.57 | 1.56 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 3.96 | 0.04 | 2.54 | — | ||||||||||||||||||||
| Class C (Inception 9/30/08) | ||||||||||||||||||||||||
| NAV | 9.48 | 0.48 | 2.38 | — | 2.32 | 2.31 | ||||||||||||||||||
| With CDSC1 | 8.48 | 0.48 | 2.38 | — | ||||||||||||||||||||
| Class N (Inception 5/1/13) | ||||||||||||||||||||||||
| NAV | 10.48 | 1.50 | — | 2.88 | 1.27 | 1.26 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Barclay Fund of Funds Index2 | 5.86 | 1.20 | 2.04 | 2.00 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by 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. |
| 4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ASG MANAGED FUTURES STRATEGY FUND
| Managers | Symbols | |
| Alexander D. Healy, PhD | Class A AMFAX | |
| Kathryn M. Kaminski, PhD | Class C ASFCX | |
| Philippe P. Lüdi, CFA®, PhD | Class N AMFNX | |
| John C. Perry, PhD |
Class Y ASFYX | |
| Robert S. Rickard | ||
| AlphaSimplex Group, LLC (Adviser) | ||
Investment Goal
The Fund pursues an absolute return strategy that seeks to provide capital appreciation.
Market Conditions
The positive momentum in risk assets that began in the last days of 2018 continued apace through 2019. Punctuated by intermittent volatility throughout the year, the risk-on sentiment in markets globally accelerated into year-end.
The first quarter of the year saw the yield curve invert on Federal Reserve accommodation late in the quarter. Major equity, bond, credit, and energy indices around the world rallied powerfully in response, despite gaps in economic improvement both in the US and other developed-market economies. The first three months of 2019 also saw a remarkable rally in crude oil prices, the best quarterly performance since 2002. The dollar remained steady, while the Turkish lira and, to a lesser degree, the Japanese yen saw significant downside volatility.
In the second quarter, global interest rates became correlated in a downward move driven by investor expectations of central bank easing in the near-to-medium term. As economic conditions in the US appeared to synchronize with the softer data from the rest of the world, consensus drove the 10-year US Treasury yield lower at a faster pace through May, ending the quarter at its lowest level since the election-related spike in 2016. Nevertheless, equities finished the quarter higher, pushing through mid-quarter weakness while weather-related devastation to crops in the Midwest US pulled commodity prices up abruptly, reversing steady downward pressure from tariffs.
September was the pivotal point of a coordinated move in bonds, equities, and currencies with a clear shift toward risk-off sentiment occurring mid-month and continuing through the end of the quarter, particularly in bond yields. Equities in the United States and abroad finished the third quarter mostly unchanged, but volatility during the three-month period was generally higher than the trailing quarter, with the VIX Index reaching a high of 24.59% on August 5. European stocks ended a turbulent quarter higher, while emerging market stocks struggled to recover from the mid-quarter drawdown.
The third quarter also saw notable volatility in oil prices. After increasing with risk-on sentiment early in July and August, contracts spiked higher when the Saudi Arabian facility
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in Abqaiq was attacked in mid-September. The attack put significant amounts of production capability offline and escalated tensions in the region. However, demand concerns on a weak global growth outlook and a well-supplied domestic US oil market pulled prices down steadily after the spike.
Globally, equities had a very strong year heading into the fourth quarter. Performance continued into year-end, helped in part by completion in principle of the Phase 1 deal with China and clarity over Brexit following the convincing election results in the UK. The correlation between bonds and equities that held in the first nine months broke down. Equities continued to drive higher and bond yields began to rise as the positive macro environment caused some investors to question the need for further monetary stimulus.
The constructive macro environment in the fourth quarter was also linked to a softer US dollar as investors pushed demand up for traditionally riskier currencies. The DXY index was down 2.3% in the quarter, while a strong bid was seen in emerging markets bonds, especially in December.
The decisive election results in the United Kingdom had substantial impact on its currency. The pound sterling showed remarkable strength in the fourth quarter, not just against a softening dollar. The pound/euro cross pushed higher by 3.4%. Against the dollar, the pound reached its strongest level since the Brexit referendum passed in 2016. Separately, the Swedish krona had a notable strengthening run against the dollar, with spot prices appreciating more than 5%, which coincided with the Riksbank setting its overnight policy rate at zero after being negative since February 2015.
Resiliency in the US economy was a defining characteristic for the year, especially in labor markets and wage growth. While the FOMC lowered its target rate in October, the plan to keep rates on hold while growing the balance sheet to facilitate liquidity in the repo market supported risk assets’ performance in the fourth quarter.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of ASG Managed Futures Strategy Fund returned 8.35%. Although the Fund does not seek to track any particular index, one index that may be used for performance analysis is the Credit Suisse Managed Futures Liquid Index. This benchmark returned -4.56% over the same period. The SG Trend Index may also be used as a benchmark for performance analysis as it reflects a peer group of diversified, primarily trend-following investment managers. This benchmark returned 9.23% over the same period. It is important to note that there are material differences between the Fund and these benchmarks.
Explanation of Fund Performance
The Fund uses a set of proprietary quantitative models to identify trends in global stock, fixed income, currency, and commodity markets. When the Fund takes on a “long” exposure to a market, that exposure generally profits as the price of the underlying security rises but suffers losses when its price falls; when it takes on a “short” exposure, that exposure generally suffers losses as the price of the underlying security rises but profits as its
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ASG MANAGED FUTURES STRATEGY FUND
price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.
For the 12-month period ended December 31, 2019, the Fund’s performance benefited from large moves in global markets. Gains came primarily from fixed income markets with moderate gains in equity markets. Losses came from commodity and currency markets. In equities, the Fund started the year with short positions and subsequently was caught on the wrong side of the swift recovery in equity markets in January. The Fund recovered from this to end the year with positive gains in US and international developed equities with moderate losses in emerging markets.
In fixed income, the Fund benefited in both US and international fixed-income markets as global yields fell drastically for the first eight months of the year. In currencies, emerging market currencies and the Canadian dollar detracted. Performance across other developed markets was mixed, with gains in European currencies being offset by losses in the Japanese yen and the New Zealand dollar.
The commodity sector, was the most difficult in 2019 with all four subsectors detracting from performance. The biggest detractor was the energy sector which remained range-bound for most of the first part of the year. Metals and agricultural commodities also detracted meaningfully from performance.
The contribution from the Fund’s money market holdings was slightly more than 1%, as short-maturity interest rates have risen modestly due to actions from the Federal Reserve. The Fund’s portfolio is adjusted on a daily basis to reflect market trends as well as to control risk. The risk control mechanism is designed to target an annualized portfolio volatility of 17% or less. The Fund’s realized volatility in 2019 was 10.9%, which is consistent with our risk management objectives. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.
Outlook
Signs of renewed investor confidence can be seen as global equities, and risk assets generally, show fundamental strength and strong sentiment heading into 2020. Looking ahead, the outlook is balanced between stable short-term forces already in place and longer-term structural uncertainties in the US and abroad.
A short-term positive is the clarity gained from the British election in December. Having been a risk factor since the referendum passed in 2016, the clear message from the recent United Kingdom vote finally opens the path for Brexit in 2020. The UK is now in a position to focus on the terms of its exit from the EU and on minimizing the disruption to its economy.
In Europe and Japan, messaging from central banks points to a low likelihood of policy rates moving any lower after years in negative territory. Markets have already reacted, steadily pushing benchmark sovereign rates higher in both of those major economies. Fiscal stimulus in Europe and Japan will have the effect of strengthening the apparent floor in rates set in the previous year, and we expect those influences on fixed income to persist in 2020. Moreover, the growth outlook in Asia outside of Japan is also positive, with a liftoff
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spurred on by progress on trade relations between the US and China. Despite monetary and fiscal stimulus, growth challenges will continue in Europe and China as demographics and debt dynamics dampen demand.
In the United States, positive market sentiment and asset fundamentals being carried into 2020 are likely to be constrained by ongoing uncertainties. The presidential election in November will elevate headline risk throughout the year, compounded by primary elections, trade relations, questions about impeachment, and the durability of economic growth and the labor market. US risk asset performance, as well as rates and commodity prices, will be determined by how markets absorb these unknowns and balance the outcomes of a pivotal year in domestic politics.
Hypothetical Growth of $100,000 Investment in Class Y Shares4
July 30, 2010 (inception) through December 31, 2019
See notes to chart on page 15.
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ASG MANAGED FUTURES STRATEGY FUND
Average Annual Total Returns — December 31, 20194
| 1 Year
|
5 Year
|
Life of Class
|
Expense Ratios5 | |||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y (Inception 7/30/10) | Class Y/A/C | Class N | ||||||||||||||||||||||
| NAV | 8.35 | % | -1.14 | % | 3.01 | % | — | % | 1.45 | % | 1.45 | % | ||||||||||||
| Class A (Inception 7/30/10) | ||||||||||||||||||||||||
| NAV | 8.09 | -1.38 | 2.76 | — | 1.70 | 1.70 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 1.84 | -2.54 | 2.12 | — | ||||||||||||||||||||
| Class C (Inception 7/30/10) | ||||||||||||||||||||||||
| NAV | 7.30 | -2.13 | 1.98 | — | 2.45 | 2.45 | ||||||||||||||||||
| With CDSC1 | 6.30 | -2.13 | 1.98 | — | ||||||||||||||||||||
| Class N (Inception 5/01/17) | ||||||||||||||||||||||||
| NAV | 8.45 | — | — | 0.59 | 1.36 | 1.36 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Credit Suisse Managed Futures Liquid Index2 | -4.56 | -0.77 | — | -2.18 | ||||||||||||||||||||
| SG Trend Index3 | 9.23 | -0.75 | 2.06 | 1.80 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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 | Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including equities, fixed-income, commodities and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index. |
| 3 | SG Trend Index is equal-weighted, reconstituted and rebalanced annually. The index calculates the net daily rate of return for a pool of Commodity Trading Advisors (CTAs) selected from the larger managers that are open to new investment. AlphaSimplex Group, LLC is part of this index. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ASG TACTICAL U.S. MARKET FUND
| Managers | Symbols | |
| Alexander D. Healy, PhD | Class A USMAX | |
| Robert S. Rickard | Class C USMCX | |
| AlphaSimplex Group, LLC (Adviser) | Class Y USMYX | |
| Kevin H. Maeda | ||
| Serena V. Stone, CFA® | ||
| Active Index Advisors®, a division of Natixis Advisors, L.P. (Subadviser) | ||
Investment Goal
The Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions.
Market Conditions
The positive momentum in risk assets that began in the last days of 2018 continued apace through 2019. Punctuated by intermittent volatility throughout the year, the risk-on sentiment in markets globally accelerated into year-end.
The first quarter of the year saw the yield curve invert on Federal Reserve accommodation late in the quarter. Major equity, bond, credit, and energy indices around the world rallied powerfully in response, despite gaps in economic improvement both in the US and in other developed-market economies. The first three months of 2019 also saw a remarkable rally in crude oil prices, the best quarterly performance since 2002. The dollar remained steady, while the Turkish lira and, to a lesser degree, the Japanese yen saw significant downside volatility. In the second quarter, global interest rates became correlated in a downward move driven by investor expectations of central bank easing in the near-to-medium term. As economic conditions in the US appeared to synchronize with the softer data from the rest of the world, consensus drove the 10-year US Treasury yield lower at a faster pace through May, ending the quarter at its lowest level since the election-related spike in 2016. Nevertheless, equities finished the quarter higher, pushing through mid-quarter weakness while weather-related devastation to crops in the Midwest US pulled commodity prices up abruptly, reversing steady downward pressure from tariffs.
September was the pivotal point of a coordinated move in bonds, equities, and currencies with a clear shift toward risk-off sentiment occurring mid-month and continuing through the end of the quarter, particularly in bond yields. Equities in the United States and abroad finished the third quarter mostly unchanged, but volatility during the three-month period was generally higher than the trailing quarter, with the VIX Index reaching a high of 24.59% on August 5. European stocks ended a turbulent quarter higher, while emerging market stocks struggled to recover from the mid-quarter drawdown.
The third quarter also saw notable volatility in oil prices. After increasing with risk-on sentiment early in July and August, contracts spiked higher when the Saudi Arabian facility in Abqaiq was attacked in mid-September. The attack put significant amounts of
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ASG TACTICAL U.S. MARKET FUND
production capability offline and escalated tensions in the region. However, demand concerns on a weak global growth outlook and a well-supplied domestic US oil market pulled prices down steadily after the spike.
Globally, equities had a very strong year heading into the fourth quarter. Performance continued into year-end, helped in part by completion in principle of the Phase 1 deal with China and clarity over Brexit following the convincing election results in the UK. The correlation between bonds and equities that held in the first nine months broke down. Equities continued to drive higher and bond yields began to rise as the positive macro environment caused some investors to question the need for further monetary stimulus.
The constructive macro environment in the fourth quarter was also linked to a softer US dollar as investors pushed demand up for traditionally riskier currencies. The DXY index was down 2.3% in the quarter, while a strong bid was seen in emerging markets bonds, especially in December.
The decisive election results in the United Kingdom had substantial impact on its currency. The pound sterling showed remarkable strength in the fourth quarter, not just against a softening dollar. The pound/euro cross pushed higher by 3.4%. Against the dollar, the pound reached its strongest level since the Brexit referendum passed in 2016. Separately, the Swedish krona had a notable strengthening run against the dollar, with spot prices appreciating more than 5%, which coincided with the Riksbank setting its overnight policy rate at zero after being negative since February 2015.
Resiliency in the US economy was a defining characteristic for the year, especially in labor markets and wage growth. While the FOMC lowered its target rate in October, the plan to keep rates on hold while growing the balance sheet to facilitate liquidity in the repo market supported risk assets’ performance in the fourth quarter.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of ASG Tactical U.S. Market Fund returned 23.34% at net asset value. The Fund underperformed its benchmark, the S&P 500® Index, which returned 31.49% over the same period.
Explanation of Fund Performance
The Fund’s strategy is to manage a core portfolio of large-capitalization US equities and exchange-traded funds, together with an overlay of futures contracts that is designed to increase or decrease the portfolio’s overall equity market exposure based on a proprietary model of risk-of-loss. During periods when the risk-of-loss in the US equity market appears high, the futures overlay is employed to reduce the portfolio’s sensitivity to the market, and during more favorable periods the overlay is employed to increase the portfolio’s market participation.
During the 12-month period ended December 31, 2019, the core equity portfolio offered performance broadly consistent with the performance of US equity markets, slightly underperforming the benchmark for the period. In addition to the core equity portfolio, the
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Fund also held positions in futures contracts on the S&P 500® Index in order to adjust the Fund’s market participation based on market conditions.
At the beginning of 2019, the manager’s systematic, quantitative assessment of recent risk and return in US equity markets suggested that overall equity risk was high compared to historical norms, leading to a target equity exposure of 50%–75% of the benchmark during the month of January. As equities rebounded and risk subsided, the portfolio’s target equity exposure increased to 100% early in the second quarter. The Fund’s target exposure generally rest between 100% and 120% for the remainder of the year. The Fund’s reduced exposure during the first quarter of the year, a period of strong equity performance, accounts for most of the underperformance relative to its benchmark during the year. The remaining assets were held in money market positions, which allowed the portfolio to benefit from increased US interest rates.
Outlook
Signs of renewed investor confidence can be seen as global equities, and risk assets generally, show fundamental strength and strong sentiment heading into 2020. Looking ahead, the outlook is balanced between stable short-term forces already in place and longer-term structural uncertainties in the US and abroad.
A short-term positive is the clarity gained from the British election in December. Having been a risk factor since the referendum passed in 2016, the clear message from the recent United Kingdom vote finally opens the path for Brexit in 2020. The UK is now in a position to focus on the terms of its exit from the EU and on minimizing the disruption to its economy.
In Europe and Japan, messaging from central banks points to a low likelihood of policy rates moving any lower after years in negative territory. Markets have already reacted, steadily pushing benchmark sovereign rates higher in both of those major economies. Fiscal stimulus in Europe and Japan will have the effect of strengthening the apparent floor in rates set in the previous year, and we expect those influences on fixed income to persist in 2020. Moreover, the growth outlook in Asia outside of Japan is also positive, with a liftoff spurred on by progress on trade relations between the US and China. Despite monetary and fiscal stimulus, growth challenges will continue in Europe and China as demographics and debt dynamics dampen demand.
In the United States, positive market sentiment and asset fundamentals being carried into 2020 are likely to be constrained by ongoing uncertainties. The presidential election in November will elevate headline risk throughout the year, compounded by primary elections, trade relations, questions about impeachment, and the durability of economic growth and the labor market. US risk asset performance, as well as rates and commodity prices, will be determined by how markets absorb these unknowns and balance the outcomes of a pivotal year in domestic politics.
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ASG TACTICAL U.S. MARKET FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares4
September 30, 2013 (inception) through December 31, 2019
Top Ten Holdings as of December 31, 2019
| Security Name | % of net assets |
|||||
| 1 | SPDR® S&P 500® ETF Trust | 9.62 | % | |||
| 2 | Microsoft Corp. | 2.41 | ||||
| 3 | Apple, Inc. | 1.91 | ||||
| 4 | Amazon.com, Inc. | 1.66 | ||||
| 5 | Walt Disney Co. (The) | 1.07 | ||||
| 6 | Berkshire Hathaway, Inc., Class B | 1.06 | ||||
| 7 | Bank of America Corp. | 1.04 | ||||
| 8 | Adobe, Inc. | 0.97 | ||||
| 9 | Merck & Co., Inc. | 0.90 | ||||
| 10 | Chevron Corp. | 0.89 | ||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
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Average Annual Total Returns — December 31, 20194
| Expense Ratios5 | ||||||||||||||||||||
| 1 Year | 5 Years | Life of Fund | Gross | Net | ||||||||||||||||
| Class Y (Inception 9/30/13) | ||||||||||||||||||||
| NAV | 23.34 | % | 8.68 | % | 11.46 | % | 1.08 | % | 1.00 | % | ||||||||||
| Class A (Inception 9/30/13) | ||||||||||||||||||||
| NAV | 22.94 | 8.39 | 11.16 | 1.33 | 1.25 | |||||||||||||||
| With 5.75% Maximum Sales Charge | 15.84 | 7.12 | 10.11 | |||||||||||||||||
| Class C (Inception 9/30/13) | ||||||||||||||||||||
| NAV | 22.04 | 7.58 | 10.34 | 2.08 | 2.00 | |||||||||||||||
| With CDSC1 | 21.04 | 7.58 | 10.34 | |||||||||||||||||
| Comparative Performance | ||||||||||||||||||||
| S&P 500® Index2 | 31.49 | 11.70 | 13.26 | |||||||||||||||||
| Barclay Equity Long/Short Index3 | 7.08 | 3.25 | 3.83 | |||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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 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. It also measures the performance of the large cap segment of the U.S. equities market. |
| 3 | Barclay Equity Long/Short Index is comprised of 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. |
| 5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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 Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2019 through December 31, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.
The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
| ASG DYNAMIC ALLOCATION FUND | BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,075.10 | $6.01 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.41 | $5.85 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,071.00 | $9.92 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.63 | $9.65 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,075.30 | $4.71 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90% and 0.90% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
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| ASG GLOBAL ALTERNATIVES FUND | BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,032.90 | $7.89 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.44 | $7.83 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,029.30 | $11.71 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,013.66 | $11.62 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,033.20 | $6.35 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.96 | $6.31 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,034.30 | $6.61 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.70 | $6.56 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.54%, 2.29%, 1.24% and 1.29% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
| ASG MANAGED FUTURES STRATEGY FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,016.30 | $8.64 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.64 | $8.64 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,012.40 | $12.43 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,012.86 | $12.43 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,017.20 | $6.91 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | $6.92 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,017.30 | $7.37 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.90 | $7.38 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.70%, 2.45%, 1.36% and 1.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
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| ASG TACTICAL U.S. MARKET FUND | BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,109.40 | $6.59 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.96 | $6.31 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,105.10 | $10.56 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.17 | $10.11 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,111.00 | $5.27 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.22 | $5.04 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.24%, 1.99% and 0.99% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
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Portfolio of Investments – as of December 31, 2019
ASG Dynamic Allocation Fund
| Shares | Description | Value (†) |
||||||
| Exchange-Traded Funds — 50.9% of Net Assets | ||||||||
| 24,379 | iShares® Core U.S. Aggregate Bond ETF | $ | 2,739,468 | |||||
| 11,169 | iShares® Edge MSCI Minimum Volatility Emerging Markets ETF | 655,174 | ||||||
| 14,650 | iShares® JP Morgan USD Emerging Markets Bond ETF | 1,678,304 | ||||||
| 52,690 | SPDR® Bloomberg Barclays International Treasury Bond ETF | 1,517,999 | ||||||
| 9,972 | Vanguard FTSE All World ex-U.S. Small-Cap ETF | 1,107,889 | ||||||
| 25,152 | Vanguard FTSE Developed Markets ETF | 1,108,197 | ||||||
| 12,913 | Vanguard FTSE Emerging Markets ETF | 574,241 | ||||||
| 19,039 | Vanguard FTSE Europe ETF | 1,115,685 | ||||||
| 15,573 | Vanguard FTSE Pacific ETF | 1,083,569 | ||||||
| 28,378 | Vanguard Intermediate-Term Corporate Bond ETF | 2,591,763 | ||||||
| 12,472 | Vanguard Mid-Cap ETF | 2,222,261 | ||||||
| 25,769 | Vanguard Total International Bond ETF | 1,458,010 | ||||||
| 14,272 | Vanguard Total Stock Market ETF | 2,335,185 | ||||||
| 19,013 | Vanguard Value ETF | 2,278,708 | ||||||
|
|
|
|||||||
| Total Exchange-Traded Funds (Identified Cost $20,229,964) |
22,466,453 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 47.1% | ||||||||
| Certificates of Deposit — 33.3% | ||||||||
| $ | 2,000,000 | Credit Agricole Corporate & Investment Bank (NY), 1.530%, 1/06/2020 | 1,999,961 | |||||
| 500,000 | Landesbank Baden-Wuerttemberg (NY), 1.780%, 1/17/2020 | 500,004 | ||||||
| 500,000 | Landesbank Baden-Wuerttemberg (NY), 1.900%, 1/21/2020 | 500,027 | ||||||
| 1,000,000 | DZ Bank (NY), 2.090%, 1/24/2020(a) | 1,000,170 | ||||||
| 700,000 | Landesbank Hessen (NY), 1.810%, 2/06/2020 | 700,136 | ||||||
| 750,000 | Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.230%, 1.971%, 2/13/2020(b) | 750,172 | ||||||
| 750,000 | MUFG Bank Ltd. (NY), 2.000%, 2/18/2020(a) | 750,194 | ||||||
| 1,000,000 | Norinchukin Bank (NY), 1.870%, 2/20/2020(a) | 1,000,037 | ||||||
| 1,000,000 | Bank of Montreal (IL), 1.950%, 2/28/2020 | 1,000,079 | ||||||
| 1,000,000 | Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.200%, 1.964%, 4/20/2020(b) | 999,860 | ||||||
| 500,000 | Svenska Handelsbanken (NY), 1-month LIBOR + 0.190%, 1.935%, 5/18/2020(a)(b) | 499,994 | ||||||
| 1,000,000 | National Australia Bank (NY), 1-month LIBOR + 0.150%, 1.915%, 5/20/2020(a)(b) | 999,839 | ||||||
| 1,000,000 | Nordea Bank ABP (NY), 3-month LIBOR + 0.060%, 1.948%, 6/11/2020(b) | 999,998 | ||||||
| 500,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.916%, 6/12/2020(a)(b) | 499,935 | ||||||
| 1,000,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 3-month LIBOR + 0.070%, 1.964%, 6/16/2020(b) | 999,998 | ||||||
| 500,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 1.925%, 7/10/2020(a)(b) | 499,944 | ||||||
| 1,000,000 | Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 2.075%, 10/20/2020(a)(b) | 1,000,264 | ||||||
|
|
|
|||||||
| 14,700,612 | ||||||||
|
|
|
|||||||
| Time Deposits — 6.3% | ||||||||
| 2,000,000 | Canadian Imperial Bank of Commerce, 1.500%, 1/02/2020 | 2,000,000 | ||||||
| 800,000 | Skandinaviska Enskilda Banken (NY), 1.500%, 1/02/2020 | 800,000 | ||||||
|
|
|
|||||||
| 2,800,000 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Dynamic Allocation Fund – (continued)
| Principal Amount |
Description | Value (†) |
||||||
| Commercial Paper — 2.8% | ||||||||
| $ | 500,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.803%, 1/03/2020(c) | $ | 499,928 | ||||
| 750,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.804%, 1/22/2020(c) | 749,169 | ||||||
|
|
|
|||||||
| 1,249,097 | ||||||||
|
|
|
|||||||
| Other Notes — 2.3% | ||||||||
| 500,000 | Bank of America NA, 2.020%, 1/09/2020 | 500,065 | ||||||
| 500,000 | Bank of America NA, 1.840%, 6/15/2020 | 499,975 | ||||||
|
|
|
|||||||
| 1,000,040 | ||||||||
|
|
|
|||||||
| Treasuries — 1.9% | ||||||||
| 400,000 | U.S. Treasury Bills, 1.486%, 2/06/2020(c)(d) | 399,421 | ||||||
| 450,000 | U.S. Treasury Bills, 1.500%, 1/09/2020(c)(d) | 449,877 | ||||||
|
|
|
|||||||
| 849,298 | ||||||||
|
|
|
|||||||
| Repurchase Agreement — 0.5% | ||||||||
| 208,747 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $208,757 on 1/02/2020 collateralized by $210,000 U.S. Treasury Note, 2.750% due 9/15/2021 valued at $215,712 including accrued interest (Note 2 of Notes to Financial Statements) | 208,747 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $20,807,224) |
20,807,794 | |||||||
|
|
|
|||||||
| Total Investments — 98.0% (Identified Cost $41,037,188) |
43,274,247 | |||||||
| Other assets less liabilities — 2.0% | 886,614 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 44,160,861 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
| (b) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
| ||||||
| (c) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| ||||||
| (d) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| ETF | Exchange-Traded Fund | |||||||
| LIBOR | London Interbank Offered Rate | |||||||
| SPDR® | Standard & Poor’s Depositary Receipt | |||||||
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Dynamic Allocation Fund – (continued)
At December 31, 2019, open long futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 5 Year U.S. Treasury Note |
3/31/2020 | 16 | $ | 1,904,406 | $ | 1,897,750 | $ | (6,656 | ) | |||||||||||
| 10 Year Australia Government Bond |
3/16/2020 | 14 | 1,430,725 | 1,404,492 | (26,233 | ) | ||||||||||||||
| 10 Year U.S. Treasury Note |
3/20/2020 | 15 | 1,943,859 | 1,926,328 | (17,531 | ) | ||||||||||||||
| 30 Year U.S. Treasury Bond |
3/20/2020 | 12 | 1,909,742 | 1,870,875 | (38,867 | ) | ||||||||||||||
| ASX SPI 200™ |
3/19/2020 | 18 | 2,111,109 | 2,085,144 | (25,965 | ) | ||||||||||||||
| CAC 40® |
1/17/2020 | 33 | 2,203,179 | 2,209,861 | 6,682 | |||||||||||||||
| E-mini Dow |
3/20/2020 | 35 | 4,907,066 | 4,988,900 | 81,834 | |||||||||||||||
| E-mini NASDAQ 100 |
3/20/2020 | 28 | 4,726,057 | 4,901,260 | 175,203 | |||||||||||||||
| E-mini Russell 2000 |
3/20/2020 | 59 | 4,840,827 | 4,928,270 | 87,443 | |||||||||||||||
| E-mini S&P 500® |
3/20/2020 | 30 | 4,705,197 | 4,846,650 | 141,453 | |||||||||||||||
| EURO STOXX 50® |
3/20/2020 | 51 | 2,141,695 | 2,133,237 | (8,458 | ) | ||||||||||||||
| FTSE 100 Index |
3/20/2020 | 22 | 2,167,356 | 2,185,298 | 17,942 | |||||||||||||||
| German Euro Bund |
3/06/2020 | 7 | 1,351,446 | 1,338,670 | (12,776 | ) | ||||||||||||||
| MSCI EAFE Index |
3/20/2020 | 21 | 2,088,606 | 2,138,325 | 49,719 | |||||||||||||||
| MSCI Emerging Markets Index |
3/20/2020 | 1 | 55,950 | 56,010 | 60 | |||||||||||||||
| MSCI Singapore |
1/30/2020 | 2 | 55,080 | 55,244 | 164 | |||||||||||||||
| MSCI Taiwan Index |
1/30/2020 | 1 | 46,500 | 45,960 | (540 | ) | ||||||||||||||
| TOPIX |
3/12/2020 | 13 | 2,053,283 | 2,059,086 | 5,803 | |||||||||||||||
| UK Long Gilt |
3/27/2020 | 8 | 1,402,353 | 1,392,207 | (10,146 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 419,131 | |||||||||||||||||
|
|
|
|||||||||||||||||||
At December 31, 2019, open short futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| U.S. Dollar Index |
3/16/2020 | 107 | $ | 10,404,787 | $ | 10,278,206 | $ | 126,581 | ||||||||||||
|
|
|
|||||||||||||||||||
Investment Summary at December 31, 2019
| Exchange-Traded Funds |
50.9 | % | ||||||||
| Certificates of Deposit |
33.3 | |||||||||
| Time Deposits |
6.3 | |||||||||
| Commercial Paper |
2.8 | |||||||||
| Other Notes |
2.3 | |||||||||
| Other Investments, less than 2% each |
2.4 | |||||||||
|
|
|
|||||||||
| Total Investments |
98.0 | |||||||||
| Other assets less liabilities (including futures contracts) |
2.0 | |||||||||
|
|
|
|||||||||
| Net Assets |
100.0 | % | ||||||||
|
|
|
|||||||||
See accompanying notes to financial statements.
27 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund
| Shares | Description | Value (†) |
||||||
| Common Stocks — 23.1% of Net Assets | ||||||||
| Aerospace & Defense — 0.3% | ||||||||
| 34,637 | Arconic, Inc. | $ | 1,065,781 | |||||
| 10,294 | United Technologies Corp. | 1,541,629 | ||||||
|
|
|
|||||||
| 2,607,410 | ||||||||
|
|
|
|||||||
| Banks — 1.1% | ||||||||
| 17,380 | Carolina Financial Corp. | 751,337 | ||||||
| 43,434 | Carter Bank & Trust(a) | 1,030,254 | ||||||
| 17,440 | Citigroup, Inc. | 1,393,282 | ||||||
| 96,054 | HarborOne Bancorp, Inc.(a) | 1,055,633 | ||||||
| 33,208 | IBERIABANK Corp. | 2,484,955 | ||||||
| 107,629 | Investors Bancorp, Inc. | 1,282,400 | ||||||
| 20,493 | U.S. Bancorp | 1,215,030 | ||||||
|
|
|
|||||||
| 9,212,891 | ||||||||
|
|
|
|||||||
| Beverages — 0.2% | ||||||||
| 20,534 | Coca-Cola European Partners PLC | 1,044,770 | ||||||
| 3,362 | PepsiCo, Inc. | 459,484 | ||||||
|
|
|
|||||||
| 1,504,254 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.1% | ||||||||
| 3,016 | Exact Sciences Corp.(a) | 278,920 | ||||||
| 4,037 | Ionis Pharmaceuticals, Inc.(a) | 243,875 | ||||||
|
|
|
|||||||
| 522,795 | ||||||||
|
|
|
|||||||
| Building Products — 0.1% | ||||||||
| 26,024 | Apogee Enterprises, Inc. | 845,780 | ||||||
|
|
|
|||||||
| Capital Markets — 0.6% | ||||||||
| 29,960 | Bank of New York Mellon Corp. (The) | 1,507,887 | ||||||
| 3,830 | Blackstone Group, Inc. (The) | 214,250 | ||||||
| 18,343 | Brookfield Asset Management, Inc., Class A | 1,060,225 | ||||||
| 676 | MarketAxess Holdings, Inc. | 256,278 | ||||||
| 45,961 | TD Ameritrade Holding Corp. | 2,284,262 | ||||||
|
|
|
|||||||
| 5,322,902 | ||||||||
|
|
|
|||||||
| Chemicals — 0.2% | ||||||||
| 5,592 | Ecolab, Inc. | 1,079,200 | ||||||
| 20,765 | Westlake Chemical Partners LP | 548,611 | ||||||
|
|
|
|||||||
| 1,627,811 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.2% | ||||||||
| 11,665 | Republic Services, Inc. | 1,045,534 | ||||||
| 7,912 | Waste Management, Inc. | 901,651 | ||||||
|
|
|
|||||||
| 1,947,185 | ||||||||
|
|
|
|||||||
| Communications Equipment — 0.0% | ||||||||
| 1,359 | Ubiquiti, Inc. | 256,824 | ||||||
|
|
|
|||||||
| Construction & Engineering — 0.2% | ||||||||
| 32,263 | AECOM(a) | 1,391,503 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 28
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Construction Materials — 0.1% | ||||||||
| 9,556 | Eagle Materials, Inc. | $ | 866,347 | |||||
|
|
|
|||||||
| Consumer Finance — 0.1% | ||||||||
| 124,111 | SLM Corp. | 1,105,829 | ||||||
|
|
|
|||||||
| Containers & Packaging — 0.2% | ||||||||
| 9,040 | AptarGroup, Inc. | 1,045,205 | ||||||
| 16,879 | Sonoco Products Co. | 1,041,772 | ||||||
|
|
|
|||||||
| 2,086,977 | ||||||||
|
|
|
|||||||
| Distributors — 0.1% | ||||||||
| 29,705 | LKQ Corp.(a) | 1,060,469 | ||||||
|
|
|
|||||||
| Diversified Consumer Services — 0.3% | ||||||||
| 1,630 | Graham Holdings Co., Class B | 1,041,554 | ||||||
| 66,557 | OneSpaWorld Holdings Ltd.(a) | 1,120,820 | ||||||
|
|
|
|||||||
| 2,162,374 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 0.1% | ||||||||
| 3 | Berkshire Hathaway, Inc., Class A(a) | 1,018,770 | ||||||
|
|
|
|||||||
| Electric Utilities — 1.0% | ||||||||
| 5,230 | ALLETE, Inc. | 424,519 | ||||||
| 8,522 | Alliant Energy Corp. | 466,324 | ||||||
| 4,842 | American Electric Power Co., Inc. | 457,617 | ||||||
| 8,027 | Avangrid, Inc. | 410,661 | ||||||
| 4,886 | Duke Energy Corp. | 445,652 | ||||||
| 3,761 | Entergy Corp. | 450,568 | ||||||
| 6,808 | Evergy, Inc. | 443,133 | ||||||
| 5,610 | Eversource Energy | 477,243 | ||||||
| 10,618 | Exelon Corp. | 484,075 | ||||||
| 9,179 | FirstEnergy Corp. | 446,099 | ||||||
| 9,917 | Hawaiian Electric Industries, Inc. | 464,711 | ||||||
| 4,092 | IDACORP, Inc. | 437,026 | ||||||
| 1,876 | NextEra Energy, Inc. | 454,292 | ||||||
| 10,264 | OGE Energy Corp. | 456,440 | ||||||
| 4,665 | Pinnacle West Capital Corp. | 419,523 | ||||||
| 7,883 | Portland General Electric Co. | 439,792 | ||||||
| 7,234 | Southern Co. (The) | 460,806 | ||||||
| 7,128 | Xcel Energy, Inc. | 452,557 | ||||||
|
|
|
|||||||
| 8,091,038 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.1% | ||||||||
| 2,410 | Keysight Technologies, Inc.(a) | 247,338 | ||||||
| 876 | Zebra Technologies Corp., Class A(a) | 223,766 | ||||||
|
|
|
|||||||
| 471,104 | ||||||||
|
|
|
|||||||
| Entertainment — 0.3% | ||||||||
| 57,055 | Lions Gate Entertainment Corp., Class A(a) | 608,206 | ||||||
| 5,202 | Madison Square Garden Co. (The), Class A(a) | 1,530,377 | ||||||
| 11,230 | World Wrestling Entertainment, Inc., Class A | 728,490 | ||||||
|
|
|
|||||||
| 2,867,073 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
29 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Food & Staples Retailing — 0.6% | ||||||||
| 29,105 | Sysco Corp. | $ | 2,489,642 | |||||
| 33,681 | US Foods Holding Corp.(a) | 1,410,897 | ||||||
| 8,771 | Walmart, Inc. | 1,042,345 | ||||||
|
|
|
|||||||
| 4,942,884 | ||||||||
|
|
|
|||||||
| Food Products — 0.6% | ||||||||
| 22,997 | Campbell Soup Co. | 1,136,512 | ||||||
| 27,350 | Conagra Brands, Inc. | 936,464 | ||||||
| 20,530 | Hain Celestial Group, Inc. (The)(a) | 532,856 | ||||||
| 44,888 | Mondelez International, Inc., Class A | 2,472,431 | ||||||
|
|
|
|||||||
| 5,078,263 | ||||||||
|
|
|
|||||||
| Gas Utilities — 0.3% | ||||||||
| 3,995 | Atmos Energy Corp. | 446,880 | ||||||
| 5,084 | ONE Gas, Inc. | 475,710 | ||||||
| 42,315 | Suburban Propane Partners LP | 924,583 | ||||||
| 9,874 | UGI Corp. | 445,910 | ||||||
|
|
|
|||||||
| 2,293,083 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 0.6% | ||||||||
| 18,063 | Baxter International, Inc. | 1,510,428 | ||||||
| 10,191 | Danaher Corp. | 1,564,115 | ||||||
| 999 | DexCom, Inc.(a) | 218,521 | ||||||
| 8,883 | Zimmer Biomet Holdings, Inc. | 1,329,607 | ||||||
|
|
|
|||||||
| 4,622,671 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 0.2% | ||||||||
| 14,133 | Magellan Health, Inc.(a) | 1,105,907 | ||||||
| 1,605 | Molina Healthcare, Inc.(a) | 217,783 | ||||||
|
|
|
|||||||
| 1,323,690 | ||||||||
|
|
|
|||||||
| Health Care Technology — 0.2% | ||||||||
| 20,488 | Cerner Corp. | 1,503,615 | ||||||
| 1,717 | Veeva Systems, Inc., Class A(a) | 241,513 | ||||||
|
|
|
|||||||
| 1,745,128 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 1.3% | ||||||||
| 38,267 | Bloomin’ Brands, Inc. | 844,553 | ||||||
| 1,329 | Chipotle Mexican Grill, Inc.(a) | 1,112,519 | ||||||
| 14,365 | Hilton Worldwide Holdings, Inc. | 1,593,222 | ||||||
| 13,104 | Jack in the Box, Inc. | 1,022,505 | ||||||
| 5,259 | McDonald’s Corp. | 1,039,231 | ||||||
| 36,140 | MGM Resorts International | 1,202,378 | ||||||
| 16,144 | Starbucks Corp. | 1,419,380 | ||||||
| 52,165 | Wendy’s Co. (The) | 1,158,585 | ||||||
| 9,773 | Yum! Brands, Inc. | 984,434 | ||||||
|
|
|
|||||||
| 10,376,807 | ||||||||
|
|
|
|||||||
| Household Durables — 0.3% | ||||||||
| 110,650 | William Lyon Homes, Class A(a) | 2,210,787 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 30
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Household Products — 0.2% | ||||||||
| 13,101 | Procter & Gamble Co. (The) | $ | 1,636,315 | |||||
|
|
|
|||||||
| Independent Power & Renewable Electricity Producers — 0.1% | ||||||||
| 40,304 | Atlantica Yield PLC | 1,063,623 | ||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.1% | ||||||||
| 74,555 | General Electric Co. | 832,034 | ||||||
|
|
|
|||||||
| Insurance — 1.6% | ||||||||
| 19,558 | Aflac, Inc. | 1,034,618 | ||||||
| 9,444 | Allstate Corp. (The) | 1,061,978 | ||||||
| 9,464 | American Financial Group, Inc. | 1,037,728 | ||||||
| 10,942 | Arthur J. Gallagher & Co. | 1,042,007 | ||||||
| 25,822 | Brown & Brown, Inc. | 1,019,453 | ||||||
| 6,737 | Chubb Ltd. | 1,048,681 | ||||||
| 7,434 | Hanover Insurance Group, Inc. (The) | 1,016,005 | ||||||
| 20,507 | Loews Corp. | 1,076,412 | ||||||
| 878 | Markel Corp.(a) | 1,003,703 | ||||||
| 9,388 | Marsh & McLennan Cos., Inc. | 1,045,917 | ||||||
| 7,810 | Travelers Cos., Inc. (The) | 1,069,579 | ||||||
| 956 | White Mountains Insurance Group Ltd. | 1,066,428 | ||||||
| 14,384 | WR Berkley Corp. | 993,934 | ||||||
|
|
|
|||||||
| 13,516,443 | ||||||||
|
|
|
|||||||
| Interactive Media & Services — 0.2% | ||||||||
| 4,445 | IAC/InterActiveCorp(a) | 1,107,294 | ||||||
| 7,119 | Twitter, Inc.(a) | 228,164 | ||||||
|
|
|
|||||||
| 1,335,458 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 0.2% | ||||||||
| 32,526 | eBay, Inc. | 1,174,514 | ||||||
| 378 | MercadoLibre, Inc.(a) | 216,193 | ||||||
|
|
|
|||||||
| 1,390,707 | ||||||||
|
|
|
|||||||
| IT Services — 0.9% | ||||||||
| 6,849 | Alliance Data Systems Corp. | 768,458 | ||||||
| 14,706 | Amdocs Ltd. | 1,061,626 | ||||||
| 13,361 | GoDaddy, Inc., Class A(a) | 907,479 | ||||||
| 30,322 | InterXion Holding NV(a) | 2,541,287 | ||||||
| 7,070 | Jack Henry & Associates, Inc. | 1,029,887 | ||||||
| 2,181 | Okta, Inc.(a) | 251,622 | ||||||
| 68,431 | Repay Holdings Corp.(a) | 1,002,514 | ||||||
| 3,968 | Square, Inc., Class A(a) | 248,238 | ||||||
|
|
|
|||||||
| 7,811,111 | ||||||||
|
|
|
|||||||
| Leisure Products — 0.1% | ||||||||
| 47,555 | Callaway Golf Co. | 1,008,166 | ||||||
|
|
|
|||||||
| Machinery — 0.3% | ||||||||
| 14,563 | ITT, Inc. | 1,076,351 | ||||||
| 26,912 | Terex Corp. | 801,439 | ||||||
See accompanying notes to financial statements.
31 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Machinery — continued | ||||||||
| 40,938 | Trinity Industries, Inc. | $ | 906,777 | |||||
|
|
|
|||||||
| 2,784,567 | ||||||||
|
|
|
|||||||
| Media — 0.1% | ||||||||
| 14,028 | Loral Space & Communications, Inc.(a) | 453,385 | ||||||
|
|
|
|||||||
| Metals & Mining — 0.1% | ||||||||
| 3,552 | Agnico Eagle Mines Ltd. | 218,839 | ||||||
| 12,568 | Barrick Gold Corp. | 233,639 | ||||||
|
|
|
|||||||
| 452,478 | ||||||||
|
|
|
|||||||
| Multi-Utilities — 0.7% | ||||||||
| 5,755 | Ameren Corp. | 441,984 | ||||||
| 19,849 | Brookfield Infrastructure Partners LP | 992,251 | ||||||
| 18,459 | CenterPoint Energy, Inc. | 503,377 | ||||||
| 7,195 | CMS Energy Corp. | 452,134 | ||||||
| 5,026 | Consolidated Edison, Inc. | 454,702 | ||||||
| 5,330 | Dominion Energy, Inc. | 441,431 | ||||||
| 3,387 | DTE Energy Co. | 439,870 | ||||||
| 13,747 | MDU Resources Group, Inc. | 408,423 | ||||||
| 6,116 | NorthWestern Corp. | 438,334 | ||||||
| 7,566 | Public Service Enterprise Group, Inc. | 446,772 | ||||||
| 4,849 | WEC Energy Group, Inc. | 447,223 | ||||||
|
|
|
|||||||
| 5,466,501 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 1.0% | ||||||||
| 19,973 | Cheniere Energy, Inc.(a) | 1,219,751 | ||||||
| 21,014 | CVR Energy, Inc. | 849,596 | ||||||
| 31,058 | Devon Energy Corp. | 806,576 | ||||||
| 9,705 | Diamondback Energy, Inc. | 901,206 | ||||||
| 12,731 | Hess Corp. | 850,558 | ||||||
| 23,750 | KNOT Offshore Partners LP | 470,488 | ||||||
| 17,282 | Magellan Midstream Partners LP | 1,086,520 | ||||||
| 14,085 | Marathon Petroleum Corp. | 848,621 | ||||||
| 17,670 | Occidental Petroleum Corp. | 728,181 | ||||||
| 32,601 | Peabody Energy Corp. | 297,321 | ||||||
|
|
|
|||||||
| 8,058,818 | ||||||||
|
|
|
|||||||
| Personal Products — 0.1% | ||||||||
| 5,243 | Medifast, Inc. | 574,528 | ||||||
|
|
|
|||||||
| Pharmaceuticals — 0.5% | ||||||||
| 13,176 | Allergan PLC | 2,518,856 | ||||||
| 8,707 | Johnson & Johnson | 1,270,090 | ||||||
|
|
|
|||||||
| 3,788,946 | ||||||||
|
|
|
|||||||
| Professional Services — 0.1% | ||||||||
| 7,053 | Verisk Analytics, Inc. | 1,053,295 | ||||||
|
|
|
|||||||
| Real Estate Management & Development — 0.2% | ||||||||
| 25,516 | CBRE Group, Inc., Class A(a) | 1,563,876 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 32
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| REITs – Apartments — 0.5% | ||||||||
| 9,559 | American Campus Communities, Inc. | $ | 449,560 | |||||
| 16,294 | American Homes 4 Rent, Class A | 427,066 | ||||||
| 8,688 | Apartment Investment & Management Co., Class A | 448,735 | ||||||
| 2,097 | AvalonBay Communities, Inc. | 439,741 | ||||||
| 4,136 | Camden Property Trust | 438,829 | ||||||
| 5,352 | Equity Residential | 433,084 | ||||||
| 1,151 | Essex Property Trust, Inc. | 346,290 | ||||||
| 14,725 | Invitation Homes, Inc. | 441,308 | ||||||
| 3,252 | Mid-America Apartment Communities, Inc. | 428,809 | ||||||
| 9,278 | UDR, Inc. | 433,282 | ||||||
|
|
|
|||||||
| 4,286,704 | ||||||||
|
|
|
|||||||
| REITs – Diversified — 0.3% | ||||||||
| 10,838 | Gaming & Leisure Properties, Inc. | 466,576 | ||||||
| 19,456 | Gladstone Commercial Corp. | 425,308 | ||||||
| 75,091 | New Residential Investment Corp. | 1,209,716 | ||||||
| 5,451 | W.P. Carey, Inc. | 436,298 | ||||||
|
|
|
|||||||
| 2,537,898 | ||||||||
|
|
|
|||||||
| REITs – Health Care — 0.1% | ||||||||
| 5,428 | National Health Investors, Inc. | 442,273 | ||||||
|
|
|
|||||||
| REITs – Hotels — 0.2% | ||||||||
| 65,594 | Apple Hospitality REIT, Inc. | 1,065,902 | ||||||
| 34,183 | MGM Growth Properties LLC, Class A | 1,058,648 | ||||||
|
|
|
|||||||
| 2,124,550 | ||||||||
|
|
|
|||||||
| REITs – Manufactured Homes — 0.1% | ||||||||
| 6,022 | Equity LifeStyle Properties, Inc. | 423,889 | ||||||
| 2,822 | Sun Communities, Inc. | 423,582 | ||||||
|
|
|
|||||||
| 847,471 | ||||||||
|
|
|
|||||||
| REITs – Mortgage — 1.8% | ||||||||
| 51,121 | AG Mortgage Investment Trust, Inc. | 788,286 | ||||||
| 57,802 | AGNC Investment Corp. | 1,021,939 | ||||||
| 49,567 | Apollo Commercial Real Estate Finance, Inc. | 906,580 | ||||||
| 59,306 | ARMOUR Residential REIT, Inc. | 1,059,798 | ||||||
| 12,266 | Blackstone Mortgage Trust, Inc., Class A | 456,541 | ||||||
| 126,137 | Capstead Mortgage Corp. | 999,005 | ||||||
| 56,825 | Ellington Financial, Inc. | 1,041,602 | ||||||
| 55,490 | Granite Point Mortgage Trust, Inc. | 1,019,906 | ||||||
| 28,041 | Invesco Mortgage Capital, Inc. | 466,883 | ||||||
| 49,912 | KKR Real Estate Finance Trust, Inc. | 1,019,203 | ||||||
| 150,240 | New York Mortgage Trust, Inc. | 935,995 | ||||||
| 46,153 | PennyMac Mortgage Investment Trust | 1,028,750 | ||||||
| 47,375 | Ready Capital Corp. | 730,523 | ||||||
| 62,330 | Redwood Trust, Inc. | 1,030,938 | ||||||
| 50,737 | TPG RE Finance Trust, Inc. | 1,028,439 | ||||||
| 69,865 | Two Harbors Investment Corp. | 1,021,426 | ||||||
See accompanying notes to financial statements.
33 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| REITs – Mortgage — continued | ||||||||
| 91,844 | Western Asset Mortgage Capital Corp. | $ | 948,749 | |||||
|
|
|
|||||||
| 15,504,563 | ||||||||
|
|
|
|||||||
| REITs – Office Property — 0.2% | ||||||||
| 10,468 | Douglas Emmett, Inc. | 459,545 | ||||||
| 19,718 | Easterly Government Properties, Inc. | 467,908 | ||||||
| 13,719 | Equity Commonwealth | 450,395 | ||||||
| 4,931 | Kilroy Realty Corp. | 413,711 | ||||||
|
|
|
|||||||
| 1,791,559 | ||||||||
|
|
|
|||||||
| REITs – Shopping Centers — 0.1% | ||||||||
| 3,300 | Federal Realty Investment Trust | 424,809 | ||||||
| 7,274 | Regency Centers Corp. | 458,917 | ||||||
|
|
|
|||||||
| 883,726 | ||||||||
|
|
|
|||||||
| REITs – Single Tenant — 0.1% | ||||||||
| 11,140 | STORE Capital Corp. | 414,854 | ||||||
|
|
|
|||||||
| REITs – Storage — 0.1% | ||||||||
| 4,008 | Life Storage, Inc. | 433,986 | ||||||
| 1,741 | Public Storage | 370,764 | ||||||
|
|
|
|||||||
| 804,750 | ||||||||
|
|
|
|||||||
| REITs – Warehouse/Industrials — 0.5% | ||||||||
| 3,314 | EastGroup Properties, Inc. | 439,669 | ||||||
| 10,476 | First Industrial Realty Trust, Inc. | 434,859 | ||||||
| 43,964 | Liberty Property Trust | 2,640,038 | ||||||
| 7,816 | Terreno Realty Corp. | 423,158 | ||||||
|
|
|
|||||||
| 3,937,724 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 0.2% | ||||||||
| 1,601 | KLA Corp. | 285,250 | ||||||
| 32,552 | ON Semiconductor Corp.(a) | 793,618 | ||||||
| 1,279 | Universal Display Corp. | 263,563 | ||||||
| 2,223 | Xilinx, Inc. | 217,343 | ||||||
|
|
|
|||||||
| 1,559,774 | ||||||||
|
|
|
|||||||
| Software — 1.3% | ||||||||
| 2,016 | Atlassian Corp. PLC, Class A(a) | 242,606 | ||||||
| 22,266 | Citrix Systems, Inc. | 2,469,299 | ||||||
| 598 | Fair Isaac Corp.(a) | 224,059 | ||||||
| 8,678 | Fortinet, Inc.(a) | 926,463 | ||||||
| 37,003 | NortonLifeLock, Inc. | 944,317 | ||||||
| 34,036 | Open Text Corp. | 1,499,967 | ||||||
| 1,063 | Paycom Software, Inc.(a) | 281,440 | ||||||
| 1,530 | RingCentral, Inc., Class A(a) | 258,065 | ||||||
| 6,241 | salesforce.com, Inc.(a) | 1,015,036 | ||||||
| 801 | ServiceNow, Inc.(a) | 226,138 | ||||||
| 213,346 | TiVo Corp. | 1,809,174 | ||||||
| 1,551 | VMware, Inc., Class A(a) | 235,426 | ||||||
See accompanying notes to financial statements.
| 34
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Software — continued | ||||||||
| 1,580 | Workday, Inc., Class A(a) | $ | 259,831 | |||||
| 3,445 | Zendesk, Inc.(a) | 263,990 | ||||||
|
|
|
|||||||
| 10,655,811 | ||||||||
|
|
|
|||||||
| Specialty Retail — 0.5% | ||||||||
| 7,637 | Advance Auto Parts, Inc. | 1,223,142 | ||||||
| 211 | AutoZone, Inc.(a) | 251,367 | ||||||
| 1,740 | Five Below, Inc.(a) | 222,476 | ||||||
| 10,480 | Lowe’s Cos., Inc. | 1,255,085 | ||||||
| 585 | O’Reilly Automotive, Inc.(a) | 256,382 | ||||||
| 33,487 | Rent-A-Center, Inc. | 965,765 | ||||||
|
|
|
|||||||
| 4,174,217 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 0.0% | ||||||||
| 964 | Lululemon Athletica, Inc.(a) | 223,330 | ||||||
|
|
|
|||||||
| Thrifts & Mortgage Finance — 0.6% | ||||||||
| 79,040 | Capitol Federal Financial, Inc. | 1,085,219 | ||||||
| 63,565 | Columbia Financial, Inc.(a) | 1,076,791 | ||||||
| 61,843 | Northwest Bancshares, Inc. | 1,028,449 | ||||||
| 50,969 | TFS Financial Corp. | 1,003,070 | ||||||
| 29,266 | Waterstone Financial, Inc. | 556,932 | ||||||
|
|
|
|||||||
| 4,750,461 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 0.3% | ||||||||
| 38,960 | HD Supply Holdings, Inc.(a) | 1,566,971 | ||||||
| 19,447 | WESCO International, Inc.(a) | 1,154,958 | ||||||
|
|
|
|||||||
| 2,721,929 | ||||||||
|
|
|
|||||||
| Water Utilities — 0.1% | ||||||||
| 3,573 | American Water Works Co., Inc. | 438,943 | ||||||
|
|
|
|||||||
| Wireless Telecommunication Services — 0.2% | ||||||||
| 18,491 | T-Mobile US, Inc.(a) | 1,450,064 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $176,168,497) |
189,903,501 | |||||||
|
|
|
|||||||
| Exchange-Traded Funds — 4.0% | ||||||||
| 371,962 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $32,284,590) |
32,710,338 | ||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 68.0% | ||||||||
| Certificates of Deposit — 54.9% | ||||||||
| $ | 25,000,000 | National Bank of Kuwait (NY), 1.810%, 1/02/2020 | 25,000,024 | |||||
| 35,000,000 | Credit Agricole Corporate & Investment Bank (NY), 1.530%, 1/06/2020 | 34,999,323 | ||||||
| 25,000,000 | Landesbank Baden-Wuerttemberg (NY), 1.900%, 1/21/2020 | 25,001,365 | ||||||
| 15,000,000 | DZ Bank (NY), 2.090%, 1/24/2020 | 15,002,553 | ||||||
| 25,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 2.000%, 2/06/2020 | 25,002,340 | ||||||
| 30,000,000 | Sumitomo Mitsui Banking Corp. (NY), 2.010%, 2/10/2020 | 30,010,399 | ||||||
See accompanying notes to financial statements.
35 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Principal Amount |
Description | Value (†) |
||||||
| Certificates of Deposit — continued | ||||||||
| $ | 25,000,000 | Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.230%, 1.971%, 2/13/2020(b) | $ | 25,005,749 | ||||
| 15,000,000 | Credit Industriel et Commercial (NY), 1.800%, 2/14/2020 | 15,001,405 | ||||||
| 30,000,000 | Norinchukin Bank (NY), 1.870%, 2/20/2020 | 30,001,114 | ||||||
| 15,600,000 | Bank of Montreal (IL), 1.950%, 2/28/2020 | 15,601,235 | ||||||
| 5,000,000 | Sumitomo Mitsui Trust Bank (NY), 1.890%, 3/09/2020 | 4,999,871 | ||||||
| 15,000,000 | Bank of Nova Scotia (TX), 2.000%, 3/10/2020 | 15,004,610 | ||||||
| 16,000,000 | DZ Bank (NY), 1.870%, 3/27/2020 | 15,999,610 | ||||||
| 5,000,000 | Bank of Montreal (IL), 1-month LIBOR + 0.180%, 1.877%, 4/03/2020(b) | 5,001,136 | ||||||
| 25,000,000 | Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.200%, 1.964%, 4/20/2020(b) | 24,996,507 | ||||||
| 30,000,000 | National Australia Bank (NY), 1-month LIBOR + 0.150%, 1.915%, 5/20/2020(b)(c) | 29,995,162 | ||||||
| 30,000,000 | Nordea Bank ABP (NY), 3-month LIBOR + 0.060%, 1.948%, 6/11/2020(b) | 29,999,927 | ||||||
| 20,000,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.916%, 6/12/2020(b)(c) | 19,997,406 | ||||||
| 20,000,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 3-month LIBOR + 0.070%, 1.964%, 6/16/2020(b) | 19,999,958 | ||||||
| 20,000,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 1.925%, 7/10/2020(b)(c) | 19,997,740 | ||||||
| 25,000,000 | Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 2.075%, 10/20/2020(b)(c) | 25,006,587 | ||||||
|
|
|
|||||||
| 451,624,021 | ||||||||
|
|
|
|||||||
| Other Notes — 3.7% | ||||||||
| 30,000,000 | Bank of America NA, 1.840%, 6/15/2020 | 29,998,517 | ||||||
|
|
|
|||||||
| Commercial Paper — 3.6% | ||||||||
| 15,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.803%, 1/08/2020(d) | 14,994,153 | ||||||
| 15,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.853%, 1/15/2020(d) | 14,988,875 | ||||||
|
|
|
|||||||
| 29,983,028 | ||||||||
|
|
|
|||||||
| Time Deposits — 3.4% | ||||||||
| 27,700,000 | Canadian Imperial Bank of Commerce, 1.500%, 1/02/2020 | 27,700,000 | ||||||
|
|
|
|||||||
| Treasuries — 2.4% | ||||||||
| 10,750,000 | U.S. Treasury Bills, 1.486%, 2/06/2020(d)(e) | 10,734,427 | ||||||
| 9,100,000 | U.S. Treasury Bills, 1.500%, 1/09/2020(d)(e) | 9,097,512 | ||||||
|
|
|
|||||||
| 19,831,939 | ||||||||
|
|
|
|||||||
| Repurchase Agreement — 0.0% | ||||||||
| 289,847 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $289,861 on 1/02/2020 collateralized by $290,000 U.S. Treasury Note, 2.875% due 11/15/2021 valued at $297,841 including accrued interest (Note 2 of Notes to Financial Statements) | 289,847 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $559,406,275) |
559,427,352 | |||||||
|
|
|
|||||||
| Total Investments — 95.1% (Identified Cost $767,859,362) |
782,041,191 | |||||||
| Other assets less liabilities — 4.9% | 39,881,415 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 821,922,606 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 36
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
| (b) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
| ||||||
| (c) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
| (d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| ||||||
| (e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| ETF | Exchange-Traded Fund |
| ||||||
| LIBOR | London Interbank Offered Rate |
| ||||||
| REITs | Real Estate Investment Trusts |
| ||||||
| SLM | Sallie Mae |
| ||||||
| CHF | Swiss Franc |
| ||||||
| NOK | Norwegian Krone |
| ||||||
| NZD | New Zealand Dollar |
| ||||||
| SEK | Swedish Krona |
| ||||||
| SGD | Singapore Dollar |
| ||||||
| ZAR | South African Rand |
| ||||||
At December 31, 2019, the Fund had the following open forward foreign currency contracts:
| Counterparty | Delivery Date |
Currency Bought/ Sold (B/S) |
Units of Currency |
In Exchange for | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| UBS AG |
3/18/2020 | CHF | B | 11,500,000 | $ | 11,767,520 | $ | 11,943,337 | $ | 175,817 | ||||||||||||||||||
| UBS AG |
3/18/2020 | CHF | S | 7,750,000 | 7,948,938 | 8,048,770 | (99,832 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | NOK | S | 314,000,000 | 34,464,938 | 35,773,998 | (1,309,060 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | NZD | B | 9,000,000 | 6,048,006 | 6,065,119 | 17,113 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | NZD | B | 8,300,000 | 5,597,065 | 5,593,387 | (3,678 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | NZD | S | 17,300,000 | 11,367,882 | 11,658,506 | (290,624 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | SEK | B | 148,000,000 | 15,647,266 | 15,858,239 | 210,973 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | SEK | B | 24,000,000 | 2,586,136 | 2,571,606 | (14,530 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | SGD | B | 7,500,000 | 5,521,889 | 5,580,442 | 58,553 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | ZAR | B | 18,000,000 | 1,274,774 | 1,272,552 | (2,222 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total |
|
$ | (1,257,490 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
At December 31, 2019, open long futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 2 Year U.S. Treasury Note |
3/31/2020 | 1,883 | $ | 406,090,484 | $ | 405,786,500 | $ | (303,984 | ) | |||||||||||
| 3 Year Australia Government Bond |
3/16/2020 | 123 | 9,994,893 | 9,927,433 | (67,460 | ) | ||||||||||||||
| 5 Year U.S. Treasury Note |
3/31/2020 | 401 | 47,732,851 | 47,562,359 | (170,492 | ) | ||||||||||||||
| 10 Year U.S. Treasury Note |
3/20/2020 | 725 | 92,979,078 | 93,105,859 | 126,781 | |||||||||||||||
|
AEX-Index® |
1/17/2020 | 9 | 1,227,931 | 1,220,784 | (7,147 | ) | ||||||||||||||
| ASX SPI 200™ |
3/19/2020 | 16 | 1,876,532 | 1,853,462 | (23,070 | ) | ||||||||||||||
| Australian Dollar |
3/16/2020 | 384 | 26,319,360 | 27,025,920 | 706,560 | |||||||||||||||
See accompanying notes to financial statements.
37 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| CAC 40® |
1/17/2020 | 18 | $ | 1,201,694 | $ | 1,205,379 | $ | 3,685 | ||||||||||||
| DAX |
3/20/2020 | 141 | 52,831,269 | 52,376,560 | (454,709 | ) | ||||||||||||||
| E-mini NASDAQ 100 |
3/20/2020 | 6 | 1,012,899 | 1,050,270 | 37,371 | |||||||||||||||
| E-mini Russell 2000 |
3/20/2020 | 243 | 19,977,992 | 20,297,790 | 319,798 | |||||||||||||||
| E-mini S&P 500® |
3/20/2020 | 223 | 35,038,387 | 36,026,765 | 988,378 | |||||||||||||||
| E-mini S&P MidCap 400® |
3/20/2020 | 8 | 1,617,260 | 1,651,840 | 34,580 | |||||||||||||||
| Euro Schatz |
3/06/2020 | 220 | 27,632,518 | 27,615,244 | (17,274 | ) | ||||||||||||||
| EURO STOXX 50® |
3/20/2020 | 485 | 20,362,410 | 20,286,673 | (75,737 | ) | ||||||||||||||
| Euro-BTP |
3/06/2020 | 362 | 57,689,971 | 57,846,650 | 156,679 | |||||||||||||||
| Euro-Buxl® 30 Year Bond |
3/06/2020 | 5 | 1,138,032 | 1,112,614 | (25,418 | ) | ||||||||||||||
| Euro-OAT |
3/06/2020 | 636 | 117,111,746 | 116,120,309 | (991,437 | ) | ||||||||||||||
| Eurodollar |
6/15/2020 | 426 | 104,772,913 | 104,700,150 | (72,763 | ) | ||||||||||||||
| FTSE 100 Index |
3/20/2020 | 559 | 55,066,534 | 55,526,442 | 459,908 | |||||||||||||||
| FTSE MIB |
3/20/2020 | 13 | 1,702,460 | 1,706,835 | 4,375 | |||||||||||||||
| FTSE/JSE Top 40 Index |
3/19/2020 | 39 | 1,428,014 | 1,430,130 | 2,116 | |||||||||||||||
| German Euro BOBL |
3/06/2020 | 47 | 7,071,051 | 7,044,960 | (26,091 | ) | ||||||||||||||
| German Euro Bund |
3/06/2020 | 615 | 118,676,349 | 117,611,755 | (1,064,594 | ) | ||||||||||||||
| Hang Seng Index® |
1/30/2020 | 57 | 10,247,462 | 10,339,630 | 92,168 | |||||||||||||||
| IBEX 35 |
1/17/2020 | 17 | 1,826,086 | 1,816,942 | (9,144 | ) | ||||||||||||||
| Indian Rupee |
1/29/2020 | 195 | 5,506,410 | 5,454,150 | (52,260 | ) | ||||||||||||||
| Mexican Peso |
3/16/2020 | 141 | 3,616,755 | 3,693,495 | 76,740 | |||||||||||||||
| MSCI EAFE Index |
3/20/2020 | 22 | 2,188,065 | 2,240,150 | 52,085 | |||||||||||||||
| MSCI Emerging Markets Index |
3/20/2020 | 246 | 12,940,155 | 13,778,460 | 838,305 | |||||||||||||||
| MSCI Singapore |
1/30/2020 | 73 | 2,014,062 | 2,016,395 | 2,333 | |||||||||||||||
| MSCI Taiwan Index |
1/30/2020 | 50 | 2,300,140 | 2,298,000 | (2,140 | ) | ||||||||||||||
| Nikkei 225™ |
3/12/2020 | 7 | 1,504,400 | 1,522,986 | 18,586 | |||||||||||||||
| OMXS30® |
1/17/2020 | 52 | 991,343 | 981,695 | (9,648 | ) | ||||||||||||||
| S&P/TSX 60 Index |
3/19/2020 | 15 | 2,330,431 | 2,338,917 | 8,486 | |||||||||||||||
| Short-Term Euro-BTP |
3/06/2020 | 73 | 9,193,531 | 9,206,229 | 12,698 | |||||||||||||||
| Sterling |
3/18/2020 | 167 | 27,460,229 | 27,443,638 | (16,591 | ) | ||||||||||||||
| TOPIX |
3/12/2020 | 170 | 26,850,629 | 26,926,511 | 75,882 | |||||||||||||||
| U.S. Dollar Index |
3/16/2020 | 127 | 12,323,534 | 12,199,366 | (124,168 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 503,387 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Commodity Futures1 | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Aluminum LME |
3/18/2020 | 364 | $ | 15,827,175 | $ | 16,471,000 | $ | 643,825 | ||||||||||||
| Brent Crude Oil |
1/31/2020 | 799 | 50,915,010 | 52,734,000 | 1,818,990 | |||||||||||||||
| Copper LME |
3/18/2020 | 144 | 21,601,703 | 22,230,000 | 628,297 | |||||||||||||||
| Gasoline |
1/31/2020 | 69 | 4,801,612 | 4,899,069 | 97,457 | |||||||||||||||
| Gold |
2/26/2020 | 177 | 26,086,320 | 26,958,870 | 872,550 | |||||||||||||||
| Live Cattle |
4/30/2020 | 79 | 3,977,320 | 4,018,730 | 41,410 | |||||||||||||||
| Low Sulfur Gasoil |
2/12/2020 | 169 | 10,403,050 | 10,372,375 | (30,675 | ) | ||||||||||||||
| Natural Gas |
1/29/2020 | 194 | 4,351,420 | 4,246,660 | (104,760 | ) | ||||||||||||||
| Nickel LME |
3/18/2020 | 63 | 5,297,502 | 5,301,450 | 3,948 | |||||||||||||||
| Soybean Oil |
3/13/2020 | 86 | 1,767,006 | 1,794,132 | 27,126 | |||||||||||||||
See accompanying notes to financial statements.
| 38
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Commodity Futures1 | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Wheat |
3/13/2020 | 538 | $ | 14,160,338 | $ | 15,030,375 | $ | 870,037 | ||||||||||||
| Zinc LME |
3/18/2020 | 219 | 12,505,844 | 12,454,257 | (51,587 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 4,816,618 | |||||||||||||||||
|
|
|
|||||||||||||||||||
At December 31, 2019, open short futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 10 Year Australia Government Bond |
3/16/2020 | 295 | $ | 29,591,006 | $ | 29,594,656 | $ | (3,650 | ) | |||||||||||
| 10 Year Canada Government Bond |
3/20/2020 | 1,082 | 115,530,869 | 114,553,433 | 977,436 | |||||||||||||||
| 30 Year U.S. Treasury Bond |
3/20/2020 | 237 | 37,630,758 | 36,949,781 | 680,977 | |||||||||||||||
| British Pound |
3/16/2020 | 32 | 2,669,344 | 2,658,400 | 10,944 | |||||||||||||||
| Canadian Dollar |
3/17/2020 | 92 | 7,058,055 | 7,091,820 | (33,765 | ) | ||||||||||||||
| Euro |
3/16/2020 | 471 | 65,524,342 | 66,422,775 | (898,433 | ) | ||||||||||||||
| Japanese Yen |
3/16/2020 | 178 | 20,617,919 | 20,571,238 | 46,681 | |||||||||||||||
| UK Long Gilt |
3/27/2020 | 276 | 48,229,183 | 48,031,155 | 198,028 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 978,218 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Commodity Futures1 | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Aluminum LME |
3/18/2020 | 394 | $ | 17,392,361 | $ | 17,828,500 | $ | (436,139 | ) | |||||||||||
| Cocoa |
3/16/2020 | 192 | 4,880,640 | 4,876,800 | 3,840 | |||||||||||||||
| Coffee |
3/19/2020 | 43 | 1,796,644 | 2,091,413 | (294,769 | ) | ||||||||||||||
| Corn |
3/13/2020 | 642 | 12,640,950 | 12,446,775 | 194,175 | |||||||||||||||
| Cotton |
3/09/2020 | 377 | 12,469,180 | 13,015,925 | (546,745 | ) | ||||||||||||||
| New York Harbor ULSD |
1/31/2020 | 347 | 29,514,189 | 29,480,287 | 33,902 | |||||||||||||||
| Silver |
3/27/2020 | 35 | 2,976,925 | 3,136,175 | (159,250 | ) | ||||||||||||||
| Soybean |
3/13/2020 | 267 | 12,630,963 | 12,755,925 | (124,962 | ) | ||||||||||||||
| Sugar |
2/28/2020 | 562 | 8,083,231 | 8,447,085 | (363,854 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | (1,693,802 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
1 Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Bilateral Equity Basket Total Return Swaps(a)
| Reference Entity | Counterparty | Expiration Date |
Notional Amount |
Unrealized Appreciation (Depreciation) |
Value of Reference Entities |
Notional Amount Net Asset Percentage |
||||||||||||||||
| Equity Securities Short |
Morgan Stanley Capital Services LLC | 5/19/2020 | $ | (29,903,979 | ) | $ | — | $ | (29,903,979 | ) | (3.64 | %) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| (a) | The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.60% as calculated on the notional amount. See Note 2 of Notes to Financial Statements. |
See accompanying notes to financial statements.
39 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of December 31, 2019:
| Common Stocks – Short | Shares | Value | % of Basket Value | |||||||||
| Auto Components |
||||||||||||
| Goodyear Tire & Rubber Co. (The) | (16,646 | ) | $ | (258,929 | ) | (0.87% | ) | |||||
|
|
|
|||||||||||
| Automobiles |
||||||||||||
| Thor Industries, Inc. | (3,204 | ) | (238,025 | ) | (0.80% | ) | ||||||
|
|
|
|||||||||||
| Banks |
||||||||||||
| First Horizon National Corp. | (152,245 | ) | (2,521,177 | ) | (8.43% | ) | ||||||
| Texas Capital Bancshares, Inc. | (4,400 | ) | (249,788 | ) | (0.84% | ) | ||||||
| United Bankshares, Inc. | (19,493 | ) | (753,600 | ) | (2.52% | ) | ||||||
|
|
|
|||||||||||
| (3,524,565 | ) | |||||||||||
|
|
|
|||||||||||
| Biotechnology |
||||||||||||
| AbbVie, Inc. | (11,523 | ) | (1,020,247 | ) | (3.41% | ) | ||||||
| Agios Pharmaceuticals, Inc. | (6,936 | ) | (331,194 | ) | (1.11% | ) | ||||||
| Alkermes PLC | (12,378 | ) | (252,511 | ) | (0.84% | ) | ||||||
| Alnylam Pharmaceuticals, Inc. | (2,307 | ) | (265,697 | ) | (0.89% | ) | ||||||
| Heron Therapeutics, Inc. | (9,650 | ) | (226,775 | ) | (0.76% | ) | ||||||
| Sangamo Therapeutics, Inc. | (8,693 | ) | (72,760 | ) | (0.24% | ) | ||||||
| Spectrum Pharmaceuticals, Inc. | (40,808 | ) | (148,541 | ) | (0.50% | ) | ||||||
| Ultragenyx Pharmaceutical, Inc. | (1,449 | ) | (61,887 | ) | (0.21% | ) | ||||||
| Vericel Corp. | (19,339 | ) | (336,499 | ) | (1.13% | ) | ||||||
|
|
|
|||||||||||
| (2,716,111 | ) | |||||||||||
|
|
|
|||||||||||
| Building Products |
||||||||||||
| Owens Corning | (4,466 | ) | (290,826 | ) | (0.97% | ) | ||||||
|
|
|
|||||||||||
| Capital Markets |
||||||||||||
| Affiliated Managers Group | (2,450 | ) | (207,613 | ) | (0.69% | ) | ||||||
| Charles Schwab Corp. (The) | (49,820 | ) | (2,369,439 | ) | (7.92% | ) | ||||||
| Invesco Ltd. | (11,934 | ) | (214,574 | ) | (0.72% | ) | ||||||
|
|
|
|||||||||||
| (2,791,626 | ) | |||||||||||
|
|
|
|||||||||||
| Chemicals |
||||||||||||
| Mosaic Co. (The) | (12,531 | ) | (271,171 | ) | (0.91% | ) | ||||||
| Westlake Chemical Corp. | (3,779 | ) | (265,097 | ) | (0.89% | ) | ||||||
|
|
|
|||||||||||
| (536,268 | ) | |||||||||||
|
|
|
|||||||||||
| Containers & Packaging |
||||||||||||
| Westrock Co. | (5,211 | ) | (223,604 | ) | (0.75% | ) | ||||||
|
|
|
|||||||||||
| Diversified Telecommunication Services |
||||||||||||
| CenturyLink, Inc. | (17,504 | ) | (231,228 | ) | (0.77% | ) | ||||||
|
|
|
|||||||||||
| Electronic Equipment, Instruments & Components |
||||||||||||
| Coherent, Inc. | (1,336 | ) | (222,244 | ) | (0.74% | ) | ||||||
| TTM Technologies, Inc. | (16,206 | ) | (243,900 | ) | (0.82% | ) | ||||||
|
|
|
|||||||||||
| (466,144 | ) | |||||||||||
|
|
|
|||||||||||
| Energy Equipment & Services |
||||||||||||
| Core Laboratories NV | (5,591 | ) | (210,613 | ) | (0.70% | ) | ||||||
| Halliburton Co. | (11,718 | ) | (286,739 | ) | (0.96% | ) | ||||||
| National Oilwell Varco, Inc. | (9,347 | ) | (234,142 | ) | (0.78% | ) | ||||||
See accompanying notes to financial statements.
| 40
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Common Stocks – Short | Shares | Value | % of Basket Value | |||||||||
| Energy Equipment & Services — continued | ||||||||||||
| Oil States International, Inc. | (16,314 | ) | $ | (266,081 | ) | (0.89% | ) | |||||
| Patterson-UTI Energy, Inc. | (23,773 | ) | (249,617 | ) | (0.83% | ) | ||||||
| Schlumberger Ltd. | (5,889 | ) | (236,738 | ) | (0.79% | ) | ||||||
|
|
|
|||||||||||
| (1,483,930 | ) | |||||||||||
|
|
|
|||||||||||
| Equity Real Estate Investment Trusts |
||||||||||||
| Digital Realty Trust, Inc. | (21,432 | ) | (2,566,268 | ) | (8.58% | ) | ||||||
| Macerich Co. (The) | (9,677 | ) | (260,505 | ) | (0.87% | ) | ||||||
| ProLogis, Inc. | (29,675 | ) | (2,645,229 | ) | (8.85% | ) | ||||||
|
|
|
|||||||||||
| (5,472,002 | ) | |||||||||||
|
|
|
|||||||||||
| Health Care Equipment & Supplies |
||||||||||||
| Tandem Diabetes Care, Inc. | (4,951 | ) | (295,129 | ) | (0.99% | ) | ||||||
|
|
|
|||||||||||
| Health Care Providers & Services |
||||||||||||
| MEDNAX, Inc. | (7,802 | ) | (216,818 | ) | (0.73% | ) | ||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure |
||||||||||||
| International Game Technology PLC | (18,851 | ) | (282,199 | ) | (0.94% | ) | ||||||
| Penn National Gaming, Inc. | (11,275 | ) | (288,189 | ) | (0.96% | ) | ||||||
| Wynn Resorts Ltd. | (1,769 | ) | (245,661 | ) | (0.82% | ) | ||||||
|
|
|
|||||||||||
| (816,049 | ) | |||||||||||
|
|
|
|||||||||||
| Household Durables |
||||||||||||
| Newell Brands, Inc. | (12,537 | ) | (240,961 | ) | (0.81% | ) | ||||||
| Taylor Morrison Home Corp. | (88,610 | ) | (1,937,015 | ) | (6.48% | ) | ||||||
|
|
|
|||||||||||
| (2,177,976 | ) | |||||||||||
| Interactive Media & Entertainment |
||||||||||||
| SINA Corp. | (6,270 | ) | (250,361 | ) | (0.84% | ) | ||||||
|
|
|
|||||||||||
| Machinery |
||||||||||||
| Greenbrier Cos., Inc. (The) | (7,137 | ) | (231,453 | ) | (0.77% | ) | ||||||
|
|
|
|||||||||||
| Metals & Mining |
||||||||||||
| Alcoa Corp. | (9,969 | ) | (214,433 | ) | (0.72% | ) | ||||||
| Freeport-McMoRan, Inc. | (23,326 | ) | (306,037 | ) | (1.02% | ) | ||||||
| Pan American Silver Corp. | (13,443 | ) | (318,465 | ) | (1.07% | ) | ||||||
| Southern Copper Corp. | (5,521 | ) | (234,532 | ) | (0.78% | ) | ||||||
| Steel Dynamics, Inc. | (6,544 | ) | (222,758 | ) | (0.74% | ) | ||||||
|
|
|
|||||||||||
| (1,296,225 | ) | |||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||
| Apache Corp. | (10,351 | ) | (264,882 | ) | (0.89% | ) | ||||||
| Cimarex Energy Co. | (5,281 | ) | (277,200 | ) | (0.93% | ) | ||||||
| CNX Resources Corp. | (28,711 | ) | (254,092 | ) | (0.85% | ) | ||||||
| Continental Resources, Inc. | (6,621 | ) | (227,100 | ) | (0.76% | ) | ||||||
| Encana Corp. | (56,764 | ) | (266,223 | ) | (0.89% | ) | ||||||
| Golar LNG Ltd. | (22,248 | ) | (316,367 | ) | (1.06% | ) | ||||||
| HollyFrontier Corp. | (4,919 | ) | (249,442 | ) | (0.83% | ) | ||||||
| Kosmos Energy Ltd. | (35,364 | ) | (201,575 | ) | (0.67% | ) | ||||||
| Matador Resources Co. | (16,666 | ) | (299,488 | ) | (1.00% | ) | ||||||
| Northern Oil & Gas, Inc. | (178,091 | ) | (416,733 | ) | (1.39% | ) | ||||||
| Parsley Energy, Inc. | (16,031 | ) | (303,146 | ) | (1.01% | ) | ||||||
See accompanying notes to financial statements.
41 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Global Alternatives Fund – (continued)
| Common Stocks – Short | Shares | Value | % of Basket Value | |||||||||
| Oil, Gas & Consumable Fuels — continued | ||||||||||||
| PBF Energy, Inc. | (7,750 | ) | $ | (243,118 | ) | (0.81% | ) | |||||
| W&T Offshore, Inc. | (41,625 | ) | (231,435 | ) | (0.77% | ) | ||||||
|
|
|
|||||||||||
| (3,550,801 | ) | |||||||||||
|
|
|
|||||||||||
| Paper & Forest Products |
||||||||||||
| Boise Cascade LLC | (6,914 | ) | (252,568 | ) | (0.85% | ) | ||||||
|
|
|
|||||||||||
| Personal Products |
||||||||||||
| Nu Skin Enterprises, Inc. | (5,305 | ) | (217,399 | ) | (0.73% | ) | ||||||
|
|
|
|||||||||||
| Pharmaceuticals |
||||||||||||
| Aerie Pharmaceuticals, Inc. | (9,832 | ) | (237,639 | ) | (0.79% | ) | ||||||
| Mylan NV | (11,766 | ) | (236,497 | ) | (0.79% | ) | ||||||
| Supernus Pharmaceuticals, Inc. | (9,431 | ) | (223,703 | ) | (0.75% | ) | ||||||
|
|
|
|||||||||||
| (697,839 | ) | |||||||||||
|
|
|
|||||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||
| Xperi Corp. | (57,802 | ) | (1,069,337 | ) | (3.58% | ) | ||||||
|
|
|
|||||||||||
| Software |
||||||||||||
| Nutanix, Inc. | (2,534 | ) | (79,213 | ) | (0.26% | ) | ||||||
|
|
|
|||||||||||
| Technology Hardware, Storage & Peripherals |
||||||||||||
| Western Digital Corp. | (4,137 | ) | (262,575 | ) | (0.88% | ) | ||||||
|
|
|
|||||||||||
| Textiles, Apparel & Luxury Goods |
||||||||||||
| Capri Holdings Ltd. | (6,736 | ) | (256,978 | ) | (0.86% | ) | ||||||
|
|
|
|||||||||||
| Total Common Stocks – Short |
|
$ | (29,903,979 | ) | ||||||||
|
|
|
|||||||||||
Investment Summary at December 31, 2019
| Certificates of Deposit |
54.9 | % | ||
| Common Stocks |
23.1 | |||
| Exchange-Traded Funds |
4.0 | |||
| Other Notes |
3.7 | |||
| Commercial Paper |
3.6 | |||
| Time Deposits |
3.4 | |||
| Treasuries |
2.4 | |||
| Repurchase Agreements |
0.0 | * | ||
|
|
|
|||
| Total Investments |
95.1 | |||
| Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) |
4.9 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
|||
| * Less than 0.1% |
See accompanying notes to financial statements.
| 42
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Managed Futures Strategy Fund
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 91.7% of Net Assets | ||||||||
| Certificates of Deposit — 67.5% | ||||||||
| $ | 10,200,000 | National Bank of Kuwait (NY), 1.810%, 1/02/2020 | $ | 10,200,010 | ||||
| 75,000,000 | Credit Agricole Corporate & Investment Bank (NY), 1.530%, 1/06/2020 | 74,998,549 | ||||||
| 4,500,000 | Landesbank Baden-Wuerttemberg (NY), 1.780%, 1/17/2020 | 4,500,039 | ||||||
| 50,000,000 | Landesbank Baden-Wuerttemberg (NY), 1.900%, 1/21/2020 | 50,002,729 | ||||||
| 19,000,000 | DZ Bank (NY), 2.090%, 1/24/2020 | 19,003,234 | ||||||
| 40,000,000 | Landesbank Hessen (NY), 1.810%, 2/06/2020 | 40,007,744 | ||||||
| 20,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 2.000%, 2/06/2020 | 20,001,872 | ||||||
| 60,000,000 | Sumitomo Mitsui Banking Corp. (NY), 2.010%, 2/10/2020 | 60,020,798 | ||||||
| 10,000,000 | Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.230%, 1.971%, 2/13/2020(a) | 10,002,300 | ||||||
| 30,000,000 | Credit Industriel et Commercial (NY), 1.800%, 2/14/2020 | 30,002,810 | ||||||
| 50,000,000 | Sumitomo Mitsui Trust Bank (NY), 2.020%, 2/14/2020 | 50,011,593 | ||||||
| 50,000,000 | MUFG Bank Ltd. (NY), 2.000%, 2/18/2020 | 50,012,921 | ||||||
| 50,000,000 | Norinchukin Bank (NY), 1.870%, 2/20/2020 | 50,001,856 | ||||||
| 46,000,000 | Bank of Montreal (IL), 1.950%, 2/28/2020 | 46,003,642 | ||||||
| 12,000,000 | Sumitomo Mitsui Trust Bank (NY), 1.890%, 3/09/2020 | 11,999,691 | ||||||
| 70,000,000 | Bank of Nova Scotia (TX), 2.000%, 3/10/2020(b) | 70,021,512 | ||||||
| 50,000,000 | DZ Bank (NY), 1.870%, 3/27/2020 | 49,998,783 | ||||||
| 15,000,000 | Norinchukin Bank (NY), 1.900%, 3/27/2020 | 15,000,523 | ||||||
| 30,000,000 | Bank of Montreal (IL), 1-month LIBOR + 0.180%, 1.877%, 4/03/2020(a) | 30,006,818 | ||||||
| 65,000,000 | Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.200%, 1.964%, 4/20/2020(a) | 64,990,919 | ||||||
| 45,500,000 | Svenska Handelsbanken (NY), 1-month LIBOR + 0.190%, 1.935%, 5/18/2020(a) | 45,499,481 | ||||||
| 50,000,000 | National Australia Bank (NY), 1-month LIBOR + 0.150%, 1.915%, 5/20/2020(a)(b) | 49,991,938 | ||||||
| 60,000,000 | Nordea Bank ABP (NY), 3-month LIBOR + 0.060%, 1.948%, 6/11/2020(a) | 59,999,854 | ||||||
| 20,000,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.916%, 6/12/2020(a)(b) | 19,997,406 | ||||||
| 50,000,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 3-month LIBOR + 0.070%, 1.964%, 6/16/2020(a) | 49,999,896 | ||||||
| 30,000,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 1.925%, 7/10/2020(a)(b) | 29,996,610 | ||||||
| 20,000,000 | Toronto-Dominion Bank (NY), FEDL01 + 0.360%, 1.910%, 9/04/2020(a)(b) | 20,002,601 | ||||||
| 30,000,000 | Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 2.075%, 10/20/2020(a)(b) | 30,007,904 | ||||||
|
|
|
|||||||
| 1,062,284,033 | ||||||||
|
|
|
|||||||
| Time Deposits — 9.2% | ||||||||
| 70,500,000 | Canadian Imperial Bank of Commerce, 1.500%, 1/02/2020 | 70,500,000 | ||||||
| 45,000,000 | National Bank of Kuwait (NY), 1.500%, 1/02/2020 | 45,000,000 | ||||||
| 30,000,000 | Skandinaviska Enskilda Banken (NY), 1.500%, 1/02/2020 | 30,000,000 | ||||||
|
|
|
|||||||
| 145,500,000 | ||||||||
|
|
|
|||||||
| Treasuries — 6.6% | ||||||||
| 25,000,000 | U.S. Treasury Bills, 1.470%, 3/05/2020(c)(d) | 24,934,266 | ||||||
| 26,400,000 | U.S. Treasury Bills, 1.500%, 4/02/2020(c)(d) | 26,298,232 | ||||||
| 19,400,000 | U.S. Treasury Bills, 1.515%, 2/06/2020(c)(d) | 19,371,897 | ||||||
| 33,000,000 | U.S. Treasury Bills, 1.696%, 1/09/2020(c)(d) | 32,990,976 | ||||||
|
|
|
|||||||
| 103,595,371 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
43 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Managed Futures Strategy Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Commercial Paper — 4.3% | ||||||||
| $ | 32,290,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.803%, 1/08/2020(c) | $ | 32,277,414 | ||||
| 15,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.853%, 1/15/2020(c) | 14,988,875 | ||||||
| 20,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.804%, 1/22/2020(c) | 19,977,841 | ||||||
|
|
|
|||||||
| 67,244,130 | ||||||||
|
|
|
|||||||
| Other Notes — 4.1% | ||||||||
| 50,000,000 | Bank of America NA, 2.020%, 1/09/2020 | 50,006,476 | ||||||
| 15,000,000 | Bank of America NA, 1.840%, 6/15/2020 | 14,999,258 | ||||||
|
|
|
|||||||
| 65,005,734 | ||||||||
|
|
|
|||||||
| Repurchase Agreement — 0.0% | ||||||||
| 247,122 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $247,134 on 1/02/2020 collateralized by $250,000 U.S. Treasury Note, 2.875% due 11/15/2021 valued at $256,760 including accrued interest (Note 2 of Notes to Financial Statements) | 247,122 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $1,443,789,332) |
1,443,876,390 | |||||||
|
|
|
|||||||
| Total Investments — 91.7% (Identified Cost $1,443,789,332) |
1,443,876,390 | |||||||
| Other assets less liabilities — 8.3% | 130,034,283 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 1,573,910,673 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
| ||||||
| (b) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
| (c) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| ||||||
| (d) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| FEDL01 | Federal Funds Rate |
| ||||||
| LIBOR | London Interbank Offered Rate |
| ||||||
| CHF | Swiss Franc |
| ||||||
| CNH | Chinese Yuan Renminbi Offshore |
| ||||||
| MXN | Mexican Peso |
| ||||||
| NOK | Norwegian Krone |
| ||||||
| NZD | New Zealand Dollar |
| ||||||
| PLN | Polish Zloty |
| ||||||
| SEK | Swedish Krona |
| ||||||
| SGD | Singapore Dollar |
| ||||||
| TRY | Turkish Lira |
| ||||||
| ZAR | South African Rand |
| ||||||
See accompanying notes to financial statements.
| 44
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Managed Futures Strategy Fund – (continued)
At December 31, 2019, the Fund had the following open forward foreign currency contracts:
| Counterparty | Delivery Date |
Currency Bought/ Sold (B/S) |
Units of Currency |
In Exchange for |
Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| UBS AG |
3/18/2020 | CHF | B | 140,500,000 | $ | 144,396,172 | $ | 145,916,417 | $ | 1,520,245 | ||||||||||||||||||
| UBS AG |
3/18/2020 | CHF | S | 180,625,000 | 183,923,484 | 187,588,277 | (3,664,793 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | CNH | B | 148,000,000 | 21,247,956 | 21,224,287 | (23,669 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | CNH | S | 148,000,000 | 20,965,133 | 21,224,287 | (259,154 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | MXN | B | 3,733,000,000 | 191,571,967 | 195,251,226 | 3,679,259 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | MXN | S | 337,500,000 | 17,687,626 | 17,652,636 | 34,990 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | MXN | S | 182,500,000 | 9,509,281 | 9,545,499 | (36,218 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | NOK | B | 1,436,000,000 | 160,533,342 | 163,603,379 | 3,070,037 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | NOK | S | 1,682,000,000 | 184,142,163 | 191,630,141 | (7,487,978 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | NZD | B | 134,900,000 | 89,608,655 | 90,909,390 | 1,300,735 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | NZD | B | 35,700,000 | 24,074,156 | 24,058,304 | (15,852 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | NZD | S | 53,700,000 | 35,371,817 | 36,188,541 | (816,724 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | PLN | B | 274,500,000 | 71,802,153 | 72,366,457 | 564,304 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | PLN | S | 274,500,000 | 71,004,393 | 72,366,457 | (1,362,064 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | SEK | B | 230,000,000 | 24,640,363 | 24,644,561 | 4,198 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | SEK | B | 170,000,000 | 18,282,027 | 18,215,545 | (66,482 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | SEK | S | 688,000,000 | 72,646,655 | 73,719,382 | (1,072,727 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | SGD | B | 286,250,000 | 211,112,445 | 212,986,851 | 1,874,406 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | TRY | B | 543,000,000 | 91,439,064 | 89,553,330 | (1,885,734 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | TRY | S | 174,600,000 | 29,070,952 | 28,795,601 | 275,351 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | TRY | S | 103,500,000 | 17,039,386 | 17,069,557 | (30,171 | ) | ||||||||||||||||||||
| UBS AG |
3/18/2020 | ZAR | B | 560,500,000 | 38,389,199 | 39,625,860 | 1,236,661 | |||||||||||||||||||||
| UBS AG |
3/18/2020 | ZAR | B | 97,000,000 | 6,869,617 | 6,857,642 | (11,975 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total |
|
$ | (3,173,355 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
At December 31, 2019, open long futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 2 Year U.S. Treasury Note |
3/31/2020 | 2,305 | $ | 497,159,688 | $ | 496,727,500 | $ | (432,188 | ) | |||||||||||
| 3 Year Australia Government Bond |
3/16/2020 | 3,294 | 267,687,939 | 265,861,499 | (1,826,440 | ) | ||||||||||||||
| 5 Year U.S. Treasury Note |
3/31/2020 | 2,110 | 251,352,561 | 250,265,781 | (1,086,780 | ) | ||||||||||||||
| 10 Year Australia Government Bond |
3/16/2020 | 1,008 | 103,035,963 | 101,123,435 | (1,912,528 | ) | ||||||||||||||
| 10 Year Canada Government Bond |
3/20/2020 | 610 | 65,861,099 | 64,581,880 | (1,279,219 | ) | ||||||||||||||
| 10 Year U.S. Treasury Note |
3/20/2020 | 1,276 | 165,527,781 | 163,866,312 | (1,661,469 | ) | ||||||||||||||
| 30 Year U.S. Treasury Bond |
3/20/2020 | 564 | 89,943,289 | 87,931,125 | (2,012,164 | ) | ||||||||||||||
|
AEX-Index® |
1/17/2020 | 450 | 61,396,584 | 61,039,210 | (357,374 | ) | ||||||||||||||
| ASX SPI 200™ |
3/19/2020 | 518 | 60,755,967 | 60,005,831 | (750,136 | ) | ||||||||||||||
| British Pound |
3/16/2020 | 744 | 61,392,894 | 61,807,800 | 414,906 | |||||||||||||||
| CAC 40® |
1/17/2020 | 774 | 51,672,892 | 51,831,287 | 158,395 | |||||||||||||||
| Canadian Dollar |
3/17/2020 | 1,196 | 91,336,210 | 92,193,660 | 857,450 | |||||||||||||||
| DAX |
3/20/2020 | 144 | 53,955,338 | 53,490,954 | (464,384 | ) | ||||||||||||||
See accompanying notes to financial statements.
45 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Managed Futures Strategy Fund – (continued)
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| E-mini Dow |
3/20/2020 | 941 | $ | 131,932,235 | $ | 134,130,140 | $ | 2,197,905 | ||||||||||||
| E-mini NASDAQ 100 |
3/20/2020 | 757 | 127,964,917 | 132,509,065 | 4,544,148 | |||||||||||||||
| E-mini Russell 2000 |
3/20/2020 | 1,362 | 112,061,032 | 113,767,860 | 1,706,828 | |||||||||||||||
| E-mini S&P 500® |
3/20/2020 | 888 | 139,582,210 | 143,460,840 | 3,878,630 | |||||||||||||||
| E-mini S&P MidCap 400® |
3/20/2020 | 532 | 107,588,320 | 109,847,360 | 2,259,040 | |||||||||||||||
| EURO STOXX 50® |
3/20/2020 | 1,342 | 56,356,046 | 56,133,433 | (222,613 | ) | ||||||||||||||
| Euro-BTP |
3/06/2020 | 457 | 72,647,435 | 73,027,401 | 379,966 | |||||||||||||||
| Euro-Buxl® 30 Year Bond |
3/06/2020 | 204 | 46,433,307 | 45,394,659 | (1,038,648 | ) | ||||||||||||||
| Euro-OAT |
3/06/2020 | 727 | 133,738,042 | 132,735,007 | (1,003,035 | ) | ||||||||||||||
| Eurodollar |
6/15/2020 | 4,263 | 1,048,502,313 | 1,047,738,825 | (763,488 | ) | ||||||||||||||
| FTSE 100 Index |
3/20/2020 | 397 | 39,178,920 | 39,434,700 | 255,780 | |||||||||||||||
| FTSE China A50 Index |
1/23/2020 | 2,781 | 39,490,200 | 40,074,210 | 584,010 | |||||||||||||||
| FTSE MIB |
3/20/2020 | 335 | 43,871,087 | 43,983,818 | 112,731 | |||||||||||||||
| FTSE/JSE Top 40 Index |
3/19/2020 | 44 | 1,635,366 | 1,613,480 | (21,886 | ) | ||||||||||||||
| German Euro BOBL |
3/06/2020 | 929 | 139,771,409 | 139,250,379 | (521,030 | ) | ||||||||||||||
| German Euro Bund |
3/06/2020 | 654 | 126,265,816 | 125,070,061 | (1,195,755 | ) | ||||||||||||||
| Hang Seng China Enterprises Index |
1/30/2020 | 424 | 30,324,314 | 30,501,033 | 176,719 | |||||||||||||||
| Hang Seng Index® |
1/30/2020 | 113 | 20,394,915 | 20,497,863 | 102,948 | |||||||||||||||
| IBEX 35 |
1/17/2020 | 491 | 52,754,895 | 52,477,558 | (277,337 | ) | ||||||||||||||
| Indian Rupee |
1/29/2020 | 1,413 | 39,875,534 | 39,521,610 | (353,924 | ) | ||||||||||||||
| MSCI EAFE Index |
3/20/2020 | 1,288 | 128,150,680 | 131,150,600 | 2,999,920 | |||||||||||||||
| MSCI Emerging Markets Index |
3/20/2020 | 1,719 | 92,376,365 | 96,281,190 | 3,904,825 | |||||||||||||||
| MSCI Singapore |
1/30/2020 | 871 | 24,031,429 | 24,058,626 | 27,197 | |||||||||||||||
| MSCI Taiwan Index |
1/30/2020 | 1,153 | 53,042,870 | 52,991,880 | (50,990 | ) | ||||||||||||||
| Nikkei 225™ |
3/12/2020 | 257 | 55,232,943 | 55,915,328 | 682,385 | |||||||||||||||
| OMXS30® |
1/17/2020 | 2,590 | 49,378,238 | 48,895,968 | (482,270 | ) | ||||||||||||||
| S&P/TSX 60 Index |
3/19/2020 | 478 | 74,281,383 | 74,533,472 | 252,089 | |||||||||||||||
| Short-Term Euro-BTP |
3/06/2020 | 1,769 | 222,792,562 | 223,093,413 | 300,851 | |||||||||||||||
| TOPIX |
3/12/2020 | 357 | 56,386,319 | 56,545,672 | 159,353 | |||||||||||||||
| UK Long Gilt |
3/27/2020 | 604 | 106,007,696 | 105,111,657 | (896,039 | ) | ||||||||||||||
| Ultra Long U.S. Treasury Bond |
3/20/2020 | 302 | 56,326,891 | 54,860,188 | (1,466,703 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 5,879,676 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Commodity Futures1 | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Aluminum LME |
3/18/2020 | 529 | $ | 24,045,414 | $ | 23,937,250 | $ | (108,164 | ) | |||||||||||
| Brent Crude Oil |
1/31/2020 | 962 | 60,742,711 | 63,492,000 | 2,749,289 | |||||||||||||||
| Cocoa |
3/16/2020 | 254 | 6,520,250 | 6,451,600 | (68,650 | ) | ||||||||||||||
| Coffee |
3/19/2020 | 364 | 17,287,387 | 17,704,050 | 416,663 | |||||||||||||||
| Copper |
3/27/2020 | 389 | 27,244,975 | 27,200,825 | (44,150 | ) | ||||||||||||||
| Copper LME |
3/18/2020 | 245 | 37,565,330 | 37,821,875 | 256,545 | |||||||||||||||
| Gasoline |
1/31/2020 | 572 | 39,808,343 | 40,612,572 | 804,229 | |||||||||||||||
| Gold |
2/26/2020 | 628 | 92,689,900 | 95,650,680 | 2,960,780 | |||||||||||||||
| Live Cattle |
4/30/2020 | 749 | 37,752,730 | 38,101,630 | 348,900 | |||||||||||||||
| Low Sulfur Gasoil |
2/12/2020 | 426 | 25,591,575 | 26,145,750 | 554,175 | |||||||||||||||
See accompanying notes to financial statements.
| 46
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Managed Futures Strategy Fund – (continued)
| Commodity Futures1 | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| New York Harbor ULSD |
1/31/2020 | 255 | $ | 21,361,481 | $ | 21,664,188 | $ | 302,707 | ||||||||||||
| Nickel LME |
3/18/2020 | 431 | 37,197,975 | 36,268,650 | (929,325 | ) | ||||||||||||||
| Platinum |
4/28/2020 | 496 | 23,384,500 | 24,249,440 | 864,940 | |||||||||||||||
| Silver |
3/27/2020 | 337 | 28,783,795 | 30,196,885 | 1,413,090 | |||||||||||||||
| Soybean Oil |
3/13/2020 | 1,682 | 33,607,758 | 35,089,884 | 1,482,126 | |||||||||||||||
| Sugar |
2/28/2020 | 261 | 3,976,627 | 3,922,934 | (53,693 | ) | ||||||||||||||
| Wheat |
3/13/2020 | 416 | 11,485,237 | 11,622,000 | 136,763 | |||||||||||||||
| WTI Crude Oil |
1/21/2020 | 618 | 36,501,800 | 37,735,080 | 1,233,280 | |||||||||||||||
| Zinc LME |
3/18/2020 | 403 | 23,132,478 | 22,918,106 | (214,372 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 12,105,133 | |||||||||||||||||
|
|
|
|||||||||||||||||||
At December 31, 2019, open short futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Australian Dollar |
3/16/2020 | 181 | $ | 12,404,835 | $ | 12,738,780 | $ | (333,945 | ) | |||||||||||
| Brazilian Real |
1/31/2020 | 180 | 4,430,050 | 4,510,800 | (80,750 | ) | ||||||||||||||
| Euribor |
3/16/2020 | 5,019 | 1,413,098,104 | 1,412,871,717 | 226,387 | |||||||||||||||
| Euro |
3/16/2020 | 1,628 | 226,483,290 | 229,588,700 | (3,105,410 | ) | ||||||||||||||
| Euro Schatz |
3/06/2020 | 4,128 | 518,407,881 | 518,162,386 | 245,495 | |||||||||||||||
| Japanese Yen |
3/16/2020 | 2,159 | 249,922,924 | 249,512,931 | 409,993 | |||||||||||||||
| Sterling |
3/18/2020 | 1,434 | 235,631,221 | 235,653,756 | (22,535 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | (2,660,765 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Commodity Futures1 | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Aluminum LME |
3/18/2020 | 1,066 | $ | 46,377,772 | $ | 48,236,500 | $ | (1,858,728 | ) | |||||||||||
| Copper LME |
3/18/2020 | 134 | 19,630,809 | 20,686,250 | (1,055,441 | ) | ||||||||||||||
| Corn |
3/13/2020 | 1,297 | 25,015,650 | 25,145,587 | (129,937 | ) | ||||||||||||||
| Cotton |
3/09/2020 | 230 | 7,579,040 | 7,940,750 | (361,710 | ) | ||||||||||||||
| Lean Hog |
4/15/2020 | 304 | 9,101,670 | 9,475,680 | (374,010 | ) | ||||||||||||||
| Natural Gas |
1/29/2020 | 1,290 | 29,404,380 | 28,238,100 | 1,166,280 | |||||||||||||||
| Nickel LME |
3/18/2020 | 347 | 28,308,929 | 29,200,050 | (891,121 | ) | ||||||||||||||
| Soybean |
3/13/2020 | 209 | 9,287,725 | 9,984,975 | (697,250 | ) | ||||||||||||||
| Soybean Meal |
3/13/2020 | 669 | 20,026,000 | 20,384,430 | (358,430 | ) | ||||||||||||||
| Zinc LME |
3/18/2020 | 617 | 34,867,717 | 35,088,019 | (220,302 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | (4,780,649 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
1 Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
See accompanying notes to financial statements.
47 |
Table of Contents
Consolidated Portfolio of Investments – as of December 31, 2019
ASG Managed Futures Strategy Fund – (continued)
Investment Summary at December 31, 2019
| Certificates of Deposit |
67.5 | % | ||
| Time Deposits |
9.2 | |||
| Treasuries |
6.6 | |||
| Commercial Paper |
4.3 | |||
| Other Notes |
4.1 | |||
| Repurchase Agreements |
0.0 | * | ||
|
|
|
|||
| Total Investments |
91.7 | |||
| Other assets less liabilities (including forward foreign currency and futures contracts) |
8.3 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
* Less than 0.1%
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund
| Shares | Description | Value (†) |
||||||
| Common Stocks — 46.5% of Net Assets | ||||||||
| Aerospace & Defense — 1.1% | ||||||||
| 4,601 | Boeing Co. (The) | $ | 1,498,822 | |||||
| 809 | Lockheed Martin Corp. | 315,008 | ||||||
| 1,103 | Northrop Grumman Corp. | 379,399 | ||||||
| 1,375 | United Technologies Corp. | 205,920 | ||||||
|
|
|
|||||||
| 2,399,149 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics — 0.2% | ||||||||
| 729 | FedEx Corp. | 110,232 | ||||||
| 2,364 | United Parcel Service, Inc., Class B | 276,730 | ||||||
|
|
|
|||||||
| 386,962 | ||||||||
|
|
|
|||||||
| Automobiles — 0.1% | ||||||||
| 11,407 | Ford Motor Co. | 106,085 | ||||||
|
|
|
|||||||
| Banks — 2.1% | ||||||||
| 62,599 | Bank of America Corp. | 2,204,737 | ||||||
| 8,377 | Citigroup, Inc. | 669,238 | ||||||
| 9,530 | JPMorgan Chase & Co. | 1,328,482 | ||||||
| 6,031 | Wells Fargo & Co. | 324,468 | ||||||
|
|
|
|||||||
| 4,526,925 | ||||||||
|
|
|
|||||||
| Beverages — 0.7% | ||||||||
| 16,590 | Coca-Cola Co. (The) | 918,256 | ||||||
| 4,465 | PepsiCo, Inc. | 610,232 | ||||||
|
|
|
|||||||
| 1,528,488 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.4% | ||||||||
| 3,256 | Amgen, Inc. | 784,924 | ||||||
|
|
|
|||||||
| Capital Markets — 1.5% | ||||||||
| 1,620 | BlackRock, Inc. | 814,374 | ||||||
| 4,308 | CME Group, Inc. | 864,702 | ||||||
| 1,629 | Moody’s Corp. | 386,741 | ||||||
| 2,069 | MSCI, Inc. | 534,174 | ||||||
| 1,764 | S&P Global, Inc. | 481,660 | ||||||
|
|
|
|||||||
| 3,081,651 | ||||||||
|
|
|
|||||||
| Chemicals — 0.9% | ||||||||
| 1,652 | Air Products & Chemicals, Inc. | 388,204 | ||||||
| 4,320 | CF Industries Holdings, Inc. | 206,237 | ||||||
| 2 | Dow, Inc. | 109 | ||||||
| 1,961 | Ecolab, Inc. | 378,453 | ||||||
| 2,638 | Linde PLC | 561,630 | ||||||
| 1,333 | PPG Industries, Inc. | 177,942 | ||||||
| 418 | Sherwin-Williams Co. (The) | 243,920 | ||||||
|
|
|
|||||||
| 1,956,495 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.7% | ||||||||
| 2,517 | Cintas Corp. | 677,274 | ||||||
| 7,957 | Waste Management, Inc. | 906,780 | ||||||
|
|
|
|||||||
| 1,584,054 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
49 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Communications Equipment — 0.4% | ||||||||
| 19,453 | Cisco Systems, Inc. | $ | 932,966 | |||||
|
|
|
|||||||
| Construction Materials — 0.1% | ||||||||
| 1,041 | Vulcan Materials Co. | 149,894 | ||||||
|
|
|
|||||||
| Containers & Packaging — 0.1% | ||||||||
| 3,265 | Ball Corp. | 211,148 | ||||||
|
|
|
|||||||
| Diversified Financial Services — 1.1% | ||||||||
| 9,913 | Berkshire Hathaway, Inc., Class B(a) | 2,245,294 | ||||||
|
|
|
|||||||
| Diversified Telecommunication Services — 1.0% | ||||||||
| 13,412 | AT&T, Inc. | 524,141 | ||||||
| 27,126 | Verizon Communications, Inc. | 1,665,536 | ||||||
|
|
|
|||||||
| 2,189,677 | ||||||||
|
|
|
|||||||
| Electric Utilities — 0.9% | ||||||||
| 3,056 | Alliant Energy Corp. | 167,224 | ||||||
| 2,699 | American Electric Power Co., Inc. | 255,083 | ||||||
| 3,845 | Duke Energy Corp. | 350,702 | ||||||
| 5,881 | Exelon Corp. | 268,115 | ||||||
| 2,354 | NextEra Energy, Inc. | 570,045 | ||||||
| 8,299 | PPL Corp. | 297,768 | ||||||
|
|
|
|||||||
| 1,908,937 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.2% | ||||||||
| 4,506 | Eaton Corp. PLC | 426,808 | ||||||
|
|
|
|||||||
| Energy Equipment & Services — 0.1% | ||||||||
| 4,893 | Schlumberger Ltd. | 196,699 | ||||||
|
|
|
|||||||
| Entertainment — 1.3% | ||||||||
| 1,567 | Netflix, Inc.(a) | 507,034 | ||||||
| 15,695 | Walt Disney Co. (The) | 2,269,968 | ||||||
|
|
|
|||||||
| 2,777,002 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 1.6% | ||||||||
| 5,413 | Costco Wholesale Corp. | 1,590,989 | ||||||
| 10,320 | Sysco Corp. | 882,773 | ||||||
| 7,485 | Walmart, Inc. | 889,517 | ||||||
|
|
|
|||||||
| 3,363,279 | ||||||||
|
|
|
|||||||
| Food Products — 0.3% | ||||||||
| 1,494 | McCormick & Co., Inc. | 253,577 | ||||||
| 8,150 | Mondelez International, Inc., Class A | 448,902 | ||||||
|
|
|
|||||||
| 702,479 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 1.7% | ||||||||
| 2,297 | Becton Dickinson & Co. | 624,715 | ||||||
| 7,730 | Boston Scientific Corp.(a) | 349,551 | ||||||
| 1,382 | Cooper Cos., Inc. (The) | 444,023 | ||||||
| 7,263 | Danaher Corp. | 1,114,725 | ||||||
| 3,198 | Medtronic PLC | 362,813 | ||||||
| 3,271 | Stryker Corp. | 686,714 | ||||||
|
|
|
|||||||
| 3,582,541 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 50
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Health Care Providers & Services — 1.1% | ||||||||
| 2,234 | Centene Corp.(a) | $ | 140,452 | |||||
| 3,977 | CVS Health Corp. | 295,451 | ||||||
| 4,048 | Quest Diagnostics, Inc. | 432,286 | ||||||
| 5,080 | UnitedHealth Group, Inc. | 1,493,418 | ||||||
|
|
|
|||||||
| 2,361,607 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 0.7% | ||||||||
| 261 | Chipotle Mexican Grill, Inc.(a) | 218,486 | ||||||
| 2,241 | Marriott International, Inc., Class A | 339,354 | ||||||
| 3,316 | McDonald’s Corp. | 655,275 | ||||||
| 1,894 | Royal Caribbean Cruises Ltd. | 252,868 | ||||||
|
|
|
|||||||
| 1,465,983 | ||||||||
|
|
|
|||||||
| Household Durables — 0.2% | ||||||||
| 1,851 | Garmin Ltd. | 180,584 | ||||||
| 6,190 | PulteGroup, Inc. | 240,172 | ||||||
|
|
|
|||||||
| 420,756 | ||||||||
|
|
|
|||||||
| Household Products — 0.9% | ||||||||
| 2,242 | Church & Dwight Co., Inc. | 157,702 | ||||||
| 2,184 | Kimberly-Clark Corp. | 300,409 | ||||||
| 11,547 | Procter & Gamble Co. (The) | 1,442,221 | ||||||
|
|
|
|||||||
| 1,900,332 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.6% | ||||||||
| 1,947 | 3M Co. | 343,490 | ||||||
| 43,179 | General Electric Co. | 481,877 | ||||||
| 2,565 | Honeywell International, Inc. | 454,005 | ||||||
|
|
|
|||||||
| 1,279,372 | ||||||||
|
|
|
|||||||
| Insurance — 1.4% | ||||||||
| 4,030 | Aon PLC | 839,409 | ||||||
| 3,465 | Assurant, Inc. | 454,192 | ||||||
| 5,042 | Chubb Ltd. | 784,838 | ||||||
| 2,017 | Globe Life, Inc. | 212,289 | ||||||
| 2,487 | Lincoln National Corp. | 146,758 | ||||||
| 2,881 | Willis Towers Watson PLC | 581,789 | ||||||
|
|
|
|||||||
| 3,019,275 | ||||||||
|
|
|
|||||||
| Interactive Media & Services — 2.0% | ||||||||
| 979 | Alphabet, Inc., Class A(a) | 1,311,263 | ||||||
| 1,004 | Alphabet, Inc., Class C(a) | 1,342,368 | ||||||
| 7,731 | Facebook, Inc., Class A(a) | 1,586,788 | ||||||
|
|
|
|||||||
| 4,240,419 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 1.8% | ||||||||
| 1,904 | Amazon.com, Inc.(a) | 3,518,287 | ||||||
| 127 | Booking Holdings, Inc.(a) | 260,824 | ||||||
|
|
|
|||||||
| 3,779,111 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
| Shares | Description | Value (†) |
||||||
| IT Services — 1.9% | ||||||||
| 3,160 | Accenture PLC, Class A | $ | 665,401 | |||||
| 2,064 | Akamai Technologies, Inc.(a) | 178,288 | ||||||
| 3,057 | Automatic Data Processing, Inc. | 521,219 | ||||||
| 1,173 | Global Payments, Inc. | 214,143 | ||||||
| 1,028 | International Business Machines Corp. | 137,793 | ||||||
| 1,792 | MasterCard, Inc., Class A | 535,073 | ||||||
| 3,853 | Paychex, Inc. | 327,736 | ||||||
| 7,471 | Visa, Inc., Class A | 1,403,801 | ||||||
|
|
|
|||||||
| 3,983,454 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 1.0% | ||||||||
| 5,015 | Agilent Technologies, Inc. | 427,830 | ||||||
| 4,031 | Thermo Fisher Scientific, Inc. | 1,309,551 | ||||||
| 1,865 | Waters Corp.(a) | 435,757 | ||||||
|
|
|
|||||||
| 2,173,138 | ||||||||
|
|
|
|||||||
| Machinery — 0.8% | ||||||||
| 1,305 | Caterpillar, Inc. | 192,722 | ||||||
| 2,367 | Deere & Co. | 410,106 | ||||||
| 4,003 | Fortive Corp. | 305,789 | ||||||
| 2,761 | Illinois Tool Works, Inc. | 495,959 | ||||||
| 1,527 | Snap-on, Inc. | 258,674 | ||||||
| 231 | Westinghouse Air Brake Technologies Corp. | 17,972 | ||||||
|
|
|
|||||||
| 1,681,222 | ||||||||
|
|
|
|||||||
| Media — 0.4% | ||||||||
| 17,988 | Comcast Corp., Class A | 808,921 | ||||||
| 3,388 | Fox Corp., Class A | 125,593 | ||||||
|
|
|
|||||||
| 934,514 | ||||||||
|
|
|
|||||||
| Multi-Utilities — 0.6% | ||||||||
| 3,336 | CMS Energy Corp. | 209,634 | ||||||
| 7,422 | Consolidated Edison, Inc. | 671,468 | ||||||
| 2,882 | Sempra Energy | 436,566 | ||||||
|
|
|
|||||||
| 1,317,668 | ||||||||
|
|
|
|||||||
| Multiline Retail — 0.3% | ||||||||
| 1,921 | Dollar General Corp. | 299,637 | ||||||
| 2,460 | Target Corp. | 315,397 | ||||||
|
|
|
|||||||
| 615,034 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 1.9% | ||||||||
| 15,664 | Chevron Corp. | 1,887,669 | ||||||
| 8,392 | Exxon Mobil Corp. | 585,594 | ||||||
| 7,341 | Hess Corp. | 490,452 | ||||||
| 5,106 | ONEOK, Inc. | 386,371 | ||||||
| 2,959 | Phillips 66 | 329,662 | ||||||
| 3,420 | Valero Energy Corp. | 320,283 | ||||||
|
|
|
|||||||
| 4,000,031 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 52
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Pharmaceuticals — 2.7% | ||||||||
| 5,582 | Eli Lilly & Co. | $ | 733,642 | |||||
| 12,858 | Johnson & Johnson | 1,875,597 | ||||||
| 20,965 | Merck & Co., Inc. | 1,906,767 | ||||||
| 11,905 | Pfizer, Inc. | 466,438 | ||||||
| 4,958 | Zoetis, Inc. | 656,191 | ||||||
|
|
|
|||||||
| 5,638,635 | ||||||||
|
|
|
|||||||
| Professional Services — 0.2% | ||||||||
| 849 | Equifax, Inc. | 118,962 | ||||||
| 1,529 | Verisk Analytics, Inc. | 228,341 | ||||||
|
|
|
|||||||
| 347,303 | ||||||||
|
|
|
|||||||
| REITs – Apartments — 0.2% | ||||||||
| 2,278 | AvalonBay Communities, Inc. | 477,697 | ||||||
|
|
|
|||||||
| REITs – Diversified — 0.8% | ||||||||
| 4,568 | American Tower Corp. | 1,049,818 | ||||||
| 1,003 | Crown Castle International Corp. | 142,576 | ||||||
| 4,191 | Duke Realty Corp. | 145,302 | ||||||
| 842 | SBA Communications Corp. | 202,913 | ||||||
| 5,773 | Weyerhaeuser Co. | 174,345 | ||||||
|
|
|
|||||||
| 1,714,954 | ||||||||
|
|
|
|||||||
| REITs – Health Care — 0.1% | ||||||||
| 2,314 | Welltower, Inc. | 189,239 | ||||||
|
|
|
|||||||
| REITs – Shopping Centers — 0.0% | ||||||||
| 965 | Regency Centers Corp. | 60,882 | ||||||
|
|
|
|||||||
| REITs – Storage — 0.2% | ||||||||
| 1,563 | Public Storage | 332,856 | ||||||
|
|
|
|||||||
| Road & Rail — 0.4% | ||||||||
| 564 | Norfolk Southern Corp. | 109,489 | ||||||
| 3,588 | Union Pacific Corp. | 648,675 | ||||||
|
|
|
|||||||
| 758,164 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 2.0% | ||||||||
| 2,568 | Analog Devices, Inc. | 305,181 | ||||||
| 2,335 | Broadcom, Inc. | 737,906 | ||||||
| 19,741 | Intel Corp. | 1,181,499 | ||||||
| 1,827 | Lam Research Corp. | 534,215 | ||||||
| 2,583 | NVIDIA Corp. | 607,780 | ||||||
| 8,569 | QUALCOMM, Inc. | 756,043 | ||||||
| 324 | Texas Instruments, Inc. | 41,566 | ||||||
|
|
|
|||||||
| 4,164,190 | ||||||||
|
|
|
|||||||
| Software — 4.3% | ||||||||
| 6,202 | Adobe, Inc.(a) | 2,045,482 | ||||||
| 1,652 | ANSYS, Inc.(a) | 425,241 | ||||||
| 32,382 | Microsoft Corp. | 5,106,641 | ||||||
| 9,722 | salesforce.com, Inc.(a) | 1,581,186 | ||||||
|
|
|
|||||||
| 9,158,550 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
53 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
| Shares | Description | Value (†) |
||||||
| Specialty Retail — 1.1% | ||||||||
| 234 | AutoZone, Inc.(a) | $ | 278,767 | |||||
| 4,422 | Home Depot, Inc. (The) | 965,676 | ||||||
| 4,409 | Lowe’s Cos., Inc. | 528,022 | ||||||
| 601 | O’Reilly Automotive, Inc.(a) | 263,394 | ||||||
| 6,020 | TJX Cos., Inc. (The) | 367,581 | ||||||
|
|
|
|||||||
| 2,403,440 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 1.9% | ||||||||
| 13,769 | Apple, Inc. | 4,043,267 | ||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
| 5,717 | NIKE, Inc., Class B | 579,189 | ||||||
| 2,073 | VF Corp. | 206,595 | ||||||
|
|
|
|||||||
| 785,784 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 0.1% | ||||||||
| 1,104 | United Rentals, Inc.(a) | 184,114 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $64,117,162) |
98,472,448 | |||||||
|
|
|
|||||||
| Exchange-Traded Funds — 9.6% | ||||||||
| 63,319 | SPDR® S&P 500® ETF
Trust (Identified Cost $18,396,880) |
20,379,853 | ||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 42.9% | ||||||||
| Certificates of Deposit — 32.2% | ||||||||
| $ | 5,200,000 | National Bank of Kuwait (NY), 1.810%, 1/02/2020 | 5,200,005 | |||||
| 8,000,000 | Credit Agricole Corporate & Investment Bank (NY), 1.530%, 1/06/2020 | 7,999,845 | ||||||
| 1,000,000 | Landesbank Baden-Wuerttemberg (NY), 1.780%, 1/17/2020 | 1,000,009 | ||||||
| 2,000,000 | Landesbank Baden-Wuerttemberg (NY), 1.900%, 1/21/2020 | 2,000,109 | ||||||
| 5,000,000 | Landesbank Hessen (NY), 1.810%, 2/06/2020 | 5,000,968 | ||||||
| 2,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 2.000%, 2/06/2020 | 2,000,187 | ||||||
| 4,000,000 | Sumitomo Mitsui Banking Corp. (NY), 2.010%, 2/10/2020 | 4,001,386 | ||||||
| 2,000,000 | Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR + 0.230%, 1.971%, 2/13/2020(b) | 2,000,460 | ||||||
| 3,000,000 | Credit Industriel et Commercial (NY), 1.800%, 2/14/2020(c) | 3,000,281 | ||||||
| 5,000,000 | Norinchukin Bank (NY), 1.870%, 2/20/2020 | 5,000,186 | ||||||
| 5,000,000 | Bank of Montreal (IL), 1.950%, 2/28/2020 | 5,000,396 | ||||||
| 4,000,000 | Sumitomo Mitsui Trust Bank (NY), 1.890%, 3/09/2020 | 3,999,897 | ||||||
| 5,000,000 | Bank of Nova Scotia (TX), 2.000%, 3/10/2020(c) | 5,001,537 | ||||||
| 1,000,000 | DZ Bank (NY), 1.870%, 3/27/2020(c) | 999,976 | ||||||
| 2,000,000 | Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.200%, 1.964%, 4/20/2020(b) | 1,999,720 | ||||||
| 1,000,000 | Svenska Handelsbanken (NY), 1-month LIBOR + 0.190%, 1.935%, 5/18/2020(b)(c) | 999,989 | ||||||
| 2,000,000 | National Australia Bank (NY), 1-month LIBOR + 0.150%, 1.915%, 5/20/2020(b)(c) | 1,999,677 | ||||||
| 3,000,000 | Nordea Bank ABP (NY), 3-month LIBOR + 0.060%, 1.948%, 6/11/2020(b) | 2,999,993 | ||||||
| 1,000,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 1.916%, 6/12/2020(b)(c) | 999,870 | ||||||
| 3,000,000 | Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 1.925%, 7/10/2020(b)(c) | 2,999,661 | ||||||
| 4,000,000 | Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 2.075%, 10/20/2020(b)(c) | 4,001,054 | ||||||
|
|
|
|||||||
| 68,205,206 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 54
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Time Deposits — 3.8% | ||||||||
| $ | 8,000,000 | Canadian Imperial Bank of Commerce, 1.500%, 1/02/2020 | $ | 8,000,000 | ||||
|
|
|
|||||||
| Commercial Paper — 2.1% | ||||||||
| 2,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.804%, 1/22/2020(d) | 1,997,784 | ||||||
| 2,500,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.853%, 1/15/2020(d) | 2,498,146 | ||||||
|
|
|
|||||||
| 4,495,930 | ||||||||
|
|
|
|||||||
| Treasuries — 2.7% | ||||||||
| 2,000,000 | U.S. Treasury Bills, 1.500%, 1/09/2020(d)(e) | 1,999,453 | ||||||
| 2,550,000 | U.S. Treasury Bills, 1.510%, 3/05/2020(d)(e) | 2,543,295 | ||||||
| 1,200,000 | U.S. Treasury Bills, 1.515%, 2/06/2020(d)(e) | 1,198,262 | ||||||
|
|
|
|||||||
| 5,741,010 | ||||||||
|
|
|
|||||||
| Other Notes — 1.9% | ||||||||
| 2,000,000 | Bank of America NA, 1.840%, 6/15/2020 | 1,999,901 | ||||||
| 2,000,000 | Bank of America NA, 2.020%, 1/09/2020(c) | 2,000,259 | ||||||
|
|
|
|||||||
| 4,000,160 | ||||||||
|
|
|
|||||||
| Repurchase Agreement — 0.2% | ||||||||
| 290,539 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $290,553 on 1/02/2020 collateralized by $290,000 U.S. Treasury Note, 2.75% due 9/15/2021 valued at $297,889 including accrued interest (Note 2 of Notes to Financial Statements) | 290,539 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $90,727,573) |
90,732,845 | |||||||
|
|
|
|||||||
| Total Investments — 99.0% (Identified Cost $173,241,615) |
209,585,146 | |||||||
| Other assets less liabilities — 1.0% | 2,173,382 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 211,758,528 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
| (b) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
| ||||||
| (c) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
| (d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| ||||||
| (e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| ETF | Exchange-Traded Fund |
| ||||||
| LIBOR | London Interbank Offered Rate |
| ||||||
| REITs | Real Estate Investment Trusts |
| ||||||
| SPDR® | Standard & Poor’s Depositary Receipt |
| ||||||
See accompanying notes to financial statements.
55 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
ASG Tactical U.S. Market Fund – (continued)
At December 31, 2019, open long futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| E-mini S&P 500® |
3/20/2020 | 952 | $ | 149,311,577 | $ | 153,800,360 | $ | 4,488,783 | ||||||||||||
|
|
|
|||||||||||||||||||
Industry Summary at December 31, 2019
| Software |
4.3 | % | ||
| Pharmaceuticals |
2.7 | |||
| Banks |
2.1 | |||
| Interactive Media & Services |
2.0 | |||
| Semiconductors & Semiconductor Equipment |
2.0 | |||
| Other Investments, less than 2% each |
33.4 | |||
| Short-Term Investments |
42.9 | |||
| Exchange-Traded Funds |
9.6 | |||
|
|
|
|||
| Total Investments |
99.0 | |||
| Other assets less liabilities (including futures contracts) |
1.0 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
| 56
Table of Contents
Statements of Assets and Liabilities
December 31, 2019
| ASG Dynamic Allocation Fund |
ASG Global Alternatives Fund (Consolidated*) |
ASG Managed Futures Strategy Fund (Consolidated*) |
||||||||||
| ASSETS |
||||||||||||
| Investments at cost |
$ | 41,037,188 | $ | 767,859,362 | $ | 1,443,789,332 | ||||||
| Net unrealized appreciation |
2,237,059 | 14,181,829 | 87,058 | |||||||||
|
|
|
|
|
|
|
|||||||
| Investments at value |
43,274,247 | 782,041,191 | 1,443,876,390 | |||||||||
| Cash |
— | 13,797,086 | 40,448,785 | |||||||||
| Due from brokers (including variation margin on futures contracts) (Note 2) |
543,300 | 22,601,683 | 93,529,326 | |||||||||
| Receivable for Fund shares sold |
64,749 | 1,582,848 | 5,108,269 | |||||||||
| Receivable for securities sold |
— | 403,142 | — | |||||||||
| Dividends and interest receivable |
28,726 | 1,422,157 | 3,022,808 | |||||||||
| Unrealized appreciation on forward foreign currency contracts (Note 2) |
— | 462,456 | 13,560,186 | |||||||||
| Unrealized appreciation on futures contracts (Note 2) |
692,884 | 11,167,137 | 41,527,718 | |||||||||
| Prepaid expenses (Note 8) |
1 | 51 | 79 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL ASSETS |
44,603,907 | 833,477,751 | 1,641,073,561 | |||||||||
|
|
|
|
|
|
|
|||||||
| LIABILITIES |
||||||||||||
| Payable for securities purchased |
— | 627,047 | — | |||||||||
| Payable for Fund shares redeemed |
7,708 | 1,360,530 | 3,758,539 | |||||||||
| Unrealized depreciation on forward foreign currency contracts (Note 2) |
— | 1,719,946 | 16,733,541 | |||||||||
| Due to brokers (including variation margin on futures contracts) (Note 2) |
169,739 | — | 13,238,997 | |||||||||
| Unrealized depreciation on futures contracts (Note 2) |
147,172 | 6,562,716 | 30,984,323 | |||||||||
| Management fees payable (Note 6) |
15,134 | 804,007 | 1,575,687 | |||||||||
| Deferred Trustees’ fees (Note 6) |
23,759 | 253,989 | 234,195 | |||||||||
| Administrative fees payable (Note 6) |
1,621 | 54,604 | 111,991 | |||||||||
| Payable to distributor (Note 6d) |
798 | 5,717 | 22,639 | |||||||||
| Other accounts payable and accrued expenses |
77,115 | 166,589 | 502,976 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL LIABILITIES |
443,046 | 11,555,145 | 67,162,888 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 44,160,861 | $ | 821,922,606 | $ | 1,573,910,673 | ||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS CONSIST OF: |
||||||||||||
| Paid-in capital |
$ | 41,303,338 | $ | 876,412,842 | $ | 1,739,572,848 | ||||||
| Accumulated earnings (loss) |
2,857,523 | (54,490,236 | ) | (165,662,175 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 44,160,861 | $ | 821,922,606 | $ | 1,573,910,673 | ||||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements.
57 |
Table of Contents
Statements of Assets and Liabilities (continued)
December 31, 2019
| ASG Dynamic Allocation Fund |
ASG Global Alternatives Fund (Consolidated*) |
ASG Managed Futures Strategy Fund (Consolidated*) |
||||||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||
| Class A shares: |
||||||||||||
| Net assets |
$ | 422,678 | $ | 25,341,124 | $ | 222,058,512 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
38,140 | 2,265,994 | 23,969,844 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and redemption price per share |
$ | 11.08 | $ | 11.18 | $ | 9.26 | ||||||
|
|
|
|
|
|
|
|||||||
| Offering price per share (100/94.25 of net asset value) (Note 1) |
$ | 11.76 | $ | 11.86 | $ | 9.82 | ||||||
|
|
|
|
|
|
|
|||||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||
| Net assets |
$ | 26,606 | $ | 11,171,155 | $ | 21,621,288 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
2,418 | 1,065,981 | 2,461,178 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and offering price per share |
$ | 11.00 | $ | 10.48 | $ | 8.78 | ||||||
|
|
|
|
|
|
|
|||||||
| Class N shares: |
||||||||||||
| Net assets |
$ | — | $ | 526,085 | $ | 117,257,861 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
— | 46,357 | 12,503,275 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, offering and redemption price per share |
$ | — | $ | 11.35 | $ | 9.38 | ||||||
|
|
|
|
|
|
|
|||||||
| Class Y shares: |
||||||||||||
| Net assets |
$ | 43,711,577 | $ | 784,884,242 | $ | 1,212,973,012 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
3,935,374 | 69,066,918 | 129,562,725 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, offering and redemption price per share |
$ | 11.11 | $ | 11.36 | $ | 9.36 | ||||||
|
|
|
|
|
|
|
|||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
| 58
Table of Contents
Statements of Assets and Liabilities (continued)
December 31, 2019
| ASG Tactical U.S. Market Fund |
||||
| ASSETS |
||||
| Investments at cost |
$ | 173,241,615 | ||
| Net unrealized appreciation |
36,343,531 | |||
|
|
|
|||
| Investments at value |
209,585,146 | |||
| Cash |
349,739 | |||
| Receivable for Fund shares sold |
303,102 | |||
| Dividends and interest receivable |
348,933 | |||
| Unrealized appreciation on futures contracts (Note 2) |
4,488,783 | |||
| Prepaid expenses (Note 8) |
7 | |||
|
|
|
|||
| TOTAL ASSETS |
215,075,710 | |||
|
|
|
|||
| LIABILITIES |
||||
| Payable for Fund shares redeemed |
59,813 | |||
| Due to brokers (including variation margin on futures contracts) (Note 2) |
2,978,371 | |||
| Management fees payable (Note 6) |
144,339 | |||
| Deferred Trustees’ fees (Note 6) |
52,949 | |||
| Administrative fees payable (Note 6) |
8,012 | |||
| Payable to distributor (Note 6d) |
2,664 | |||
| Other accounts payable and accrued expenses |
71,034 | |||
|
|
|
|||
| TOTAL LIABILITIES |
3,317,182 | |||
|
|
|
|||
| NET ASSETS |
$ | 211,758,528 | ||
|
|
|
|||
| NET ASSETS CONSIST OF: |
||||
| Paid-in capital |
$ | 171,550,511 | ||
| Accumulated earnings |
40,208,017 | |||
|
|
|
|||
| NET ASSETS |
$ | 211,758,528 | ||
|
|
|
|||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||
| Class A shares: |
||||
| Net assets |
$ | 22,523,820 | ||
|
|
|
|||
| Shares of beneficial interest |
1,393,382 | |||
|
|
|
|||
| Net asset value and redemption price per share |
$ | 16.16 | ||
|
|
|
|||
| Offering price per share (100/94.25 of net asset value) (Note 1) |
$ | 17.15 | ||
|
|
|
|||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||
| Net assets |
$ | 3,060,228 | ||
|
|
|
|||
| Shares of beneficial interest |
195,239 | |||
|
|
|
|||
| Net asset value and offering price per share |
$ | 15.67 | ||
|
|
|
|||
| Class Y shares: |
||||
| Net assets |
$ | 186,174,480 | ||
|
|
|
|||
| Shares of beneficial interest |
11,485,269 | |||
|
|
|
|||
| Net asset value, offering and redemption price per share |
$ | 16.21 | ||
|
|
|
|||
See accompanying notes to financial statements.
59 |
Table of Contents
Statements of Operations
For the Year Ended December 31, 2019
| ASG Dynamic Allocation Fund |
ASG Global Alternatives Fund (Consolidated*) |
ASG Managed Futures Strategy Fund (Consolidated*) |
||||||||||
| INVESTMENT INCOME |
||||||||||||
| Interest |
$ | 493,858 | $ | 19,141,821 | $ | 39,639,452 | ||||||
| Dividends |
588,578 | 7,419,525 | — | |||||||||
| Less net foreign taxes withheld |
— | (7,142 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
| 1,082,436 | 26,554,204 | 39,639,452 | ||||||||||
|
|
|
|
|
|
|
|||||||
| Expenses |
||||||||||||
| Management fees (Note 6) |
286,868 | 12,099,144 | 22,460,865 | |||||||||
| Service and distribution fees (Note 6) |
1,170 | 206,575 | 787,430 | |||||||||
| Administrative fees (Note 6) |
18,045 | 554,301 | 970,234 | |||||||||
| Trustees’ and directors’ fees and expenses (Note 6) |
18,857 | 89,354 | 112,818 | |||||||||
| Transfer agent fees and expenses (Notes 6 and 7) |
65,468 | 702,291 | 2,938,378 | |||||||||
| Audit and tax services fees |
59,153 | 114,756 | 75,683 | |||||||||
| Custodian fees and expenses |
12,319 | 106,078 | 371,357 | |||||||||
| Legal fees (Note 8) |
1,108 | 31,731 | 49,179 | |||||||||
| Registration fees |
57,487 | 81,800 | 151,390 | |||||||||
| Shareholder reporting expenses |
9,240 | 43,259 | 169,107 | |||||||||
| Miscellaneous expenses (Note 8) |
31,063 | 66,862 | 100,178 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total expenses |
560,778 | 14,096,151 | 28,186,619 | |||||||||
| Less waiver and/or expense reimbursement (Note 6) |
(190,778 | ) | (321,281 | ) | (1,431,185 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net expenses |
370,000 | 13,774,870 | 26,755,434 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net investment income |
712,436 | 12,779,334 | 12,884,018 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||||||
| Net realized gain (loss) on: |
||||||||||||
| Investments |
259,980 | 9,400,258 | 1,376 | |||||||||
| Futures contracts |
2,944,762 | 38,220,765 | 190,529,428 | |||||||||
| Swap agreements |
— | (501,635 | ) | — | ||||||||
| Forward foreign currency contracts (Note 2e) |
— | (178,036 | ) | (17,855,210 | ) | |||||||
| Foreign currency transactions (Note 2d) |
(12,011 | ) | (215,416 | ) | 16,407 | |||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||||||
| Investments |
2,153,582 | 29,856,569 | 123,157 | |||||||||
| Futures contracts |
421,644 | 17,158,398 | (45,566,573 | ) | ||||||||
| Forward foreign currency contracts (Note 2e) |
— | (2,588,885 | ) | (835,664 | ) | |||||||
| Foreign currency translations (Note 2d) |
1,359 | 114,618 | (57,590 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Net realized and unrealized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions |
5,769,316 | 91,266,636 | 126,355,331 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 6,481,752 | $ | 104,045,970 | $ | 139,239,349 | ||||||
|
|
|
|
|
|
|
|||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
| 60
Table of Contents
Statements of Operations (continued)
For the Year Ended December 31, 2019
| ASG Tactical U.S. Market Fund |
||||
| INVESTMENT INCOME |
||||
| Interest |
$ | 1,805,725 | ||
| Dividends |
1,890,832 | |||
|
|
|
|||
| 3,696,557 | ||||
|
|
|
|||
| Expenses |
||||
| Management fees (Note 6) |
1,488,771 | |||
| Service and distribution fees (Note 6) |
85,656 | |||
| Administrative fees (Note 6) |
81,850 | |||
| Trustees’ fees and expenses (Note 6) |
26,222 | |||
| Transfer agent fees and expenses (Notes 6 and 7) |
181,822 | |||
| Audit and tax services fees |
42,645 | |||
| Custodian fees and expenses |
17,376 | |||
| Legal fees (Note 8) |
4,720 | |||
| Registration fees |
67,411 | |||
| Shareholder reporting expenses |
13,383 | |||
| Miscellaneous expenses (Note 8) |
28,707 | |||
|
|
|
|||
| Total expenses |
2,038,563 | |||
| Less waiver and/or expense reimbursement (Note 6) |
(110,553 | ) | ||
|
|
|
|||
| Net expenses |
1,928,010 | |||
|
|
|
|||
| Net investment income |
1,768,547 | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS |
||||
| Net realized gain on: |
||||
| Investments |
702,096 | |||
| Futures contracts |
6,156,396 | |||
| Net change in unrealized appreciation (depreciation) on: |
||||
| Investments |
25,289,348 | |||
| Futures contracts |
5,802,226 | |||
|
|
|
|||
| Net realized and unrealized gain on investments and futures contracts |
37,950,066 | |||
|
|
|
|||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 39,718,613 | ||
|
|
|
|||
See accompanying notes to financial statements.
61 |
Table of Contents
Statements of Changes in Net Assets
| ASG Dynamic Allocation Fund |
ASG Global Alternatives Fund (Consolidated*) |
|||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||
| FROM OPERATIONS: |
||||||||||||||||
| Net investment income |
$ | 712,436 | $ | 585,078 | $ | 12,779,334 | $ | 11,637,317 | ||||||||
| Net realized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions |
3,192,731 | (2,583,625 | ) | 46,725,936 | (32,666,753 | ) | ||||||||||
| Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations |
2,576,585 | (1,953,716 | ) | 44,540,700 | (55,650,812 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets resulting from operations |
6,481,752 | (3,952,263 | ) | 104,045,970 | (76,680,248 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
(8,974 | ) | (8,397 | ) | (228,062 | ) | (360,700 | ) | ||||||||
| Class C |
(421 | ) | (1,104 | ) | (8,948 | ) | (34,318 | ) | ||||||||
| Class N |
— | — | (6,327 | ) | (202,207 | ) | ||||||||||
| Class Y |
(1,018,840 | ) | (1,414,283 | ) | (9,035,275 | ) | (15,628,566 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions |
(1,028,235 | ) | (1,423,784 | ) | (9,278,612 | ) | (16,225,791 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
415,711 | 3,947,444 | (468,465,733 | ) | (355,923,631 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets |
5,869,228 | (1,428,603 | ) | (373,698,375 | ) | (448,829,670 | ) | |||||||||
| NET ASSETS |
||||||||||||||||
| Beginning of the year |
38,291,633 | 39,720,236 | 1,195,620,981 | 1,644,450,651 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of the year |
$ | 44,160,861 | $ | 38,291,633 | $ | 821,922,606 | $ | 1,195,620,981 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
| 62
Table of Contents
Statements of Changes in Net Assets (continued)
| ASG Managed Futures Strategy Fund (Consolidated*) |
ASG Tactical U.S. Market Fund |
|||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||||||||
| FROM OPERATIONS: |
||||||||||||||||
| Net investment income |
$ | 12,884,018 | $ | 13,799,562 | $ | 1,768,547 | $ | 1,372,784 | ||||||||
| Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions |
172,692,001 | (418,341,848 | ) | 6,858,492 | (6,362,767 | ) | ||||||||||
| Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations |
(46,336,670 | ) | (6,536,453 | ) | 31,091,574 | (4,602,653 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets resulting from operations |
139,239,349 | (411,078,739 | ) | 39,718,613 | (9,592,636 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
(10,061,550 | ) | (2,716,878 | ) | (145,350 | ) | (981,219 | ) | ||||||||
| Class C |
(839,596 | ) | (613,754 | ) | — | (49,251 | ) | |||||||||
| Class N |
(5,760,322 | ) | (127,823 | ) | — | — | ||||||||||
| Class Y |
(57,921,320 | ) | (34,974,523 | ) | (1,645,603 | ) | (3,351,345 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions |
(74,582,788 | ) | (38,432,978 | ) | (1,790,953 | ) | (4,381,815 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
(559,082,083 | ) | (938,960,031 | ) | 30,755,618 | 53,688,562 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets |
(494,425,522 | ) | (1,388,471,748 | ) | 68,683,278 | 39,714,111 | ||||||||||
| NET ASSETS |
||||||||||||||||
| Beginning of the year |
2,068,336,195 | 3,456,807,943 | 143,075,250 | 103,361,139 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of the year |
$ | 1,573,910,673 | $ | 2,068,336,195 | $ | 211,758,528 | $ | 143,075,250 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
63 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
| ASG Dynamic Allocation Fund—Class A |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Period Ended December 31, 2015* |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.71 | $ | 11.10 | $ | 10.08 | $ | 9.86 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.16 | 0.14 | 0.10 | 0.03 | 0.01 | |||||||||||||||
| Net realized and unrealized gain (loss) |
1.45 | (1.19 | ) | 1.99 | 0.21 | (0.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.61 | (1.05 | ) | 2.09 | 0.24 | (0.13 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.24 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.01 | ) | ||||||||||
| Net realized capital gains |
— | (0.21 | ) | (1.00 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.24 | ) | (0.34 | ) | (1.07 | ) | (0.02 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 11.08 | $ | 9.71 | $ | 11.10 | $ | 10.08 | $ | 9.86 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b)(c) |
16.59 | % | (9.61 | )% | 20.79 | % | 2.41 | % | (1.28 | )%(d) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 423 | $ | 323 | $ | 134 | $ | 29 | $ | 1 | ||||||||||
| Net expenses(e) |
1.15 | % | 1.15 | % | 1.17 | %(f) | 1.17 | %(g) | 1.15 | %(h) | ||||||||||
| Gross expenses |
1.62 | % | 1.62 | % | 1.74 | %(f) | 1.80 | %(g) | 3.96 | %(h) | ||||||||||
| Net investment income |
1.50 | % | 1.31 | % | 0.90 | % | 0.31 | % | 1.19 | %(h) | ||||||||||
| Portfolio turnover rate |
23 | % | 46 | % | 8 | % | 115 | %(i) | 11 | % | ||||||||||
| * | From commencement of operations on November 30, 2015 through December 31, 2015. |
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | A sales charge for Class A shares is not reflected in total return calculations. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | 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) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.72%. |
| (g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.78%. |
| (h) | Computed on an annualized basis for periods less than one year. |
| (i) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy. |
See accompanying notes to financial statements.
| 64
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Dynamic Allocation Fund—Class C |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Period Ended December 31, 2015* |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.66 | $ | 10.99 | $ | 10.01 | $ | 9.85 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.08 | 0.04 | (0.00 | )(b) | (0.07 | ) | (0.00 | )(b) | ||||||||||||
| Net realized and unrealized gain (loss) |
1.44 | (1.16 | ) | 1.99 | 0.23 | (0.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.52 | (1.12 | ) | 1.99 | 0.16 | (0.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.18 | ) | (0.00 | )(b) | (0.01 | ) | (0.00 | )(b) | (0.01 | ) | ||||||||||
| Net realized capital gains |
— | (0.21 | ) | (1.00 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.18 | ) | (0.21 | ) | (1.01 | ) | (0.00 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 11.00 | $ | 9.66 | $ | 10.99 | $ | 10.01 | $ | 9.85 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c)(d) |
15.75 | % | (10.30 | )% | 19.92 | % | 1.63 | % | (1.37 | )%(e) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 27 | $ | 14 | $ | 15 | $ | 9 | $ | 8 | ||||||||||
| Net expenses(f) |
1.90 | % | 1.90 | % | 1.92 | %(g) | 1.91 | %(h) | 1.90 | %(i) | ||||||||||
| Gross expenses |
2.38 | % | 2.34 | % | 2.49 | %(g) | 2.51 | %(h) | 4.72 | %(i) | ||||||||||
| Net investment income (loss) |
0.81 | % | 0.37 | % | (0.02 | )% | (0.75 | )% | (0.16 | )%(i) | ||||||||||
| Portfolio turnover rate |
23 | % | 46 | % | 8 | % | 115 | %(j) | 11 | % | ||||||||||
| * | From commencement of operations on November 30, 2015 through December 31, 2015. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Amount rounds to less than $0.01 per share. |
| (c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| (d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) | Periods less than one year are not annualized. |
| (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 interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.47%. |
| (h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.50%. |
| (i) | Computed on an annualized basis for periods less than one year. |
| (j) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy. |
See accompanying notes to financial statements.
65 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Dynamic Allocation Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Period Ended December 31, 2015* |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.73 | $ | 11.12 | $ | 10.09 | $ | 9.86 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.18 | 0.15 | 0.11 | 0.03 | 0.01 | |||||||||||||||
| Net realized and unrealized gain (loss) |
1.46 | (1.18 | ) | 2.01 | 0.23 | (0.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.64 | (1.03 | ) | 2.12 | 0.26 | (0.13 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.26 | ) | (0.15 | ) | (0.09 | ) | (0.03 | ) | (0.01 | ) | ||||||||||
| Net realized capital gains |
— | (0.21 | ) | (1.00 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.26 | ) | (0.36 | ) | (1.09 | ) | (0.03 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 11.11 | $ | 9.73 | $ | 11.12 | $ | 10.09 | $ | 9.86 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b) |
16.82 | % | (9.39 | )% | 21.19 | % | 2.57 | % | (1.26 | )%(c) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 43,712 | $ | 37,955 | $ | 39,571 | $ | 22,334 | $ | 20,095 | ||||||||||
| Net expenses(d) |
0.90 | % | 0.90 | % | 0.92 | %(e) | 0.91 | %(f) | 0.90 | %(g) | ||||||||||
| Gross expenses |
1.37 | % | 1.35 | % | 1.50 | %(e) | 1.54 | %(f) | 3.72 | %(g) | ||||||||||
| Net investment income |
1.74 | % | 1.41 | % | 0.95 | % | 0.32 | % | 1.39 | %(g) | ||||||||||
| Portfolio turnover rate |
23 | % | 46 | % | 8 | % | 115 | %(h) | 11 | % | ||||||||||
| * | From commencement of operations on November 30, 2015 through December 31, 2015. |
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | 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) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.48%. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.53%. |
| (g) | Computed on an annualized basis for periods less than one year. |
| (h) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy. |
See accompanying notes to financial statements.
| 66
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Global Alternatives Fund (Consolidated*)—Class A | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 10.24 | $ | 11.04 | $ | 10.02 | $ | 10.48 | $ | 11.12 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.11 | 0.06 | (0.03 | ) | (0.09 | ) | (0.14 | ) | ||||||||||||
| Net realized and unrealized gain (loss) |
0.93 | (0.75 | ) | 1.10 | (0.37 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.04 | (0.69 | ) | 1.07 | (0.46 | ) | (0.26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.10 | ) | (0.11 | ) | (0.05 | ) | — | — | ||||||||||||
| Net realized capital gains |
— | — | — | — | (0.38 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.10 | ) | (0.11 | ) | (0.05 | ) | — | (0.38 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 11.18 | $ | 10.24 | $ | 11.04 | $ | 10.02 | $ | 10.48 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b) |
10.26 | %(c) | (6.35 | )%(c) | 10.66 | % | (4.39 | )% | (2.69 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 25,341 | $ | 33,649 | $ | 49,904 | $ | 76,207 | $ | 224,951 | ||||||||||
| Net expenses |
1.54 | %(d) | 1.54 | %(d) | 1.57 | %(e)(f) | 1.56 | %(g) | 1.53 | %(h) | ||||||||||
| Gross expenses |
1.57 | % | 1.55 | % | 1.57 | %(f) | 1.56 | %(g) | 1.53 | %(h) | ||||||||||
| Net investment income (loss) |
0.97 | % | 0.58 | % | (0.26 | )% | (0.93 | )% | (1.27 | )% | ||||||||||
| Portfolio turnover rate(i) |
125 | % | 59 | % | — | % | — | % | — | % | ||||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | 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) | 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) | Effective July 1, 2017, the expense limit decreased from 1.60% to 1.54%. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.55% and the ratio of gross expenses would have been 1.56%. |
| (g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.54% and the ratio of gross expenses would have been 1.54%. |
| (h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.52% and the ratio of gross expenses would have been 1.52%. |
| (i) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
See accompanying notes to financial statements.
67 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Global Alternatives Fund (Consolidated*)—Class C | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.59 | $ | 10.33 | $ | 9.40 | $ | 9.91 | $ | 10.61 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.02 | (0.02 | ) | (0.10 | ) | (0.15 | ) | (0.21 | ) | |||||||||||
| Net realized and unrealized gain (loss) |
0.88 | (0.70 | ) | 1.03 | (0.36 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.90 | (0.72 | ) | 0.93 | (0.51 | ) | (0.32 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.01 | ) | (0.02 | ) | — | — | — | |||||||||||||
| Net realized capital gains |
— | — | — | — | (0.38 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.01 | ) | (0.02 | ) | — | — | (0.38 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 10.48 | $ | 9.59 | $ | 10.33 | $ | 9.40 | $ | 9.91 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b) |
9.48 | %(c) | (7.09 | )%(c) | 9.89 | % | (5.15 | )% | (3.40 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 11,171 | $ | 15,537 | $ | 24,521 | $ | 38,412 | $ | 95,885 | ||||||||||
| Net expenses |
2.29 | %(d) | 2.29 | %(d) | 2.32 | %(e)(f) | 2.31 | %(g) | 2.28 | %(h) | ||||||||||
| Gross expenses |
2.32 | % | 2.30 | % | 2.32 | %(f) | 2.31 | %(g) | 2.28 | %(h) | ||||||||||
| Net investment income (loss) |
0.23 | % | (0.17 | )% | (1.00 | )% | (1.68 | )% | (2.03 | )% | ||||||||||
| Portfolio turnover rate(i) |
125 | % | 59 | % | — | % | — | % | — | % | ||||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | 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) | 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) | Effective July 1, 2017, the expense limit decreased from 2.35% to 2.29%. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.30% and the ratio of gross expenses would have been 2.31%. |
| (g) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.29% and the ratio of gross expenses would have been 2.29%. |
| (h) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.26% and the ratio of gross expenses would have been 2.26%. |
| (i) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
See accompanying notes to financial statements.
| 68
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Global Alternatives Fund (Consolidated*)—Class N | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 10.40 | $ | 11.22 | $ | 10.19 | $ | 10.63 | $ | 11.24 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.15 | 0.10 | 0.01 | (0.06 | ) | (0.11 | ) | |||||||||||||
| Net realized and unrealized gain (loss) |
0.94 | (0.77 | ) | 1.11 | (0.38 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.09 | (0.67 | ) | 1.12 | (0.44 | ) | (0.23 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.14 | ) | (0.15 | ) | (0.09 | ) | — | — | ||||||||||||
| Net realized capital gains |
— | — | — | — | (0.38 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.14 | ) | (0.15 | ) | (0.09 | ) | — | (0.38 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 11.35 | $ | 10.40 | $ | 11.22 | $ | 10.19 | $ | 10.63 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
10.48 | %(b) | (6.08 | )%(b) | 10.98 | % | (4.05 | )% | (2.48 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 526 | $ | 14,377 | $ | 10,376 | $ | 9,639 | $ | 10,476 | ||||||||||
| Net expenses |
1.24 | %(c) | 1.24 | %(c) | 1.26 | %(d)(e) | 1.24 | %(f) | 1.23 | %(g) | ||||||||||
| Gross expenses |
1.26 | % | 1.25 | % | 1.26 | %(e) | 1.24 | %(f) | 1.23 | %(g) | ||||||||||
| Net investment income (loss) |
1.38 | % | 0.94 | % | 0.09 | % | (0.56 | )% | (0.97 | )% | ||||||||||
| Portfolio turnover rate(h) |
125 | % | 59 | % | — | % | — | % | — | % | ||||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (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) | Effective July 1, 2017, the expense limit decreased from 1.30% to 1.24%. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.24%. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.22% and the ratio of gross expenses would have been 1.22%. |
| (g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.21% and the ratio of gross expenses would have been 1.21%. |
| (h) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
See accompanying notes to financial statements.
69 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Global Alternatives Fund (Consolidated*)—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 10.40 | $ | 11.22 | $ | 10.19 | $ | 10.64 | $ | 11.25 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.14 | 0.09 | 0.00 | (b) | (0.07 | ) | (0.12 | ) | ||||||||||||
| Net realized and unrealized gain (loss) |
0.95 | (0.77 | ) | 1.11 | (0.38 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.09 | (0.68 | ) | 1.11 | (0.45 | ) | (0.23 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.13 | ) | (0.14 | ) | (0.08 | ) | — | — | ||||||||||||
| Net realized capital gains |
— | — | — | — | (0.38 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.13 | ) | (0.14 | ) | (0.08 | ) | — | (0.38 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 11.36 | $ | 10.40 | $ | 11.22 | $ | 10.19 | $ | 10.64 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
10.49 | %(c) | (6.04 | )%(c) | 10.93 | % | (4.23 | )% | (2.38 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 784,884 | $ | 1,132,058 | $ | 1,559,650 | $ | 1,504,641 | $ | 3,344,101 | ||||||||||
| Net expenses |
1.29 | %(d) | 1.29 | %(d) | 1.32 | %(e)(f) | 1.31 | %(g) | 1.28 | %(h) | ||||||||||
| Gross expenses |
1.32 | % | 1.30 | % | 1.32 | %(f) | 1.31 | %(g) | 1.28 | %(h) | ||||||||||
| Net investment income (loss) |
1.23 | % | 0.85 | % | 0.02 | % | (0.67 | )% | (1.03 | )% | ||||||||||
| Portfolio turnover rate(i) |
125 | % | 59 | % | — | % | — | % | — | % | ||||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Amount rounds to less than $0.01 per share. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2017, the expense limit decreased from 1.35% to 1.29%. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 1.31%. |
| (g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 1.29%. |
| (h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.26% and the ratio of gross expenses would have been 1.26%. |
| (i) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
See accompanying notes to financial statements.
| 70
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Managed Futures Strategy Fund (Consolidated*)—Class A | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 8.97 | $ | 10.38 | $ | 9.78 | $ | 10.37 | $ | 10.98 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.04 | 0.02 | (0.06 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||
| Net realized and unrealized gain (loss) |
0.69 | (1.31 | ) | 0.66 | (0.47 | ) | 0.06 | (b) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.73 | (1.29 | ) | 0.60 | (0.59 | ) | (0.10 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.44 | ) | — | — | — | (0.22 | ) | |||||||||||||
| Net realized capital gains |
— | (0.12 | ) | — | — | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.44 | ) | (0.12 | ) | — | — | (0.51 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 9.26 | $ | 8.97 | $ | 10.38 | $ | 9.78 | $ | 10.37 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c) |
8.09 | %(d) | (12.55 | )% | 6.13 | % | (5.69 | )%(d) | (1.38 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 222,059 | $ | 133,996 | $ | 299,505 | $ | 463,235 | $ | 486,160 | ||||||||||
| Net expenses |
1.70 | %(e) | 1.70 | % | 1.75 | %(f)(g) | 1.74 | %(e)(h) | 1.73 | %(f)(i) | ||||||||||
| Gross expenses |
1.79 | % | 1.70 | % | 1.75 | %(f)(g) | 1.75 | %(h) | 1.73 | %(f)(i) | ||||||||||
| Net investment income (loss) |
0.47 | % | 0.21 | % | (0.61 | )% | (1.11 | )% | (1.48 | )% | ||||||||||
| Portfolio turnover rate(j) |
— | % | — | % | — | % | — | % | — | % | ||||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
| (c) | A sales charge for Class A shares is not reflected in total return calculations. |
| (d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.70%. |
| (g) | Includes fee/expense recovery of 0.01%. |
| (h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.71%. |
| (i) | Includes fee/expense recovery of less than 0.01%. |
| (j) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to financial statements.
71 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Managed Futures Strategy Fund (Consolidated*)—Class C | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 8.51 | $ | 9.93 | $ | 9.42 | $ | 10.07 | $ | 10.69 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment loss(a) |
(0.02 | ) | (0.05 | ) | (0.13 | ) | (0.19 | ) | (0.24 | ) | ||||||||||
| Net realized and unrealized gain (loss) |
0.64 | (1.25 | ) | 0.64 | (0.46 | ) | 0.05 | (b) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.62 | (1.30 | ) | 0.51 | (0.65 | ) | (0.19 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.35 | ) | — | — | — | (0.14 | ) | |||||||||||||
| Net realized capital gains |
— | (0.12 | ) | — | — | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.35 | ) | (0.12 | ) | — | — | (0.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 8.78 | $ | 8.51 | $ | 9.93 | $ | 9.42 | $ | 10.07 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c) |
7.30 | %(d) | (13.22 | )% | 5.41 | % | (6.45 | )%(d) | (2.23 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 21,621 | $ | 29,421 | $ | 53,661 | $ | 71,184 | $ | 67,479 | ||||||||||
| Net expenses |
2.45 | %(e) | 2.45 | % | 2.50 | %(f)(g) | 2.49 | %(e)(h) | 2.48 | %(f)(g) | ||||||||||
| Gross expenses |
2.53 | % | 2.45 | % | 2.50 | %(f)(g) | 2.50 | %(h) | 2.48 | %(f)(g) | ||||||||||
| Net investment loss |
(0.24 | )% | (0.52 | )% | (1.36 | )% | (1.86 | )% | (2.24 | )% | ||||||||||
| 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) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
| (c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| (d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.45%. |
| (g) | Includes fee/expense recovery of 0.01%. |
| (h) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.46%. |
| (i) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to financial statements.
| 72
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Managed Futures Strategy Fund (Consolidated*)—Class N |
||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017** |
||||||||||
| Net asset value, beginning of the period |
$ | 9.07 | $ | 10.46 | $ | 9.81 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||
| Net investment income (loss)(a) |
0.08 | 0.08 | (0.01 | ) | ||||||||
| Net realized and unrealized gain (loss) |
0.70 | (1.35 | ) | 0.67 | ||||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
0.78 | (1.27 | ) | 0.66 | ||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
| |||||||||||
| Net investment income |
(0.47 | ) | — | (0.01 | ) | |||||||
| Net realized capital gains |
— | (0.12 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total Distributions |
(0.47 | ) | (0.12 | ) | (0.01 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 9.38 | $ | 9.07 | $ | 10.46 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return |
8.45 | % | (12.26 | )% | 6.76 | %(b)(c) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||
| Net assets, end of the period (000’s) |
$ | 117,258 | $ | 67,957 | $ | 1,017 | ||||||
| Net expenses |
1.36 | % | 1.36 | % | 1.34 | %(d)(e)(f) | ||||||
| Gross expenses |
1.36 | % | 1.36 | % | 14.83 | %(d)(f) | ||||||
| Net investment income (loss) |
0.79 | % | 0.83 | % | (0.17 | )%(d) | ||||||
| Portfolio turnover rate(g) |
— | % | — | % | — | % | ||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| ** | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | Computed on an annualized basis for periods less than one year. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (f) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 14.78%. |
| (g) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to financial statements.
73 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Managed Futures Strategy Fund (Consolidated*)—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.06 | $ | 10.46 | $ | 9.83 | $ | 10.40 | $ | 11.01 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.07 | 0.05 | (0.03 | ) | (0.09 | ) | (0.14 | ) | ||||||||||||
| Net realized and unrealized gain (loss) |
0.69 | (1.33 | ) | 0.67 | (0.48 | ) | 0.05 | (b) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.76 | (1.28 | ) | 0.64 | (0.57 | ) | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.46 | ) | — | (0.01 | ) | — | (0.23 | ) | ||||||||||||
| Net realized capital gains |
— | (0.12 | ) | — | — | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.46 | ) | (0.12 | ) | (0.01 | ) | — | (0.52 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 9.36 | $ | 9.06 | $ | 10.46 | $ | 9.83 | $ | 10.40 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
8.35 | %(c) | (12.35 | )% | 6.48 | % | (5.47 | )%(c) | (1.22 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 1,212,973 | $ | 1,836,962 | $ | 3,102,626 | $ | 2,629,920 | $ | 2,133,620 | ||||||||||
| Net expenses |
1.45 | %(d) | 1.45 | % | 1.50 | %(e)(f) | 1.49 | %(d)(g) | 1.48 | %(e)(f) | ||||||||||
| Gross expenses |
1.53 | % | 1.45 | % | 1.50 | %(e)(f) | 1.50 | %(g) | 1.48 | %(e)(f) | ||||||||||
| Net investment income (loss) |
0.77 | % | 0.49 | % | (0.34 | )% | (0.85 | )% | (1.24 | )% | ||||||||||
| Portfolio turnover rate(h) |
— | % | — | % | — | % | — | % | — | % | ||||||||||
| * | See Notes 1 and 2 of the Notes to Financial Statements. |
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.45%. |
| (f) | Includes fee/expense recovery of 0.01%. |
| (g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.46%. |
| (h) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to financial statements.
| 74
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Tactical U.S. Market Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 13.23 | $ | 14.11 | $ | 11.83 | $ | 11.41 | $ | 11.85 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.11 | 0.09 | 0.06 | 0.04 | (0.00 | )(b) | ||||||||||||||
| Net realized and unrealized gain (loss) |
2.92 | (0.63 | ) | 2.95 | 0.43 | (0.35 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
3.03 | (0.54 | ) | 3.01 | 0.47 | (0.35 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.10 | ) | (0.08 | ) | (0.06 | ) | (0.05 | ) | — | |||||||||||
| Net realized capital gains |
— | (0.26 | ) | (0.67 | ) | — | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.10 | ) | (0.34 | ) | (0.73 | ) | (0.05 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 16.16 | $ | 13.23 | $ | 14.11 | $ | 11.83 | $ | 11.41 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c)(d) |
22.94 | % | (3.88 | )% | 25.37 | % | 4.09 | % | (3.00 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 22,524 | $ | 18,978 | $ | 16,292 | $ | 8,365 | $ | 9,360 | ||||||||||
| Net expenses(e) |
1.24 | % | 1.24 | % | 1.24 | %(f) | 1.25 | % | 1.32 | % | ||||||||||
| Gross expenses |
1.30 | % | 1.32 | % | 1.44 | % | 1.40 | % | 1.39 | % | ||||||||||
| Net investment income (loss) |
0.75 | % | 0.64 | % | 0.49 | % | 0.36 | % | (0.03 | )% | ||||||||||
| Portfolio turnover rate |
37 | % | 88 | % | 18 | % | 42 | % | 149 | % | ||||||||||
| (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 sales charge for Class A shares is not reflected in total return calculations. |
| (d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) | 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) | Effective July 1, 2017, the expense limit decreased from 1.25% to 1.24%. |
See accompanying notes to financial statements.
75 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Tactical U.S. Market Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 12.84 | $ | 13.75 | $ | 11.59 | $ | 11.21 | $ | 11.73 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.00 | (b) | (0.01 | ) | (0.04 | ) | (0.05 | ) | (0.09 | ) | ||||||||||
| Net realized and unrealized gain (loss) |
2.83 | (0.60 | ) | 2.87 | 0.43 | (0.34 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
2.83 | (0.61 | ) | 2.83 | 0.38 | (0.43 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
— | (0.04 | ) | (0.00 | )(b) | — | — | |||||||||||||
| Net realized capital gains |
— | (0.26 | ) | (0.67 | ) | — | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
— | (0.30 | ) | (0.67 | ) | — | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 15.67 | $ | 12.84 | $ | 13.75 | $ | 11.59 | $ | 11.21 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c)(d) |
22.04 | % | (4.55 | )% | 24.37 | % | 3.39 | % | (3.79 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 3,060 | $ | 3,110 | $ | 2,190 | $ | 1,973 | $ | 2,202 | ||||||||||
| Net expenses(e) |
1.99 | % | 1.99 | % | 2.00 | %(f) | 2.00 | % | 2.07 | % | ||||||||||
| Gross expenses |
2.05 | % | 2.07 | % | 2.20 | % | 2.15 | % | 2.13 | % | ||||||||||
| Net investment income (loss) |
0.00 | % | (0.09 | )% | (0.28 | )% | (0.41 | )% | (0.79 | )% | ||||||||||
| Portfolio turnover rate |
37 | % | 88 | % | 18 | % | 42 | % | 149 | % | ||||||||||
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Amount rounds to less than $0.01 per share. |
| (c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| (d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) | 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) | Effective July 1, 2017, the expense limit decreased from 2.00% to 1.99%. |
See accompanying notes to financial statements.
| 76
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| ASG Tactical U.S. Market Fund— Class Y | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 13.26 | $ | 14.17 | $ | 11.87 | $ | 11.45 | $ | 11.88 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.15 | 0.13 | 0.10 | 0.07 | 0.02 | |||||||||||||||
| Net realized and unrealized gain (loss) |
2.94 | (0.64 | ) | 2.96 | 0.44 | (0.34 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
3.09 | (0.51 | ) | 3.06 | 0.51 | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.14 | ) | (0.14 | ) | (0.09 | ) | (0.09 | ) | (0.02 | ) | ||||||||||
| Net realized capital gains |
— | (0.26 | ) | (0.67 | ) | — | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.14 | ) | (0.40 | ) | (0.76 | ) | (0.09 | ) | (0.11 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 16.21 | $ | 13.26 | $ | 14.17 | $ | 11.87 | $ | 11.45 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b) |
23.34 | % | (3.67 | )% | 25.67 | % | 4.41 | % | (2.74 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 186,174 | $ | 120,988 | $ | 84,880 | $ | 58,488 | $ | 89,126 | ||||||||||
| Net expenses(c) |
0.99 | % | 0.99 | % | 0.99 | %(d) | 1.00 | % | 1.07 | % | ||||||||||
| Gross expenses |
1.05 | % | 1.07 | % | 1.19 | % | 1.15 | % | 1.14 | % | ||||||||||
| Net investment income |
1.00 | % | 0.90 | % | 0.73 | % | 0.58 | % | 0.20 | % | ||||||||||
| Portfolio turnover rate |
37 | % | 88 | % | 18 | % | 42 | % | 149 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | 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) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.99%. |
See accompanying notes to financial statements.
77 |
Table of Contents
December 31, 2019
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 Dynamic Allocation Fund (the “Dynamic Allocation Fund”)
ASG Global Alternatives Fund (the “Global Alternatives Fund”)
ASG Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)
ASG Tactical U.S. Market Fund (the “Tactical U.S. Market Fund”)
Each Fund is a diversified investment company, except for Dynamic Allocation Fund, which is a non-diversified investment company.
Each Fund offers Class A, Class C and Class Y shares. Global Alternatives Fund and Managed Futures Strategy Fund also offer 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, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to 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 with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C, Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through ASG Global Alternatives Cayman Fund Ltd. and ASG
| 78
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.
As of December 31, 2019, 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 |
$ | 24,865,512 | 3.03 | % | ||||
| Managed Futures Strategy Fund |
77,554,554 | 4.93 | % | |||||
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Consolidation. The accompanying financial statements of Global Alternatives Fund 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 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 shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price
79 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. 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 as reported by an independent pricing service. 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 most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service. If prices from an independent pricing service are not available, prices from a broker-dealer may be used.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The 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. 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.
| 80
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
As of December 31, 2019, 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:
| Notional |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||||||
| Dynamic Allocation Fund |
$ | 10,778,202 | $ | 65,554 | 0.15 | % | ||||||
| Global Alternatives Fund |
181,430,966 | 1,240,648 | 0.15 | % | ||||||||
| Managed Futures Strategy Fund |
749,858,323 | 4,886,508 | 0.31 | % | ||||||||
| * | Amounts represent gross unrealized appreciation/(depreciation) 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 (including income reinvested) and foreign withholding tax, if applicable, is recorded on the 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, if applicable. 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, if any, 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 Funds’ 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 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
81 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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.
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.
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 appreciation (depreciation) 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. Gross unrealized appreciation (depreciation) on futures contracts is recorded in the Statements of Assets and Liabilities as an asset (liability). 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 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
| 82
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
g. Swap Agreements. Global Alternatives Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.
The notional amounts of equity basket total return swap agreements are not recorded in the financial statements. Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Operations. Fees are accrued in accordance with the terms of the agreement and are included in due to/from brokers on the Consolidated Statement of Assets and Liabilities. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss on the Consolidated Statement of Operations.
Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. 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. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.
83 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
h. Due to/from Brokers. Transactions and positions in certain 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 or the Subsidiaries and the various broker/dealers. The due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with brokers for open futures contracts and cash pledged as collateral for forward foreign currency contracts and swap agreements (including accrued interest receivable on equity basket total return swap agreements and net dividends payable on short reference entity common stocks). The due to brokers’ balances in the Statements of Assets and Liabilities for the Funds represent net cash and foreign currency debit balances related to futures contracts. In certain circumstances the Funds’ or Subsidiaries’ use of cash, and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
i. 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 December 31, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes 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.
| 84
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Notes to Financial Statements (continued)
December 31, 2019
j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the 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 capital gain and return of capital distributions received, foreign currency gains and losses, partnership basis adjustments, total return swaps and Cayman blocker 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, constructive sales, partnership basis adjustments, wash sales, return of capital distributions received, futures and forward foreign currency contract mark-to-market and Cayman blocker 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 net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2019 and 2018 were as follows:
| 2019 Distributions Paid From: | 2018 Distributions Paid From: | |||||||||||||||||||||||
| Fund |
Ordinary |
Long-Term |
Total |
Ordinary |
Long-Term |
Total |
||||||||||||||||||
| Dynamic Allocation Fund |
$ | 1,028,235 | $ | — | $ | 1,028,235 | $ | 1,126,149 | $ | 297,635 | $ | 1,423,784 | ||||||||||||
| Global Alternatives Fund |
9,278,612 | — | 9,278,612 | 16,225,791 | — | 16,225,791 | ||||||||||||||||||
| Managed Futures Strategy Fund |
74,582,788 | — | 74,582,788 | 36,963,582 | 1,469,396 | 38,432,978 | ||||||||||||||||||
| Tactical U.S. Market Fund |
1,790,953 | — | 1,790,953 | 2,196,408 | 2,185,407 | 4,381,815 | ||||||||||||||||||
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
85 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
As of December 31, 2019, the components of distributable earnings on a tax basis were as follows:
| Dynamic |
Global |
Managed |
Tactical |
|||||||||||||
| Undistributed ordinary income |
$ | — | $ | — | $ | — | $ | 167 | ||||||||
| Undistributed long-term capital gains |
792,961 | — | — | 4,038,771 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total undistributed earnings |
792,961 | — | — | 4,038,938 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital loss carryforward: |
||||||||||||||||
| Short-term: |
||||||||||||||||
| No expiration date |
— | (70,338,216 | ) | (152,816,236 | ) | — | ||||||||||
| Long-term: |
||||||||||||||||
| No expiration date |
— | — | (1,752,978 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total capital loss carryforward |
— | (70,338,216 | ) | (154,569,214 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Late-year ordinary and post-October capital loss deferrals* |
(2,228 | ) | (1,565,113 | ) | (4,972,398 | ) | — | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Unrealized appreciation (depreciation) |
2,090,549 | 17,667,081 | (5,886,367 | ) | 36,222,028 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total accumulated earnings (losses) |
$ | 2,881,282 | $ | (54,236,248 | ) | $ | (165,427,979 | ) | $ | 40,260,966 | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital loss carryforward utilized in the current year |
$ | 2,643,878 | $ | 62,521,105 | $ | 187,130,565 | $ | 8,647,831 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Under current tax law, capital losses, foreign currency losses, losses on passive foreign investment companies, total return swap resets and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Dynamic Allocation Fund and Managed Futures Strategy Fund are deferring foreign currency losses. Global Alternatives Fund is deferring foreign currency losses and losses on total return swap resets. |
As of December 31, 2019, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
| Dynamic |
Global |
Managed |
Tactical |
|||||||||||||
| Federal tax cost |
$ | 41,142,832 | $ | 769,576,763 | $ | 1,447,385,387 | $ | 327,163,478 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Gross tax appreciation |
$ | 2,094,377 | $ | 20,428,275 | $ | 3,838,334 | $ | 36,239,001 | ||||||||
| Gross tax depreciation |
(3,052 | ) | (3,771,929 | ) | (3,204,717 | ) | (16,973 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net tax appreciation |
$ | 2,091,325 | $ | 16,656,346 | $ | 633,617 | $ | 36,222,028 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 86
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market and Cayman blocker adjustments.
k. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2019, 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.
l. 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.
m. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 will be effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. Management has evaluated the impact of the adoption of ASU 2018-13 and will incorporate required disclosure updates in the Funds’ semiannual financial statements as of June 30, 2020.
87 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical assets or liabilities; |
| • | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2019, at value:
Dynamic Allocation Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Exchange-Traded Funds |
$ | 22,466,453 | $ | — | $ | — | $ | 22,466,453 | ||||||||
| Short-Term Investments(a) |
— | 20,807,794 | — | 20,807,794 | ||||||||||||
| Futures Contracts (unrealized appreciation) |
662,293 | 30,591 | — | 692,884 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 23,128,746 | $ | 20,838,385 | $ | — | $ | 43,967,131 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Futures Contracts (unrealized depreciation) |
$ (112,209) | $ (34,963) | $ — | $ (147,172) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, there were no transfers among Levels 1, 2 and 3.
| 88
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Global Alternatives Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks(a) |
$ | 189,903,501 | $ | — | $ | — | $ | 189,903,501 | ||||||||
| Exchange-Traded Funds |
32,710,338 | — | — | 32,710,338 | ||||||||||||
| Short-Term Investments(a) |
— | 559,427,352 | — | 559,427,352 | ||||||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 462,456 | — | 462,456 | ||||||||||||
| Futures Contracts (unrealized appreciation) |
10,508,084 | 659,053 | — | 11,167,137 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 233,121,923 | $ | 560,548,861 | $ | — | $ | 793,670,784 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Equity Basket Total Return Swaps |
$ | — | (b) | $ | — | $ | — | $ | — | |||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
— | (1,719,946 | ) | — | (1,719,946 | ) | ||||||||||
| Futures Contracts (unrealized depreciation) |
(5,981,121 | ) | (581,595 | ) | — | (6,562,716 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (5,981,121 | ) | $ | (2,301,541 | ) | $ | — | $ | (8,282,662 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
| (b) | Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments. |
For the year ended December 31, 2019, there were no transfers among Levels 1, 2 and 3.
Managed Futures Strategy Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Short-Term Investments(a) |
$ | — | $ | 1,443,876,390 | $ | — | $ | 1,443,876,390 | ||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 13,560,186 | — | 13,560,186 | ||||||||||||
| Futures Contracts (unrealized appreciation) |
39,268,200 | 2,259,518 | — | 41,527,718 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 39,268,200 | $ | 1,459,696,094 | $ | — | $ | 1,498,964,294 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
89 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Managed Futures Strategy Fund (continued)
Liability Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ | — | $ | (16,733,541 | ) | $ | — | $ | (16,733,541 | ) | ||||||
| Futures Contracts (unrealized depreciation) |
(28,357,333 | ) | (2,626,990 | ) | — | (30,984,323 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (28,357,333 | ) | $ | (19,360,531 | ) | $ | — | $ | (47,717,864 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
For the year ended December 31, 2019, 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) |
$ | 98,472,448 | $ | — | $ | — | $ | 98,472,448 | ||||||||
| Exchange-Traded Funds |
20,379,853 | — | — | 20,379,853 | ||||||||||||
| Short-Term Investments(a) |
— | 90,732,845 | — | 90,732,845 | ||||||||||||
| Futures Contracts (unrealized appreciation) |
4,488,783 | — | — | 4,488,783 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 123,341,084 | $ | 90,732,845 | $ | — | $ | 214,073,929 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, 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, futures contracts and swap agreements.
Dynamic Allocation Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes. During the year ended December 31, 2019, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds and short contracts on U.S. dollar index to gain investment exposures in accordance with its objectives.
| 90
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. 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 and equity basket total return swap agreements. During the year ended December 31, 2019, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates, and short contracts on equity basket total return swaps in accordance with these objectives.
Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the year ended December 31, 2019, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, short-term interest rates, and commodities (through investments in the Subsidiary) to capture the exposures suggested by the quantitative investment models.
Tactical U.S. Market Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. The Fund uses long futures contracts on U.S. equity indices to increase exposure to the U.S. equity market to up to 130% of the Fund’s total assets and short futures on U.S. equity indices to decrease exposure to the U.S. equity market to as low as 0% of the Fund’s total assets (to limit the effects of extreme market drawdowns). During the year ended December 31, 2019, the Fund used long contracts on U.S. equity market indices to increase exposure to the U.S. equity market and short contracts on U.S. equity market indices to decrease exposure to the U.S. equity market.
91 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
The following is a summary of derivative instruments for Dynamic Allocation Fund as of December 31, 2019, as reflected within the Statements of Assets and Liabilities:
| Assets |
Unrealized |
|||
| Exchange-traded asset derivatives |
||||
| Foreign exchange contracts |
$ | 126,581 | ||
| Equity contracts |
566,303 | |||
|
|
|
|||
| Total exchange-traded asset derivatives |
$ | 692,884 | ||
|
|
|
|||
| Liabilities |
Unrealized |
|||
| Exchange-traded liability derivatives |
||||
| Interest rate contracts |
$ | (112,209 | ) | |
| Equity contracts |
(34,963 | ) | ||
|
|
|
|||
| Total exchange-traded liability derivatives |
$ | (147,172 | ) | |
|
|
|
|||
Transactions in derivative instruments for Dynamic Allocation Fund during the year ended December 31, 2019, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Futures contracts |
|||
| Interest rate contracts |
$ | 1,507,567 | ||
| Foreign exchange contracts |
(263,268 | ) | ||
| Equity contracts |
1,700,463 | |||
|
|
|
|||
| Total |
$ | 2,944,762 | ||
|
|
|
|||
| Net Change in Unrealized |
Futures contracts |
|||
| Interest rate contracts |
$ | (316,774 | ) | |
| Foreign exchange contracts |
34,781 | |||
| Equity contracts |
703,637 | |||
|
|
|
|||
| Total |
$ | 421,644 | ||
|
|
|
|||
| 92
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2019, as reflected within the Statements of Assets and Liabilities:
| Assets |
Unrealized |
Unrealized |
||||||
| Over-the-counter asset derivatives |
||||||||
| Foreign exchange contracts |
$ | 462,456 | $ | — | ||||
|
|
|
|
|
|||||
| Exchange-traded asset derivatives |
||||||||
| Interest rate contracts |
$ | — | $ | 2,152,599 | ||||
| Foreign exchange contracts |
— | 840,925 | ||||||
| Commodity contracts |
— | 5,235,557 | ||||||
| Equity contracts |
— | 2,938,056 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded asset derivatives |
$ | — | $ | 11,167,137 | ||||
|
|
|
|
|
|||||
| Total asset derivatives |
$ | 462,456 | $ | 11,167,137 | ||||
|
|
|
|
|
|||||
| Liabilities |
Unrealized |
Unrealized |
Swap |
|||||||||
| Over-the-counter liability derivatives |
||||||||||||
| Foreign exchange contracts |
$ | (1,719,946 | ) | $ | — | $ | — | |||||
| Equity contracts |
— | — | (29,903,979 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Total over-the-counter liability derivatives |
(1,719,946 | ) | — | (29,903,979 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Exchange-traded liability derivatives |
||||||||||||
| Interest rate contracts |
$ | — | $ | (2,759,754 | ) | $ | — | |||||
| Foreign exchange contracts |
— | (1,108,626 | ) | — | ||||||||
| Commodity contracts |
— | (2,112,741 | ) | — | ||||||||
| Equity contracts |
— | (581,595 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total exchange-traded liability derivatives |
$ | — | $ | (6,562,716 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| Total liability derivatives |
$ | (1,719,946 | ) | $ | (6,562,716 | ) | $ | (29,903,979 | ) | |||
|
|
|
|
|
|
|
|||||||
| 1 | Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments. |
93 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2019, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Futures |
Forward foreign |
Swap |
|||||||||
| Interest rate contracts |
$ | 32,898,235 | $ | — | $ | — | ||||||
| Foreign exchange contracts |
1,305,923 | (178,036 | ) | — | ||||||||
| Commodity contracts |
(14,448,864 | ) | — | — | ||||||||
| Equity contracts |
18,465,471 | — | (501,635 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$ | 38,220,765 | $ | (178,036 | ) | $ | (501,635 | ) | ||||
|
|
|
|
|
|
|
|||||||
| Net Change in Unrealized |
Futures |
Forward foreign |
||||||
| Interest rate contracts |
$ | (2,019,022 | ) | $ | — | |||
| Foreign exchange contracts |
2,356,528 | (2,588,885 | ) | |||||
| Commodity contracts |
8,932,264 | — | ||||||
| Equity contracts |
7,888,628 | — | ||||||
|
|
|
|
|
|||||
| Total |
$ | 17,158,398 | $ | (2,588,885 | ) | |||
|
|
|
|
|
|||||
The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2019, as reflected within the Statements of Assets and Liabilities:
| Assets |
Unrealized |
Unrealized |
||||||
| Over-the-counter asset derivatives |
||||||||
| Foreign exchange contracts |
$ | 13,560,186 | $ | — | ||||
|
|
|
|
|
|||||
| Exchange-traded asset derivatives |
||||||||
| Interest rate contracts |
$ | — | $ | 1,152,699 | ||||
| Foreign exchange contracts |
— | 1,682,349 | ||||||
| Commodity contracts |
— | 14,689,767 | ||||||
| Equity contracts |
— | 24,002,903 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded asset derivatives |
$ | — | $ | 41,527,718 | ||||
|
|
|
|
|
|||||
| Total asset derivatives |
$ | 13,560,186 | $ | 41,527,718 | ||||
|
|
|
|
|
|||||
| 94
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
| Liabilities |
Unrealized |
Unrealized |
||||||
| Over-the-counter liability derivatives |
||||||||
| Foreign exchange contracts |
$ | (16,733,541 | ) | $ | — | |||
|
|
|
|
|
|||||
| Exchange-traded liability derivatives |
||||||||
| Interest rate contracts |
$ | — | $ | (17,118,021 | ) | |||
| Foreign exchange contracts |
— | (3,874,029 | ) | |||||
| Commodity contracts |
— | (7,365,283 | ) | |||||
| Equity contracts |
— | (2,626,990 | ) | |||||
|
|
|
|
|
|||||
| Total exchange-traded liability derivatives |
$ | — | $ | (30,984,323 | ) | |||
|
|
|
|
|
|||||
| Total liability derivatives |
$ | (16,733,541 | ) | $ | (30,984,323 | ) | ||
|
|
|
|
|
|||||
Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2019, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Futures contracts |
Forward foreign |
||||||
| Interest rate contracts |
$ | 287,579,789 | $ | — | ||||
| Foreign exchange contracts |
(5,810,655 | ) | (17,855,210 | ) | ||||
| Commodity contracts |
(99,072,272 | ) | — | |||||
| Equity contracts |
7,832,566 | — | ||||||
|
|
|
|
|
|||||
| Total |
$ | 190,529,428 | $ | (17,855,210 | ) | |||
|
|
|
|
|
|||||
| Net Change in Unrealized |
Futures |
Forward foreign |
||||||
| Interest rate contracts |
$ | (43,041,147 | ) | $ | — | |||
| Foreign exchange contracts |
(3,479,687 | ) | (835,664 | ) | ||||
| Commodity contracts |
(7,298,633 | ) | — | |||||
| Equity contracts |
8,252,894 | — | ||||||
|
|
|
|
|
|||||
| Total |
$ | (45,566,573 | ) | $ | (835,664 | ) | ||
|
|
|
|
|
|||||
95 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
The following is a summary of derivative instruments for Tactical U.S. Market Fund as of December 31, 2019, as reflected within the Statements of Assets and Liabilities:
| Assets |
Unrealized |
|||
| Exchange-traded asset derivatives |
||||
| Equity contracts |
$ | 4,488,783 | ||
Transactions in derivative instruments for Tactical U.S. Market Fund during the year ended December 31, 2019, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Futures contracts |
|||
| Equity contracts |
$ | 6,156,396 | ||
| Net Change in Unrealized |
Futures contracts |
|||
| Equity contracts |
$ | 5,802,226 | ||
The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2019:
| Dynamic Allocation Fund |
Futures |
|||
| Average Notional Amount Outstanding |
99.36 | % | ||
| Highest Notional Amount Outstanding |
119.43 | % | ||
| Lowest Notional Amount Outstanding |
70.64 | % | ||
| Notional Amount Outstanding as of December 31, 2019 |
119.43 | % | ||
| Global Alternatives Fund |
Forwards |
Futures |
Total |
|||||||||
| Average Notional Amount Outstanding |
17.47 | % | 216.40 | % | 1.15 | % | ||||||
| Highest Notional Amount Outstanding |
40.19 | % | 252.43 | % | 3.64 | % | ||||||
| Lowest Notional Amount Outstanding |
7.18 | % | 190.02 | % | 0.00 | % | ||||||
| Notional Amount Outstanding as of December 31, 2019 |
12.70 | % | 235.89 | % | 3.64 | % | ||||||
| Managed Futures Strategy Fund |
Forwards |
Futures |
||||||
| Average Notional Amount Outstanding |
123.22 | % | 706.25 | % | ||||
| Highest Notional Amount Outstanding |
206.53 | % | 914.28 | % | ||||
| Lowest Notional Amount Outstanding |
75.85 | % | 497.26 | % | ||||
| Notional Amount Outstanding as of December 31, 2019 |
111.89 | % | 556.16 | % | ||||
| 96
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
| Tactical U.S. Market Fund |
Futures |
|||
| Average Notional Amount Outstanding |
46.08 | % | ||
| Highest Notional Amount Outstanding |
80.37 | % | ||
| Lowest Notional Amount Outstanding |
9.87 | % | ||
| Notional Amount Outstanding as of December 31, 2019 |
72.63 | % | ||
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the 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 Funds’ net assets.
Over-the-counter derivatives, including forward foreign currency contracts 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 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 received or pledged, on the Statements of Assets and Liabilities.
As of December 31, 2019, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Global Alternatives Fund
| Counterparty |
Gross Amounts of |
Offset |
Net |
Collateral |
Net |
|||||||||||||||
| UBS AG |
$ | 462,456 | $ | (462,456 | ) | $ | — | $ | — | $ | — | |||||||||
| Counterparty |
Gross Amounts of |
Offset |
Net |
Collateral (Received)/ |
Net |
|||||||||||||||
| UBS AG |
$ | (1,719,946 | ) | $ | 462,456 | $ | (1,257,490 | ) | $ | 1,257,490 | $ | — | ||||||||
97 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
| Managed Futures Strategy Fund |
||||||||||||||||||||
| Counterparty |
Gross Amounts of |
Offset |
Net |
Collateral |
Net |
|||||||||||||||
| UBS AG |
$ | 13,560,186 | $ | (13,560,186 | ) | $ | — | $ | — | $ | — | |||||||||
| Counterparty |
Gross Amounts of |
Offset |
Net |
Collateral |
Net |
|||||||||||||||
| UBS AG |
$ | (16,733,541 | ) | $ | 13,560,186 | $ | (3,173,355 | ) | $ | 3,173,355 | $ | — | ||||||||
The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of December 31, 2019, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:
| Independent |
Increase |
Required |
Collateral |
Excess/ |
||||||||||||||||
| Global Alternatives Fund |
$ | 1,902,234 | $ | 1,235,196 | $ | 3,137,430 | $ | 3,345,928 | $ | 208,498 | ||||||||||
| Managed Futures Strategy Fund |
38,455,870 | 3,287,547 | 41,743,417 | 41,441,086 | (302,331 | ) | ||||||||||||||
Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Statements of Assets and Liabilities.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on 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
| 98
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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 clearing house, 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2019:
| Fund |
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
||||||
| Dynamic Allocation Fund |
||||||||
| Exchange-traded counterparty credit risk |
||||||||
| Futures contracts |
$ | 692,884 | $ | 692,884 | ||||
| Margin with brokers |
1,623,021 | 1,623,021 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded counterparty credit risk |
$ | 2,315,905 | $ | 2,315,905 | ||||
|
|
|
|
|
|||||
| Global Alternatives Fund |
||||||||
| Over-the-counter counterparty credit risk |
||||||||
| Forward foreign currency contracts |
$ | 462,456 | $ | — | ||||
| Collateral pledged to UBS AG |
3,345,928 | 3,345,928 | ||||||
| Collateral pledged to Morgan Stanley |
8,383,975 | 8,383,975 | ||||||
|
|
|
|
|
|||||
| Total over-the-counter counterparty credit risk |
12,192,359 | 11,729,903 | ||||||
|
|
|
|
|
|||||
| Exchange-traded counterparty credit risk |
||||||||
| Futures contracts |
11,167,137 | 11,167,137 | ||||||
| Margin with brokers |
36,172,990 | 36,172,990 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded counterparty credit risk |
47,340,127 | 47,340,127 | ||||||
|
|
|
|
|
|||||
| Total counterparty credit risk |
$ | 59,532,486 | $ | 59,070,030 | ||||
|
|
|
|
|
|||||
99 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
| Fund |
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
||||||
| Managed Futures Strategy Fund |
||||||||
| Over-the-counter counterparty credit risk |
||||||||
| Forward foreign currency contracts |
$ | 13,560,186 | $ | — | ||||
| Collateral pledged to UBS AG |
41,441,086 | 41,441,086 | ||||||
|
|
|
|
|
|||||
| Total over-the-counter counterparty credit risk |
55,001,272 | 41,441,086 | ||||||
|
|
|
|
|
|||||
| Exchange-traded counterparty credit risk |
||||||||
| Futures contracts |
41,527,718 | 41,527,718 | ||||||
| Margin with brokers |
163,543,080 | 163,543,080 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded counterparty credit risk |
205,070,798 | 205,070,798 | ||||||
|
|
|
|
|
|||||
| Total counterparty credit risk |
$ | 260,072,070 | $ | 246,511,884 | ||||
|
|
|
|
|
|||||
| Tactical U.S. Market Fund |
||||||||
| Exchange-traded counterparty credit risk |
||||||||
| Futures contracts |
$ | 4,488,783 | $ | 4,488,783 | ||||
| Margin with brokers |
5,741,010 | 5,741,010 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded counterparty credit risk |
$ | 10,229,793 | $ | 10,229,793 | ||||
|
|
|
|
|
|||||
5. Purchases and Sales of Securities. For the year ended December 31, 2019, purchases and sales of securities (excluding short-term investments) were as follows:
| Fund |
Purchases |
Sales |
||||||
| Dynamic Allocation Fund |
$ | 8,360,588 | $ | 4,510,881 | ||||
| Global Alternatives Fund |
341,230,087 | 298,180,737 | ||||||
| Tactical U.S. Market Fund |
45,948,183 | 39,354,792 | ||||||
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Investment Managers, LLC (“Natixis”), 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.
| Percentage of Average Daily Net Assets |
||||
| Fund |
||||
| Dynamic Allocation Fund |
0.70 | % | ||
| Tactical U.S. Market Fund |
0.80 | % | ||
| 100
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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.
Managed Futures Strategy Fund pays a management fee at an annual rate of 1.25% on the first $2.5 billion of the Fund’s average daily net assets (including the net asset value of its Subsidiary), and 1.20% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.
AlphaSimplex also serves as investment adviser to ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.15% and 1.25%, respectively, of its average daily net assets.
Additionally, AlphaSimplex has entered into a subadvisory agreement with Natixis Advisors, L.P. (“Natixis Advisors”), (through its division, Active Index Advisors), on behalf of Tactical U.S. Market Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. 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 Natixis Advisors.
Payments to AlphaSimplex are reduced by the amount of payments to Natixis Advisors as described above.
AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short (Global Alternatives Fund only), taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2020, 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. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
101 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
For the year ended December 31, 2019, 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 |
||||||||||||
| Dynamic Allocation Fund |
1.15 | % | 1.90 | % | — | 0.90 | % | |||||||||
| Global Alternatives Fund |
1.54 | % | 2.29 | % | 1.24 | % | 1.29 | % | ||||||||
| Managed Futures Strategy Fund |
1.70 | % | 2.45 | % | 1.40 | % | 1.45 | % | ||||||||
| Tactical U.S. Market Fund |
1.24 | % | 1.99 | % | — | 0.99 | % | |||||||||
AlphaSimplex shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the year ended December 31, 2019, the management fees and waivers of management fees for each Fund were as follows:
| Fund |
Gross |
Contractual |
Net |
Percentage of |
||||||||||||||||
| Gross |
Net |
|||||||||||||||||||
| Dynamic Allocation Fund |
$ | 286,868 | $ | 190,567 | $ | 96,301 | 0.70 | % | 0.23 | % | ||||||||||
| Global Alternatives Fund |
12,099,144 | 315,060 | 11,784,084 | 1.15 | % | 1.12 | % | |||||||||||||
| Managed Futures Strategy Fund |
22,460,865 | — | 22,460,865 | 1.25 | % | 1.25 | % | |||||||||||||
| Tactical U.S. Market Fund |
1,488,771 | 109,723 | 1,379,048 | 0.80 | % | 0.74 | % | |||||||||||||
| 1 | Management fee waiver is subject to possible recovery until December 31, 2020. |
For the year ended December 31, 2019, class-specific expenses have been reimbursed as follows:
| Reimbursement1 |
||||||||||||||||||||
| Fund |
Class A |
Class C |
Class N |
Class Y |
Total |
|||||||||||||||
| Managed Futures Strategy Fund |
$ | 196,337 | $ | 21,221 | $ | — | $ | 1,203,585 | $ | 1,421,143 | ||||||||||
| 1 | Expense reimbursement is subject to possible recovery until December 31, 2020. |
No expenses were recovered for any of the Funds during the year ended December 31, 2019 under the terms of the expense limitation agreements.
| 102
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis 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 Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis 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 Natixis 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 Natixis 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 Natixis Distribution in connection with the marketing or sale of Class C shares.
For the year ended December 31, 2019, the service and distribution fees for each Fund were as follows:
| Service Fees | Distribution Fees | |||||||||||
| Fund |
Class A |
Class C |
Class C |
|||||||||
| Dynamic Allocation Fund |
$ | 966 | $ | 51 | $ | 153 | ||||||
| Global Alternatives Fund |
74,430 | 33,036 | 99,109 | |||||||||
| Managed Futures Strategy Fund |
535,019 | 63,103 | 189,308 | |||||||||
| Tactical U.S. Market Fund |
55,901 | 7,439 | 22,316 | |||||||||
c. Administrative Fees. Natixis 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, Natixis ETF Trust and Natixis Advisors, effective July 1, 2019, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of
103 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
$90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Prior to July 1, 2019, each Fund paid Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving as sub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction in sub-administrative fees discussed above. The waiver was in effect through June 30, 2019.
For the year ended December 31, 2019, the administrative fees paid to Natixis Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):
| Fund |
Gross Administrative |
Waiver of |
Net |
|||||||||
| Dynamic Allocation Fund |
$ | 18,045 | $ | 211 | $ | 17,834 | ||||||
| Global Alternatives Fund |
463,841 | 6,221 | 457,620 | |||||||||
| Managed Futures Strategy Fund |
791,737 | 9,875 | 781,862 | |||||||||
| Tactical U.S. Market Fund |
81,850 | 830 | 81,020 | |||||||||
d. Sub-Transfer Agent Fees. Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, 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.
| 104
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
For the year ended December 31, 2019, 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 |
|||
| Dynamic Allocation Fund |
$ | 58,168 | ||
| Global Alternatives Fund |
430,596 | |||
| Managed Futures Strategy Fund |
1,661,558 | |||
| Tactical U.S. Market Fund |
159,900 | |||
As of December 31, 2019, the Funds owe Natixis 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 |
|||
| Dynamic Allocation Fund |
$ | 798 | ||
| Global Alternatives Fund |
5,717 | |||
| Managed Futures Strategy Fund |
22,639 | |||
| Tactical U.S. Market Fund |
2,664 | |||
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 Natixis Distribution during the year ended December 31, 2019 were as follows:
| Fund |
Commissions |
|||
| Dynamic Allocation Fund |
$ | 519 | ||
| Global Alternatives Fund |
3,000 | |||
| Managed Futures Strategy Fund |
8,109 | |||
| Tactical U.S. Market Fund |
2,551 | |||
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 Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. 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
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Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. 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 Natixis ETF 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.
Effective January 1, 2020, the Chairperson of the Board will receive a retainer fee at the annual rate of $369,000, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $199,000, and the chairperson of the Governance Committee will receive an additional retainer fee at the annual rate of $20,000. All other Trustee fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.
Certain officers and employees of Natixis Advisors and its affiliates are also officers and/or Trustees of the Trust.
g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors had given a binding contractual undertaking to the Managed Futures Strategy Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking was in effect through April 30, 2019 and is not subject to recovery under the expense limitation agreement described above.
For the period January 1, 2019 through April 30, 2019, Natixis Advisors reimbursed the Fund $167 for transfer agency expenses related to Class N shares.
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Notes to Financial Statements (continued)
December 31, 2019
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Global Alternatives Fund and Managed Futures Strategy Fund 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.
For the year ended December 31, 2019, Global Alternatives Fund and Managed Futures Strategy Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| Transfer Agent Fees and Expenses |
||||||||||||||||
| Fund |
Class A |
Class C |
Class N |
Class Y |
||||||||||||
| Global Alternatives Fund |
$ | 19,915 | $ | 8,828 | $ | 567 | $ | 672,981 | ||||||||
| Managed Futures Strategy Fund |
388,245 | 43,784 | 1,402 | 2,504,947 | ||||||||||||
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. 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. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the year ended December 31, 2019, none of the Funds had borrowings under these agreements.
9. Concentration of Risk. Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
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Notes to Financial Statements (continued)
December 31, 2019
The Funds’ (excluding Dynamic Allocation Fund and 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.
Dynamic 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. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2019, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ 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% |
Total |
||||||
| Dynamic Allocation Fund |
2 | 84.57 | %(a) | |||||
| Global Alternatives Fund |
3 | 39.27 | % | |||||
| Managed Futures Strategy Fund |
3 | 20.01 | % | |||||
| Tactical U.S. Market Fund |
3 | 62.78 | %(a) | |||||
Omnibus shareholder accounts for which Natixis 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.
| (a) | Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund (ASG). Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. ASG has no involvement in the decisions to invest in the models provided. |
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Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Dynamic Allocation Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
6,314 | $ | 63,879 | 27,942 | $ | 304,426 | ||||||||||
| Issued in connection with the reinvestment of distributions |
815 | 8,974 | 821 | 8,397 | ||||||||||||
| Redeemed |
(2,261 | ) | (24,204 | ) | (7,567 | ) | (75,114 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
4,868 | $ | 48,649 | 21,196 | $ | 237,709 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
995 | $ | 10,000 | 5,292 | $ | 57,501 | ||||||||||
| Issued in connection with the reinvestment of distributions |
23 | 252 | 103 | 1,103 | ||||||||||||
| Redeemed |
— | — | (5,367 | ) | (53,756 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1,018 | $ | 10,252 | 28 | $ | 4,848 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
916,457 | $ | 9,438,127 | 1,430,846 | $ | 15,372,170 | ||||||||||
| Issued in connection with the reinvestment of distributions |
91,957 | 1,015,455 | 136,189 | 1,409,865 | ||||||||||||
| Redeemed |
(975,483 | ) | (10,096,772 | ) | (1,224,508 | ) | (13,077,148 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
32,931 | $ | 356,810 | 342,527 | $ | 3,704,887 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase from capital share transactions |
38,817 | $ | 415,711 | 363,751 | $ | 3,947,444 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
109 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
11. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Global Alternatives Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
644,252 | $ | 6,988,601 | 1,558,647 | $ | 16,799,968 | ||||||||||
| Issued in connection with the reinvestment of distributions |
12,875 | 143,942 | 20,955 | 215,484 | ||||||||||||
| Redeemed |
(1,678,431 | ) | (18,199,118 | ) | (2,812,492 | ) | (30,489,562 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,021,304 | ) | $ | (11,066,575 | ) | (1,232,890 | ) | $ | (13,474,110 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
87,743 | $ | 893,373 | 99,780 | $ | 1,005,928 | ||||||||||
| Issued in connection with the reinvestment of distributions |
603 | 6,317 | 2,403 | 23,673 | ||||||||||||
| Redeemed |
(642,998 | ) | (6,478,230 | ) | (856,102 | ) | (8,678,104 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(554,652 | ) | $ | (5,578,540 | ) | (753,919 | ) | $ | (7,648,503 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
28,333 | $ | 327,145 | 468,418 | $ | 5,171,757 | ||||||||||
| Issued in connection with the reinvestment of distributions |
496 | 5,620 | 18,538 | 193,223 | ||||||||||||
| Redeemed |
(1,365,297 | ) | (14,957,535 | ) | (28,845 | ) | (317,683 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,336,468 | ) | $ | (14,624,770 | ) | 458,111 | $ | 5,047,297 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
17,200,887 | $ | 188,500,365 | 24,509,906 | $ | 271,715,194 | ||||||||||
| Issued in connection with the reinvestment of distributions |
350,454 | 3,981,153 | 494,794 | 5,163,790 | ||||||||||||
| Redeemed |
(57,313,299 | ) | (629,677,366 | ) | (55,139,351 | ) | (616,727,299 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(39,761,958 | ) | $ | (437,195,848 | ) | (30,134,651 | ) | $ | (339,848,315 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Decrease from capital share transactions |
(42,674,382 | ) | $ | (468,465,733 | ) | (31,663,349 | ) | $ | (355,923,631 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 110
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
11. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Managed Futures Strategy Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
18,897,616 | $ | 175,081,342 | 8,122,312 | $ | 80,225,077 | ||||||||||
| Issued in connection with the reinvestment of distributions |
977,144 | 9,058,160 | 268,252 | 2,628,867 | ||||||||||||
| Redeemed |
(10,842,429 | ) | (103,378,255 | ) | (22,300,655 | ) | (215,778,224 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
9,032,331 | $ | 80,761,247 | (13,910,091 | ) | $ | (132,924,280 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
120,006 | $ | 1,092,355 | 474,479 | $ | 4,598,163 | ||||||||||
| Issued in connection with the reinvestment of distributions |
79,212 | 696,274 | 56,165 | 525,143 | ||||||||||||
| Redeemed |
(1,193,953 | ) | (10,506,738 | ) | (2,477,073 | ) | (22,307,151 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(994,735 | ) | $ | (8,718,109 | ) | (1,946,429 | ) | $ | (17,183,845 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N | ||||||||||||||||
| Issued from the sale of shares |
8,843,736 | $ | 84,693,165 | 9,583,150 | $ | 93,545,369 | ||||||||||
| Issued in connection with the reinvestment of distributions |
232,102 | 2,179,433 | 11,301 | 111,654 | ||||||||||||
| Redeemed |
(4,062,833 | ) | (39,555,270 | ) | (2,201,361 | ) | (19,921,137 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
5,013,005 | $ | 47,317,328 | 7,393,090 | $ | 73,735,886 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
60,717,853 | $ | 572,143,631 | 112,485,619 | $ | 1,090,616,021 | ||||||||||
| Issued in connection with the reinvestment of distributions |
3,967,764 | 37,177,943 | 2,496,084 | 24,661,369 | ||||||||||||
| Redeemed |
(137,926,321 | ) | (1,287,764,123 | ) | (208,906,134 | ) | (1,977,865,182 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(73,240,704 | ) | $ | (678,442,549 | ) | (93,924,431 | ) | $ | (862,587,792 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Decrease from capital share transactions |
(60,190,103 | ) | $ | (559,082,083 | ) | (102,387,861 | ) | $ | (938,960,031 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
111 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
11. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Tactical U.S. Market Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
822,584 | $ | 11,890,945 | 4,267,693 | $ | 63,170,069 | ||||||||||
| Issued in connection with the reinvestment of distributions |
7,640 | 123,075 | 70,389 | 959,679 | ||||||||||||
| Redeemed |
(871,317 | ) | (12,915,178 | ) | (4,058,555 | ) | (57,521,161 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(41,093 | ) | $ | (901,158 | ) | 279,527 | $ | 6,608,587 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
33,835 | $ | 455,193 | 119,177 | $ | 1,659,248 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 3,746 | 49,554 | ||||||||||||
| Redeemed |
(80,756 | ) | (1,108,104 | ) | (39,980 | ) | (557,580 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(46,921 | ) | $ | (652,911 | ) | 82,943 | $ | 1,151,222 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
7,393,004 | $ | 108,190,833 | 7,212,105 | $ | 103,884,842 | ||||||||||
| Issued in connection with the reinvestment of distributions |
86,482 | 1,397,559 | 243,510 | 3,297,334 | ||||||||||||
| Redeemed |
(5,115,868 | ) | (77,278,705 | ) | (4,325,790 | ) | (61,253,423 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
2,363,618 | $ | 32,309,687 | 3,129,825 | $ | 45,928,753 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase from capital share transactions |
2,275,604 | $ | 30,755,618 | 3,492,295 | $ | 53,688,562 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 112
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis Funds Trust II and Shareholders of ASG Dynamic Allocation Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, and ASG Tactical U.S. Market Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of ASG Dynamic Allocation Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, and ASG Tactical U.S. Market Fund (four of the funds constituting Natixis Funds Trust II, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of
113 |
Table of Contents
Report of Independent Registered Public Accounting Firm
December 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 21, 2020
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
| 114
Table of Contents
2019 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2019, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
| Fund |
Qualifying Percentage |
|||
| Global Alternatives Fund |
29.22 | % | ||
| Tactical U.S. Market Fund |
82.25 | % | ||
Qualified Dividend Income. For the fiscal year ended December 31, 2019, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2019, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:
| Fund |
Qualifying |
|||
| Global Alternatives Fund |
30.13 | % | ||
| Tactical U.S. Market Fund |
83.03 | % | ||
Qualified Business Income Deduction. For the fiscal year ended December 31, 2019, 5.87% of the ordinary income dividends paid by the Global Alternatives Fund are eligible for the Qualified Business Income Deduction.
115 |
Table of Contents
Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES | ||||||||
| Kenneth A. Drucker (1945) |
Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee |
Retired | 51 None |
Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation) | ||||
| Edmond J. English (1953) |
Trustee since 2013 Chairperson of the Governance Committee and Audit Committee Member |
Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail) |
Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Richard A. Goglia (1951) |
Trustee since 2015 Contract Review Committee Member and Governance Committee Member |
Retired; formerly Vice President and Treasurer of Raytheon Retired; formerly Vice President and Treasurer of Raytheon Company (defense) |
51 None |
Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
| Wendell J. Knox (1948) |
Trustee since 2009 Chairperson of Contract Review Committee |
Director of Abt Associates Inc. (research and consulting) | 51 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) |
Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Martin T. Meehan (1956) | Trustee since 2012 Audit Committee Member |
President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell | 51 None |
Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
| Maureen B. Mitchell (1951) |
Trustee since 2017 Contract Review Committee Member and Governance Committee Member |
Retired; formerly President, Global Sales and Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services) |
51 Director, Sterling Bancorp (Bank) |
Experience on the Board ; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| James P. Palermo (1955) |
Trustee since 2016 Contract Review Committee Member |
Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation | 51 Director, FutureFuel.io (Chemicals and Biofuels) |
Experience on the Board ; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
| Erik R. Sirri (1958) |
Trustee since 2009 Chairperson of the Audit Committee |
Professor of Finance at Babson College | 51 None |
Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Peter J. Smail (1952) |
Trustee since 2009 Audit Committee Member and Governance Committee Member |
Retired | 51 None |
Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
| Kirk A. Sykes (1958) |
Trustee since 2019 Contract Review Committee Member |
Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance); formerly, President of Urban Strategy America Fund (real estate fund manager) | 51 Trustee, Eastern Bank (bank); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) |
Significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
| Cynthia L. Walker (1956) |
Trustee since 2005 Governance Committee Member and Audit Committee Member |
Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None |
Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INTERESTED TRUSTEES | ||||||||
| Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 |
Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. | 51 None |
Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
| David L. Giunta4 (1965) |
Trustee since 2011 President and Chief Executive Officer of the Trust |
President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | 51 None |
Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | ||||
| 1 | Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Mr. Drucker was appointed to serve an additional one year term as the Chairperson of the Board on June 12, 2019. |
| 2 | The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II and Natixis ETF Trust (collectively, the “Fund Complex”). |
| 3 | Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| 4 | Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held |
Term of Office1 and |
Principal Occupation(s) | |||
| OFFICERS OF THE TRUST | ||||||
| Russell L. Kane (1969) |
Secretary, Clerk and Chief Legal Officer | Since 2016 | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
| Michael C. Kardok (1959) |
Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
| Kirk D. Johnson (1981) |
Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2018 | Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Vice President and Counsel, Natixis Investment Managers, LLC. | |||
| 1 | Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
| 2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, L.P., Natixis Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
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Annual Report
December 31, 2019
Loomis Sayles Intermediate Municipal Bond Fund
Natixis Oakmark Fund
Natixis Oakmark International Fund
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
| Portfolio Review | 1 | |||
| Portfolio of Investments | 30 | |||
| Financial Statements | 51 | |||
| Notes to Financial Statements | 81 | |||
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
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LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND
| Managers | Symbols | |
| Dawn Mangerson | Class A MIMAX | |
| James Grabovac, CFA® | Class C MIMCX | |
| Lawrence Jones | Class Y MIMYX | |
| Loomis, Sayles & Company, L.P. | ||
Investment Goal
The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.
Market Conditions
Capital market returns were decidedly strong across the board in 2019. Interest rates declined, credit spreads tightened and equity markets rallied, despite an ongoing trade war and global manufacturing recession. Boosting investor risk sentiment were indications of a gradual cooling in United States-China trade tensions and a sanguine economic and monetary assessment from the Federal Reserve (the “Fed”). The Fed engineered three reductions in short-term interest rates in what it characterized as a mid-cycle adjustment, lowering the fed funds policy range to 1.5% — 1.75%. Furthermore, the Fed indicated that it expected to stay on the sidelines throughout the next 12 months. Counterpoised to positive market developments, however, remain longer-term concerns about the combination of monetary accommodation and a nearly $1 trillion fiscal deficit concurrent with unemployment at a 50-year low. Inflation remains quiescent, but the unorthodox policy mix provides an uneasy backdrop. Municipal mutual funds experienced record net shareholder inflows topping $93 billion for the year, which contributed to credit and sector spread compression as investors reached for yield. New issue supply rose by more than $75 billion in 2019, but nearly half the increase came in the form of taxable issuance which increased by $37 billion from year ago levels.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of the Loomis Sayles Intermediate Municipal Bond Fund returned 6.80% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays Municipal Bond Index, which returned 7.54%.
Explanation of Fund Performance
Although the Fund produced a meaningfully positive return for the year, it underperformed its benchmark primarily due to yield curve posture. More specifically, lack of exposure to the longest portion of the yield curve (22 years and longer), which produced the greatest returns for the period caused this negative impact to performance. Additionally, reduced exposure to the Lease and Special Tax sectors hampered performance as spread compression persisted. Credit decisions to avoid weaker state issuers such as Illinois and New Jersey were a significant drag on performance as strong investor demand for municipals and a reach for
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yield environment remained. However, overall security selection, duration posture and credit quality exposures were additive. Particularly, security selection within the Transportation, Higher Education and Water & Sewer sectors enhanced performance as did an overweight to the Hospital sector, especially lower quality, long duration holdings.
Outlook
The economic expansion appears on track to reach the 11-year mark at mid-year and market consensus anticipates that we are not nearing a business cycle peak over the medium-term horizon. We concur with that view but are cognizant of the strong performance of the capital markets over the past year. Municipal yields declined by more than 75 basis points in 2019 and valuations have richened versus Treasuries. Countering those factors, however, are improved valuations versus corporates and constrained tax-exempt supply. The impact of the 2017 tax changes remain a significant factor influencing market development. The law restricted tax-exempt supply and incentivized demand from individuals subject to the limitation on the deductibility of state and local taxes. We expect capital markets will have a difficult time matching the past year’s performance; however, we do anticipate the municipal market continuing to find support from the relatively constrained supply of tax-exempt issuance and strong demand from individuals, particularly those in high tax states.
Hypothetical Growth of $100,000 Investment in Class Y Shares1,4
December 31, 2012 (inception) through December 31, 2019
See notes to chart on page 3.
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LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND
Average Annual Total Returns — December 31, 20194
| Expense Ratios5 | ||||||||||||||||||||
| 1 Year | 5 Years | Life of Fund | Gross | Net | ||||||||||||||||
| Class Y (Inception 12/31/12)1 | ||||||||||||||||||||
| NAV | 6.80 | % | 2.88 | % | 2.61 | % | 1.05% | 0.46 | % | |||||||||||
| Class A (Inception 12/31/12)1 | ||||||||||||||||||||
| NAV | 6.54 | 2.59 | 2.31 | 1.31 | 0.71 | |||||||||||||||
| With 3.00% Maximum Sales Charge | 3.33 | 1.96 | 1.86 | |||||||||||||||||
| Class C (Inception 12/31/12)1 | ||||||||||||||||||||
| NAV | 5.64 | 1.85 | 1.55 | 2.06 | 1.46 | |||||||||||||||
| With CDSC2 | 4.64 | 1.85 | 1.55 | |||||||||||||||||
| Comparative Performance | ||||||||||||||||||||
| Bloomberg Barclays Municipal Bond Index3 | 7.54 | 3.53 | 3.39 | |||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 1 | December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 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 | Bloomberg Barclays Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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NATIXIS OAKMARK FUND
| Managers | Symbols | |
| William C. Nygren, CFA® | Class A NEFOX | |
| Kevin G. Grant, CFA® | Class C NECOX | |
| M. Colin Hudson, CFA® | Class N NOANX | |
| Michael J. Mangan, CFA® | Class Y NEOYX | |
| Michael A. Nicolas, CFA®* | ||
| Harris Associates L.P. | ||
| * | Effective January 28, 2020, Michael A. Nicolas joined the portfolio management team of the Fund. |
Investment Goal
The Fund seeks long-term capital appreciation.
Market Conditions
At the outset of the fourth quarter, investors faced a continuation of some unresolved difficulties that started the year. In typical fashion, markets reacted to news that was mainly driven by “Deal or No Deal” issues, such as U.S. trade disputes with China along with Mexico and Canada. Late in the quarter, the United States and China reached a partial trade deal and a new version of an agreement between the United States, Mexico and Canada moved toward implementation in 2020. Because these developments have provided more solid foundations for businesses to make capital allocation and investment decisions going forward, the news pushed key US indexes to all-time high levels. In fact, all 11 GICS sectors in the S&P 500® Index gained value in 2019 and produced double-digit returns for the year.
Economic indicators also influenced markets, with positive news largely outweighing negative news. Disappointing data included gross domestic product growth of only 2.1% in the third quarter, well short of comparable 2017 and 2018 quarters as well as policymakers’ targets. In addition, the Institute for Supply Management indicated that manufacturing activity continued to contract as new orders declined in November for the fourth consecutive month. Meanwhile, the unemployment rate remained at a multi-decades low level, new residential home sales rose nearly 17% year-over-year in November and November construction of new homes grew 3.2%, which reflected a 12-year high level. Furthermore, in a survey conducted by Bankrate, the country’s top economists revealed that although some areas of the economy have slowed, there is only about a 35% chance that a recession will occur within the next year as trade war-related threats have moderated. Importantly, consumer spending, a key economic growth driver, was strong. Retail industry experts reported November sales increased 2.1% from a year ago with record-setting Black Friday and Cyber Monday online holiday spending followed by Super Saturday spending that exceeded $34 billion, making it the largest single retail sales day in U.S. history.
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NATIXIS OAKMARK FUND
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of Natixis Oakmark Fund returned 27.06% at net asset value. The Fund underperformed its benchmark, the S&P 500® Index, which returned 31.49%.
Explanation of Fund Performance
The leading contributors to fund performance for the year were Citigroup and Apple. Citigroup’s results released over the course of the year showed the company achieved revenues of slightly more than $18 billion in all four reported quarters. In addition, earnings per share were better than market expectations consistently across reporting periods. From our standpoint, the company’s fundamental performance showed strengthening trends that we found notable. Most recently, Citigroup reported third-quarter results in mid-October that we saw as solid. Constant currency revenue grew 3% from a year earlier and earnings per share rose nearly 20% to $2.07 (including a one-time tax benefit), which was about 6% better than market expectations. We were particularly pleased with performance in the global consumer bank segment that realized an increase in underlying pre-provision net revenue of 11%, driven by 4% revenue growth along with a 1% decline in operating expenses. Lastly, management returned more than $6 billion of capital to shareholders through buybacks and dividend payments in the third quarter and reduced the share count by over 250 million from the prior year. Even accounting for the share price increase in 2019, we continue to believe that Citigroup is undervalued relative to its normalized earnings power. Apple’s fundamental performance has been consistently solid, in our view, which led to revenue and earnings per share that outpaced market expectations in all four reported quarters in 2019. The company’s first-quarter earnings per share rose 8% to $4.18, while the services segment generated revenue of $11 billion and the installed base grew by more than 100 million units in the first quarter. In March, news that Apple would soon unveil its plans for video, news and finance offerings helped its share price advance. Later, the company officially announced it was launching a pay-for-news application (News), a game subscription service (Apple Arcade), a video subscription service (Apple TV+) and a credit card (partnering with Goldman Sachs and Mastercard). Apple reported fiscal third-quarter total net revenue and earnings per share that surpassed market projections and reinforced our view that innovation continues to thrive at the company. Net revenues accelerated most in the wearables, home and accessories segment, which advanced 48% and far outpaced market forecasts. Revenues also rose in the Mac and iPad segments by about 11% and 8%, respectively. Importantly, the higher margin services segment realized a revenue increase of 13% and reached a record level of nearly $11.5 billion. Later, Apple’s fiscal fourth-quarter results exceeded investor expectations. Total revenue grew 2% from a year earlier to $64.04 billion, while earnings per share rose 4% to a record level $3.03, which was more than 7% higher than market projections. Even though the company’s share price rose progressively over the year, we elected to increase our sell target price as we continue to believe Apple offers further upside potential.
Qurate Retail and Chesapeake Energy were the largest detractors to fund performance for the calendar year. Qurate Retail issued mixed results throughout 2019 with revenue that
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lagged market expectations in three reported quarters, while operating income exceeded forecasts in three reported quarters. Revenues in the company’s underlying businesses (QVC, Zulily and QxH) were also inconsistent over the past 12 months. Most recently, Qurate reported third-quarter revenue of $3.09 billion, which undershot market projections of $3.12 billion. Concurrently, operating income reached $456 million and was better than the $388.1 million the market had estimated. From our perspective, results were in line with recent trends in the business. Revenues from QxH (QVC/HSN in the U.S.) declined 4% year-over-year, which is the third sequential quarter of contraction. QVC International revenue growth improved slightly (+3%) as demand in Japan shifted ahead owing to a pending consumption tax increase. Zulily is struggling as revenue fell 17% from a year earlier, and management anticipates results in this business will likely worsen and cause a $1 billion impairment charge of intangible assets from the acquisition. While we were disappointed by Qurate’s recent performance, we are hopeful that management’s objectives can lead to improved results going forward. Chesapeake Energy’s first-quarter revenue and earnings (before exploration expense) fell short of market expectations. However, we saw the company’s progress as solid. Chesapeake’s total production was up 8% from last year and organic oil volumes rose 13%; both metrics were ahead of market forecasts. Later, Chesapeake’s second-quarter earnings results were in line with our expectations and included increased guidance for 2019 on higher oil production and lower costs. Oil volumes increased 10% organically as the company continued to shift activity toward its Powder River and WildHorse assets, with good results in both basins, in our view. However, as part of its third-quarter earnings report, Chesapeake indicated it would reduce spending on drilling and completions in 2020. Ultimately, we opted to eliminate our position in the company to deploy the proceeds from the sale into more attractive holdings that offer stronger cash flow profiles, better balance sheets and potentially more compelling risk-adjusted returns.
Outlook
Owing to our experience, we are prepared to confidently navigate a wide array of macro environments. We apply the same disciplined investment approach when markets advance as well as when markets retreat. Throughout our history, we have implemented a consistent philosophy and an intensive research process. We continue to stay alert for attractive investment opportunities while ensuring that our clients’ goals remain at the forefront.
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NATIXIS OAKMARK FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2009 through December 31, 2019
Top Ten Holdings as of December 31, 2019
| Security Name | % of net assets |
|||||
| 1 | Alphabet, Inc., Class A | 3.93 | % | |||
| 2 | Citigroup, Inc. | 3.69 | % | |||
| 3 | Bank of America Corp. | 3.67 | % | |||
| 4 | Capital One Financial Corp. | 3.14 | % | |||
| 5 | Netflix, Inc. | 3.12 | % | |||
| 6 | Ally Financial, Inc. | 3.00 | % | |||
| 7 | Regeneron Pharmaceuticals, Inc. | 2.98 | % | |||
| 8 | State Street Corp. | 2.83 | % | |||
| 9 | Charter Communications, Inc., Class A | 2.77 | % | |||
| 10 | Charles Schwab Corp. (The) | 2.62 | % | |||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
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Average Annual Total Returns — December 31, 20193
| Life of Class N |
Expense Ratios4 | |||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Gross | Net | ||||||||||||||||||||
| Class Y (Inception 11/18/98) | ||||||||||||||||||||||||
| NAV | 27.06 | % | 8.82 | % | 11.85 | % | — | % | 0.88 | % | 0.88 | % | ||||||||||||
| Class A (Inception 5/6/31) | ||||||||||||||||||||||||
| NAV | 26.77 | 8.54 | 11.57 | — | 1.13 | 1.13 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 19.45 | 7.26 | 10.90 | — | ||||||||||||||||||||
| Class C (Inception 5/1/95) | ||||||||||||||||||||||||
| NAV | 25.82 | 7.75 | 10.74 | — | 1.88 | 1.88 | ||||||||||||||||||
| With CDSC1 | 24.82 | 7.75 | 10.74 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 27.16 | — | — | 9.80 | 3.79 | 0.75 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| S&P 500® Index2 | 31.49 | 11.70 | 13.56 | 14.20 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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 | 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. It also measures the performance of the large cap segment of the US equities market. |
| 3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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NATIXIS OAKMARK INTERNATIONAL FUND
| Managers | Symbols | |
| David G. Herro, CFA® | Class A NOIAX | |
| Michael L. Manelli, CFA® | Class C NOICX | |
| Harris Associates L.P. | Class N NIONX | |
| Class Y NOIYX | ||
Investment Goal
The Fund seeks long-term capital appreciation.
Market Conditions
Volatility afflicted indexes around the world during the year, but the fourth quarter brought a steady recovery in global markets. As was the case last year, 2019 featured extreme price movements as the latest news, including trade talks, Brexit, European Union political instability and even a political conflict between South Korea and Japan dating back to World War II, influenced stock prices. As an example, while global markets started the year off strong, a few tweets that fueled trade war fears in May sent indexes around the world tumbling. August also saw more measurable declines until markets began to recover and rebound based, in part, on more positive geopolitical headlines.
Other fears that weighed on markets later in 2019 were the possibility of a Jeremy Corbyn victory in the UK general election and continued uncertainty surrounding Brexit. With a large, historical victory by the Conservative Party in the UK, investors’ fears of a Corbyn-led socialist-style government were alleviated for the medium term. Instead, Prime Minister Boris Johnson’s government acted quickly to move its Brexit bill through Parliament in an attempt to ensure a smooth exit from the European Union.
Meanwhile, China and the US de-escalated their trade dispute with an agreement of a “phase-one” trade deal. These events boosted global equity market sentiment toward the end of 2019 and entering into 2020. These developments also provided more solid foundations for businesses to make capital allocation and investment decisions going forward as the news pushed key US indexes to all-time high levels. In fact, all 11 GICS sectors in the S&P 500® Index gained value in 2019 and produced double-digit returns for the year. In China, the Shanghai Composite increased 22% for the year, while Japan’s Nikkei 225 Index finished 18% higher in 2019.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of Natixis Oakmark International Fund returned 24.64% at net asset value. The Fund outperformed its benchmark, the MSCI World ex USA Index (Net), which returned 22.49%.
Explanation of Fund Performance
The top contributors to the yearly return were BNP Paribas and H&M. BNP Paribas issued a healthy set of first quarter financials, in our assessment. The report included first
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quarter year-over-year increases in revenue, pre-tax profit and net income of 3.2%, 6.2% and 0.2%, respectively. All of these metrics surpassed market forecasts. Notably, the bank’s return on tangible equity (ROTE) ratio improved to 11.2% (excluding exceptional items) in the first quarter from 10.2% in the fourth quarter of 2018, which illustrated to us that management is following through on reaching its full-year 2020 ROTE target of over 10.5%. Later, BNP’s first half earnings results were largely in line with our expectations with good revenue growth at +2.5% for the reporting period. Importantly, operating expenditures were only up 0.7% in the first half, which enabled the company to generate operational leverage across all three segments. BNP also delivered a positive third quarter earnings report with total revenue of EUR 10.90 billion, pre-tax income of EUR 2.81 billion and net income of EUR 1.94 billion, all of which exceeded market forecasts. For the nine-month period ended September 30, 2019, underlying results were good, by our measure, with constant currency revenue growth from core divisions of 2.8% and operating expenditure growth of only 0.8%. In addition, loan growth for the third quarter increased 5.5% year-over-year. Notably, the company generated operational leverage across all three segments following low growth in operating expenditures in the first half of the year. In our view, BNP continues to benefit from its 2020 Transformation Plan, which has now generated cumulative savings of EUR 1.5 billion since 2017 and is on track to generate EUR 3.3 billion in savings through 2020. The company’s Common Equity Tier 1 ratio expanded 10 basis points sequentially to 12.0%, in line with management’s target, which, in our view, positions it for an increased scope of shareholder capital returns. H&M’s share price soared upon the release of its fiscal first quarter earnings results. Earnings per share (SEK 0.49 vs. SEK 0.31) and earnings (SEK 1.01 billion vs. SEK 650.6 million) bested consensus estimates. Sales increased 4% in local currency, despite the replacement of the online platform in Germany that pressured sales in the country. Sales in China grew quite strongly in the first quarter at 18%, while sales in Sweden increased 11%, implying strong like-for-like performance. Moreover, H&M reported a gross margin increase year-over-year to 50% compared to the market’s expectation for a decline in the gross margin. In our view, the makeup of H&M’s second-quarter sales were encouraging as the company’s online (+20%) and new business (+18%) segments both grew quite strongly in local currency. Sales in China (+8%), the UK (+5%) and Sweden (+5%) delivered strong growth. The sales successes also translated to lower markdowns, which fell 100 basis points in the second-quarter year-over-year and were consistent with H&M’s guidance. The company’s nine-month sales release showed an 8% increase in sales in local currency year-over-year, which bested consensus expectations. H&M also benefited in the third quarter from a positive analyst note that upgraded the company. In addition, the company’s fourth-quarter earnings results were also largely in line with analysts’ estimates. We believe H&M is progressing well, thus far, on its strategy for improvement, adding to our confidence in the investment.
The largest detractors from return were Rolls-Royce Holdings and thyssenkrupp. Investors proved disappointed with Rolls-Royce Holdings’ indication in its first half earnings report that free cash flow was off to a sluggish start in 2019. However, the company reiterated its guidance for full year 2019 free cash flow given what it perceived to be temporary headwinds in the first half and the fact that the second half of the year is seasonally
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NATIXIS OAKMARK INTERNATIONAL FUND
stronger for the company. Along with its third quarter trading update, Rolls-Royce stated that full-year free cash flow and earnings would be at the low end of the previously issued guidance range, which weighed on its share price. Management expected that 2019 free cash flow and earnings would be closer to GBP 600 million, owing to design fixes for the Trent 1000 engine and higher costs associated with the Trent 1000 TEN engine. Even so, management maintained full-year 2020 free cash flow guidance at GBP 1 billion. Shortly after releasing the trading update, the US Navy awarded Rolls-Royce a $1.21 billion contract to provide maintenance, repair and other services for the V-22 AE1107C aircraft engine. Later, Bradley Singer, COO at activist firm ValueAct Capital, resigned from the Rolls-Royce Board of Directors after serving for three years. We spoke with Singer who expressed that he is comfortable with the other board members and the direction management is taking considering the positive changes enacted at the company, including better accounting practices, improved key performance indicators and a significant cost efficiency program. In our view, Rolls-Royce’s civil aerospace business is positioning the company for future success. The development of wide-body aircraft engines with improved fuel efficiency resulted in a loss-making phase, including a material erosion of cash profits for the group in recent years. Rolls-Royce is emerging from this period of major development, and we like that the company now holds strong market shares in the production of a number of wide-body engines with large order books and robust aftermarket business. As we expected, thyssenkrupp reported weak first quarter results due to reduced demand from the auto industry, raw material pressures and operational issues. Earnings were flat to down in all divisions, but management maintained guidance that calls for a meaningful increase year-over-year. As reported last year, the board recommended splitting the company in two: thyssenkrupp industrials and thyssenkrupp materials. The company also announced further details on the split, which would target improved efficiency and simplification. The new companies would give full profit and loss responsibility to the business and consolidate central functions. The goal was to reduce selling, general and administrative costs by roughly EUR 80 million. We viewed this incremental detail positively, but thyssenkrupp ultimately dropped the plans given regulatory opposition. Later, the company’s third quarter and fourth quarter earnings reports also fell short of analysts’ expectations, and investors were disappointed to learn management had no expectations for earnings or free cash flow improvement in fiscal year 2020. We spoke with CEO Martina Merz following the company’s Capital Markets Day in December who noted that the sale of the elevators business was stimulating “wonderful competition” among bidders. Merz also believes the concurrent preparation of the business for an initial public offering is helping stimulate bidding activity that is more attractive for thyssenkrupp, a process that is likely to end in February. Overall, we believe the company’s actions to reshape the portfolio are likely to improve the attractiveness of the group and reduce conglomerate discount on the shares. In addition, thyssenkrupp’s largest shareholders are highly motivated to improve the operating and share price performance of the company, in our estimation. We continue to believe the valuation for the company remains attractive, offering a compelling reason to own.
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Geographically, our average weightings for the year were 80% in Europe, 5% in Japan and 3% in South Korea. The remaining positions were in Australia, South Africa, Canada, China, Mexico, Indonesia, Taiwan, the United States and India.
Outlook
Despite the recovery in 2019, we still believe our investment approach offers good upside potential. In fact, our investment philosophy and team have been consistent throughout our history. We continue to look for opportunities to achieve higher returns by estimating business value and buying at a discount. We utilize this strategy with the goal of long-term outperformance for the benefit of our shareholders.
Hypothetical Growth of $100,000 Investment in Class Y Shares1,4
December 15, 2010 through December 31, 2019
See notes to chart on page 14.
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NATIXIS OAKMARK INTERNATIONAL FUND
Top Ten Holdings as of December 31, 2019
| Security Name | % of net assets |
|||||
| 1 | Glencore PLC | 4.38 | % | |||
| 2 | BNP Paribas S.A. | 3.68 | % | |||
| 3 | Intesa Sanpaolo SpA | 3.61 | % | |||
| 4 | Continental AG | 3.57 | % | |||
| 5 | Credit Suisse Group AG, (Registered) | 3.55 | % | |||
| 6 | Daimler AG, (Registered) | 3.49 | % | |||
| 7 | CNH Industrial NV | 3.38 | % | |||
| 8 | Bayerische Motoren Werke AG | 3.24 | % | |||
| 9 | Lloyds Banking Group PLC | 3.06 | % | |||
| 10 | Bayer AG, (Registered) | 2.98 | % | |||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
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Average Annual Total Returns — December 31, 20194
| Expense Ratios5 | ||||||||||||||||||||||||
| 1 Year | 5 Years | Life of Class | Gross | Net | ||||||||||||||||||||
| Class Y (5/1/17)1 | Class A/C | Class Y/N | ||||||||||||||||||||||
| NAV | 24.64 | % | 4.73 | % | — | % | 2.55 | % | 0.97 | % | 0.97 | % | ||||||||||||
| Class A (Inception 12/15/10) | ||||||||||||||||||||||||
| NAV | 24.35 | 4.59 | 5.93 | — | 1.21 | 1.21 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 17.19 | 3.35 | 5.24 | — | ||||||||||||||||||||
| Class C (Inception 12/15/10) | ||||||||||||||||||||||||
| NAV | 23.44 | 3.79 | 5.15 | — | 1.97 | 1.97 | ||||||||||||||||||
| With CDSC2 | 22.44 | 3.79 | 5.15 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 24.75 | — | — | 2.63 | 0.92 | 0.89 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| MSCI World ex USA Index (Net)3 | 22.49 | 5.42 | 5.05 | 6.88 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 1 | Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class. |
| 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 | 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. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Expense ratios are as shown in the Funds prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations. |
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VAUGHAN NELSON SMALL CAP VALUE FUND
| Managers | Symbols | |
| Chris D. Wallis, CFA® | Class A NEFJX | |
| Stephan Davis, CFA® | Class C NEJCX | |
| Class N VSCNX | ||
| Class Y NEJYX | ||
| Vaughan Nelson Investment Management, L.P. | ||
Investment Goal
The Fund seeks capital appreciation.
Market Conditions
During 2019, the equity market continued to recover from the steep sell-off experienced in the fourth quarter of 2018. The powerful rally was triggered by global central banks’ acknowledgement of tightening liquidity conditions and an increase in monetary stimulus by China.
Global central banks are increasing monetary stimulus to reinvigorate global growth and the US Federal Reserve (the “Fed”) began cutting rates during the third quarter. Unfortunately, given the prior reliance on monetary stimulus, the extended period of ultra-low rates, the rebalancing of the Chinese economy, and the secular shift in trade flows, central banks’ policies will have less of an impact on underlying economic growth.
There are many structural elements suppressing economic growth that cannot be addressed by simply lowering the federal funds rate. Global negative interest rates and inverted yield curves reflect a growing shortage of US dollar funding liquidity outside of the United States. In order to address this US dollar funding shortage, central banks will be forced to resume quantitative easing (QE) or a coordinated devaluing of the US dollar versus major trading currencies. QE will be necessary to boost dollar liquidity.
We expect only a modest resolution to US trade negotiations with China and other countries. It is important to note that the global slowdown began prior to the implementation of tariffs and trade negotiations and we do not expect a resolution to the trade discussions to result in a material or sustainable increase in economic growth.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of Vaughan Nelson Small Cap Value Fund returned 24.88% at net asset value. The Fund outperformed its benchmark, the Russell 2000® Value Index, which returned 22.39%.
Explanation of Fund Performance
The Fund outperformed the benchmark, primarily due to stock selection within the technology, communication services, energy, consumer staples, and materials sectors. The Fund was also underweight energy, the worst performing sector, during the year. The
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portfolio was underweight the traditional defensive sectors such as consumer staples, REITs, and utilities while also underweight the more cyclical areas of the benchmark. As such, we continue to experience better support in broad market selloffs but remain economically exposed should economic growth reaccelerate.
The technology sector contributed the most to the Fund’s performance for the year. The Fund was overweight the technology sector, which was up over 50% in 2019. Stock selection within technology was also good, adding to relative performance. Two outstanding stocks for 2019 include Lattice Semiconductor and CACI International. Lattice Semiconductor outperformed moderate expectations with its new management team driving necessary changes to make its product portfolio relevant again and for years to come — starting with the 5G network rollout. CACI performed well due to strong organic growth in its defense, intelligence and cyber end markets — along with two sound acquisitions giving rise to multiple portfolio synergies.
The communication services sector experienced a relatively flat year; however, the Fund’s media holdings within this sector performed exceptionally well with Nexstar Media and TEGNA each up over 50%. Nexstar and TEGNA both benefited from better than expected fundamentals in the local broadcast TV industry — stronger than expected retransmissions rates garnered from continued scale, and a stronger than expected TV political ad spending environment heading into the 2020 election.
Like 2018, the energy sector was the worst performing sector in 2019. The Fund was underweight the energy sector during the year, which was positive for performance. Also, the Fund’s energy stocks outperformed the benchmark’s with Kosmos Energy the best performer. Kosmos benefited from a more diversified production profile in 2019 after acquiring Gulf of Mexico assets in late 2018. The company expects to further reduce its gas portfolio holdings while improving the balance sheet and maintaining optionality in Ghana.
The consumer staples sector lagged the benchmark for the year. The Fund was underweight the sector, only owning one consumer staples stock, Performance Food Group. Performance Food Group returned over 50% during the year adding to relative performance. The company performed well due to strong performance in its VISTAR division with continued revenue and margin expansion. The company also announced two strategic acquisitions that will further expand its delivery network and move the company into the convenience store market.
The materials sector performed well during the year as economic growth stabilized and due to positive trade negotiations. Graphic Packaging and Versum Materials were both strong performers, which contributed to relative performance. Graphic Packaging rebounded nicely after a rough 2018 as the company returned to a positive price/cost environment within the concentrated paperboard industry. Versum materials was acquired by Merck KGaA because of its attractive position in the semiconductor materials markets.
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The Fund was overweight the healthcare sector, which lagged the market. The Fund’s healthcare holdings also underperformed the benchmark’s. LivaNova and Meridian Bioscience detracted the most from relative performance. LivaNova, a provider of cardiac surgery, neuromodulation, and cardiac rhythm management products, declined due to a slowdown in its neuromodulation business with more potential competition coming from the drug therapeutics market. Meridian Bioscience missed its second quarter guidance, suspended its dividend, and made an unexpected acquisition. Both stocks were sold during the year.
Financials performed in line with the benchmark for the year. The Fund’s stock selection lagged the benchmark with Green Dot and Virtu Financial detracting the most from relative performance. Green Dot sold off due to slowing revenue growth as the company took steps to optimize their customer base while making technology investments and significantly slowing earnings growth. The Fund sold the stock in the fourth quarter. Virtu Financial performed poorly during the year due to sluggish trading volume and volatility trends, while its penetration into newer markets was slower than expected.
Stock selection within the consumer discretionary sector also detracted from returns. Adtalem declined due to concerns surrounding free education legislation and earnings growth expectations slowed as Adtalem continued to divest non-core assets. The Fund was underweight the consumer discretionary sector, which underperformed the market, offsetting some of the loss due to Adtalem.
Real estate outperformed the market in 2019, propelled by falling interest rates. The Fund’s real estate holdings outperformed the benchmark’s; however, the Fund was underweight the sector, which detracted from relative performance. Stock selection within Utilities also hurt performance, with Southwest Gas and Spire lagging the benchmark.
Outlook
The primary excess during the current ten-year bull market has been liquidity in the form of QE. The excess liquidity that wasn’t absorbed in the real economy found its way into risk asset prices. Liquidity began to retreat with the implementation of quantitative tightening by the Federal Reserve and with tightening capital controls by China. We have seen the declining liquidity conditions impact asset prices, as global equity index valuations, commodity prices, and global luxury real estate prices have declined. Most recently, the market has repriced the private equity “unicorns” and the IPO market has cooled with several high-profile offerings postponed.
Rising US deficits and slowing private sector fundamentals will further pressure liquidity — and ultimately risk assets — unless the Fed begins to materially and sustainably increase its balance sheet. While central banks globally are beginning to cut interest rates, this will have a minimal impact on liquidity. Low rates are not the problem; the issue is interbank lending and the availability of US dollar funding capacity. We suspect the Federal Reserve will slowly be forced to provide dollar liquidity on a sustainable basis. Should this occur, the Federal Reserve will find itself at a familiar crossroad, where it can either choose to control
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the price of money (i.e. interest rates) or the quantity of money (i.e. US dollar exchange rate/inflation), but not both. We suspect they will choose the former over the latter.
US equity markets continue to price in a recovery in earnings growth. The leading economic indicators we track show economic activity stabilizing in Europe, but further weakness is expected in Japan, the United States, and China. The next few months will be critical in determining whether the increasing stability we are forecasting in Europe can spread to China and the United States, or whether the stability is a transitory improvement that presages further economic weakness. Valuations have risen materially in 2019 as markets recovered, and we expect markets to remain volatile until we are in an environment of sustained economic growth with adequate US dollar funding liquidity.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2009 through December 31, 2019
See notes to chart on page 20.
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VAUGHAN NELSON SMALL CAP VALUE FUND
Top Ten Holdings as of December 31, 2019
| Security Name | % of net assets |
|||||
| 1 | iShares® Russell 2000 Value Index ETF | 4.87 | % | |||
| 2 | CACI International, Inc., Class A | 3.36 | % | |||
| 3 | Cabot Microelectronics Corp. | 2.93 | % | |||
| 4 | Nexstar Media Group, Inc., Class A | 2.51 | % | |||
| 5 | Element Solutions, Inc. | 2.49 | % | |||
| 6 | MGIC Investment Corp. | 2.43 | % | |||
| 7 | Brady Corp., Class A | 2.32 | % | |||
| 8 | TEGNA, Inc. | 2.32 | % | |||
| 9 | Entegris, Inc. | 2.32 | % | |||
| 10 | Landstar System, Inc. | 2.18 | % | |||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
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Average Annual Total Returns — December 31, 20193
| Life of Class N |
Expense Ratios4 | |||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Gross | Net | ||||||||||||||||||||
| Class Y (Inception 8/31/06) | ||||||||||||||||||||||||
| NAV | 24.88 | % | 6.49 | % | 11.11 | % | — | % | 1.24 | % | 1.21 | % | ||||||||||||
| Class A (Inception 12/31/96) | ||||||||||||||||||||||||
| NAV | 24.66 | 6.23 | 10.84 | — | 1.50 | 1.46 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 17.50 | 4.98 | 10.18 | — | ||||||||||||||||||||
| Class C (Inception 12/31/96) |
|
|||||||||||||||||||||||
| NAV | 23.69 | 5.42 | 10.00 | — | 2.24 | 2.21 | ||||||||||||||||||
| With CDSC1 | 22.69 | 5.42 | 10.00 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 25.08 | — | — | 5.25 | 15.29 | 1.08 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Russell 2000® Value Index2 | 22.39 | 6.99 | 10.56 | 5.09 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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 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. |
| 3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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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 | |
| Class Y VNVYX | ||
| Vaughan Nelson Investment Management, L.P. | ||
Investment Goal
The Fund seeks long-term capital appreciation.
Market Conditions
During 2019, the equity market continued to recover from the steep sell-off experienced in the fourth quarter of 2018. The powerful rally was triggered by global central banks’ acknowledgement of tightening liquidity conditions and an increase in monetary stimulus by China.
Global central banks are increasing monetary stimulus to reinvigorate global growth and the US Federal Reserve (the “Fed”) began cutting rates during the third quarter. Unfortunately, given the prior reliance on monetary stimulus, the extended period of ultra-low rates, the rebalancing of the Chinese economy, and the secular shift in trade flows, central banks’ policies will have less of an impact on underlying economic growth.
There are many structural elements suppressing economic growth that cannot be addressed by simply lowering the federal funds rate. Global negative interest rates and inverted yield curves reflect a growing shortage of US dollar funding liquidity outside of the United States. In order to address this US dollar funding shortage, central banks will be forced to resume quantitative easing (QE) or a coordinated devaluing of the US dollar versus major trading currencies. QE will be necessary to boost dollar liquidity.
We expect only a modest resolution to US trade negotiations with China and other countries. It is important to note that the global slowdown began prior to the implementation of tariffs and trade negotiations and we do not expect a resolution to the trade discussions to result in a material or sustainable increase in economic growth.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of Vaughan Nelson Value Opportunity Fund returned 30.52% at net asset value. The Fund outperformed its benchmark, the Russell Midcap® Value Index, which returned 27.06%.
Explanation of Fund Performance
The Fund outperformed the benchmark for the year primarily due to stock selection in the technology, materials, communication services, industrials, healthcare, and utilities sectors. Also, the Fund was underweight the consumer discretionary, energy, and real estate
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sectors, which added to relative performance since all three sectors underperformed the market. Last, the Fund was materially overweight technology stocks during the year, which was a positive since the technology sector was the best performing sector.
Stock selection was good within the technology sector with CACI International and Global Payments contributing the most to returns. CACI performed well due to strong organic growth in its cyber consulting business and due to merger and acquisition synergies. Global Payments reported strong earnings growth throughout the year due to double digit revenue growth and margin expansion. The company also announced the accretive acquisition of Total System Services.
The Fund’s materials stocks outperformed the benchmark’s and were one of the top contributors to relative performance for the year. Crown Holdings and Constellium contributed the most to performance. Crown Holdings shares performed well as beverage can volumes improved and as the Transit acquisition was integrated. Constellium, a specialty aluminum manufacturer, benefited from strong performance in the aerospace and transportation segment due to higher prices and an improving mix.
The Fund’s communication services holdings were also a top contributor to relative performance. Both Electronic Arts and Nexstar Media outperformed. Electronic Arts was purchased following the steep market selloff in the fourth quarter of 2018. During 2019, the company increased earnings guidance due to better growth in Live Services, which benefited from Apex Legends. Meanwhile, Nexstar continues to benefit from strong growth in network transmission fees while the legacy advertisement business moves to higher value digital avenues. The company also closed the Tribune acquisition, which is expected to be highly accretive.
The industrials sector was one of the best performing sectors for the year, up more than 35%. The Fund’s industrials holdings were up even more, leading to strong relative performance. Allegion and WillScot contributed the most to returns. Willscot, a provider of modular workspace and storage solutions, performed well during the year due to strong business conditions leading to good pricing power. The company also acquired its peer, ModSpace. Allegion is a provider of security products and solutions to residential and commercial clients and benefited from the secular shift to electronic locks.
The Fund had positive stock selection within the healthcare sector, leading to strong relative performance. West Pharmaceutical Services and IQVIA Holdings were two top performers. As a provider of drug delivery systems to pharmaceutical companies, West has seen revenue and margin growth as more advanced drugs are requiring more innovative containment and usage solutions. IQVIA, a contract research organization, continues to benefit from the Quintiles/IMS merger synergies and from strong bookings growth in its Next Gen platform. The company is also aggressively buying back shares.
Utilities performed well again this year after being the best performing sector in 2018. The Fund’s holdings outperformed the benchmark’s, leading to relative outperformance. WEC
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Energy and Eversource were two top performers for the year. Both benefited from strong base rate growth and an improved regulatory environment.
Stock selection within the financials sector was the primary detractor from relative performance. Mr. Cooper and Virtu Financial were the primary detractors. Mr. Cooper, a residential mortgage servicer, performed poorly as interest rates declined during the year. The Fund sold Mr. Cooper in the second quarter. Virtu Financial performed poorly during the year due to sluggish trading volume and volatility trends, which drive revenue growth.
The Fund’s holding in the consumer staples sector, Constellation Brands, also detracted from performance. Constellation shares were impacted by tariff fears and concerns around weak beer sales.
Outlook
The primary excess during the current ten-year bull market has been liquidity in the form of QE. The excess liquidity that wasn’t absorbed in the real economy found its way into risk asset prices. Liquidity began to retreat with the implementation of quantitative tightening by the Federal Reserve and with tightening capital controls by China. We have seen the declining liquidity conditions impact asset prices, as global equity index valuations, commodity prices, and global luxury real estate prices have declined. Most recently, the market has repriced the private equity “unicorns” and the IPO market has cooled with several high-profile offerings postponed.
Rising US deficits and slowing private sector fundamentals will further pressure liquidity — and ultimately risk assets — unless the Fed begins to materially and sustainably increase its balance sheet. While central banks globally are beginning to cut interest rates, this will have a minimal impact on liquidity. Low rates are not the problem; the issue is interbank lending and the availability of US dollar funding capacity. We suspect the Fed will slowly be forced to provide dollar liquidity on a sustainable basis. Should this occur, the Fed will find itself at a familiar crossroad, where it can either choose to control the price of money (i.e. interest rates) or the quantity of money (i.e. US dollar exchange rate/inflation), but not both. We suspect they will choose the former over the latter.
US equity markets continue to price in a recovery in earnings growth. The leading economic indicators we track show economic activity stabilizing in Europe, but further weakness is expected in Japan, the United States, and China. The next few months will be critical in determining whether the increasing stability we are forecasting in Europe can spread to China and the United States, or whether the stability is a transitory improvement that presages further economic weakness. Valuations have risen materially in 2019 as markets recovered, and we expect markets to remain volatile until we are in an environment of sustained economic growth with adequate US dollar funding liquidity.
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Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2009 through December 31, 2019
See notes to chart on page 25.
Top Ten Holdings as of December 31, 2019
| Security Name | % of net assets |
|||||
| 1 | Nexstar Media Group, Inc., Class A | 3.46 | % | |||
| 2 | TCF Financial Corp. | 2.95 | % | |||
| 3 | Fiserv, Inc. | 2.63 | % | |||
| 4 | CACI International, Inc., Class A | 2.57 | % | |||
| 5 | Fidelity National Information Services, Inc. | 2.43 | % | |||
| 6 | Global Payments, Inc. | 2.26 | % | |||
| 7 | Evergy, Inc. | 2.25 | % | |||
| 8 | Vistra Energy Corp. | 2.23 | % | |||
| 9 | IQVIA Holdings, Inc. | 2.10 | % | |||
| 10 | Allstate Corp. (The) | 2.09 | % | |||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
| 24
Table of Contents
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Average Annual Total Returns — December 31, 20193
| Life of Class N |
Expense Ratios4 | |||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Gross | Net | ||||||||||||||||||||
| Class Y (Inception 10/31/08) | ||||||||||||||||||||||||
| NAV | 30.52 | % | 4.96 | % | 10.55 | % | — | % | 1.20 | % | 1.16 | % | ||||||||||||
| Class A (Inception 10/31/08) | ||||||||||||||||||||||||
| NAV | 30.21 | 4.70 | 10.27 | — | 1.45 | 1.41 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 22.72 | 3.46 | 9.62 | — | ||||||||||||||||||||
| Class C (Inception 10/31/08) | ||||||||||||||||||||||||
| NAV | 29.25 | 3.92 | 9.46 | — | 2.19 | 2.16 | ||||||||||||||||||
| With CDSC1 | 28.25 | 3.92 | 9.46 | — | ||||||||||||||||||||
| Class N (Inception 5/1/13) | ||||||||||||||||||||||||
| NAV | 30.67 | 5.06 | — | 8.99 | 1.09 | 1.09 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Russell Midcap® Value Index | 27.06 | 7.62 | 12.41 | 10.40 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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. |
| 4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
25 |
Table of Contents
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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 Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
| 26
Table of Contents
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2019 through December 31, 2019. 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 funds. If transaction costs were included, total costs would be higher.
| LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,018.30 | $3.56 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,014.50 | $7.36 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.90 | $7.38 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,020.60 | $2.29 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,022.94 | $2.29 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
27 |
Table of Contents
| NATIXIS OAKMARK FUND | BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,088.10 | $6.16 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.31 | $5.96 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,084.00 | $10.09 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.53 | $9.75 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,089.70 | $4.37 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | $4.23 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,089.60 | $4.85 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.57 | $4.69 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.17%, 1.92%, 0.83% and 0.92% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
| NATIXIS OAKMARK INTERNATIONAL FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,102.80 | $6.68 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.85 | $6.41 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,098.10 | $10.63 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.07 | $10.21 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,104.20 | $4.88 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.57 | $4.69 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,104.10 | $5.36 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.11 | $5.14 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.26%, 2.01%, 0.92% and 1.01% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
| 28
Table of Contents
UNDERSTANDING FUND EXPENSES
| VAUGHAN NELSON SMALL CAP VALUE FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,053.90 | $6.94 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.45 | $6.82 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,049.90 | $10.80 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,014.67 | $10.61 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,055.40 | $5.34 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.01 | $5.24 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,055.10 | $5.65 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.71 | $5.55 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.34%, 2.09%, 1.03% and 1.09% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
| VAUGHAN NELSON VALUE OPPORTUNITY FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,085.70 | $6.31 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.16 | $6.11 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,081.70 | $10.23 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.38 | $9.91 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,087.70 | $4.74 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,087.20 | $5.00 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
29 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Intermediate Municipal Bond Fund
| Principal Amount |
Description | Value (†) | ||||||
| Bonds and Notes — 93.1% of Net Assets | ||||||||
| Municipals — 93.1% | ||||||||
| Colorado — 11.2% | ||||||||
| $ | 260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033 | $ | 293,992 | ||||
| 400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 | 435,284 | ||||||
| 400,000 | Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026 | 445,180 | ||||||
| 250,000 | Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030 | 303,175 | ||||||
| 500,000 | Regional Transportation District Sales Tax Revenue, Series A, 5.000%, 11/01/2028 | 643,290 | ||||||
|
|
|
|||||||
| 2,120,921 | ||||||||
|
|
|
|||||||
| Connecticut — 2.5% | ||||||||
| 400,000 | Connecticut State Health & Educational Facilities Authority, University of New Haven, Series K-1, 5.000%, 7/01/2033 | 473,540 | ||||||
|
|
|
|||||||
| Florida — 14.1% | ||||||||
| 235,000 | City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027 | 250,611 | ||||||
| 95,000 | City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028 | 101,527 | ||||||
| 700,000 | City of Cape Coral FL Water & Sewer Revenue, 5.000%, 10/01/2039 | 840,455 | ||||||
| 500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 | 562,670 | ||||||
| 400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 | 456,868 | ||||||
| 400,000 | Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025 | 470,372 | ||||||
|
|
|
|||||||
| 2,682,503 | ||||||||
|
|
|
|||||||
| Georgia — 1.5% | ||||||||
| 250,000 | Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 | 285,428 | ||||||
|
|
|
|||||||
| Illinois — 3.7% | ||||||||
| 540,000 | Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031 | 606,987 | ||||||
| 100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 | 105,458 | ||||||
|
|
|
|||||||
| 712,445 | ||||||||
|
|
|
|||||||
| Louisiana — 2.8% | ||||||||
| 200,000 | New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035 | 234,338 | ||||||
| 250,000 | New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036 | 292,210 | ||||||
|
|
|
|||||||
| 526,548 | ||||||||
|
|
|
|||||||
| Missouri — 4.2% | ||||||||
| 700,000 | Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024 | 800,800 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Intermediate Municipal Bond Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Nevada — 3.0% | ||||||||
| $ | 500,000 | City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026 | $ | 578,990 | ||||
|
|
|
|||||||
| New Jersey — 7.6% | ||||||||
| 265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023 | 299,013 | ||||||
| 500,000 | New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032 | 575,980 | ||||||
| 500,000 | Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024 | 563,870 | ||||||
|
|
|
|||||||
| 1,438,863 | ||||||||
|
|
|
|||||||
| New Mexico — 3.1% | ||||||||
| 500,000 | New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031 | 586,305 | ||||||
|
|
|
|||||||
| New York — 1.2% | ||||||||
| 200,000 | New York State Dormitory Authority, Series D, 4.000%, 2/15/2038 | 229,082 | ||||||
|
|
|
|||||||
| Ohio — 6.0% | ||||||||
| 500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023 | 569,155 | ||||||
| 500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 | 570,850 | ||||||
|
|
|
|||||||
| 1,140,005 | ||||||||
|
|
|
|||||||
| Pennsylvania — 1.6% | ||||||||
| 285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 | 304,916 | ||||||
|
|
|
|||||||
| Rhode Island — 3.0% | ||||||||
| 500,000 | Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024 | 571,875 | ||||||
|
|
|
|||||||
| Tennessee — 3.1% | ||||||||
| 500,000 | Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030 | 596,320 | ||||||
|
|
|
|||||||
| Texas — 11.4% | ||||||||
| 700,000 | Houston TX Airport System Revenue, Refunding, Series C, AMT, 5.000%, 7/01/2026 | 847,763 | ||||||
| 400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 | 453,084 | ||||||
| 250,000 | Texas City Independent School District, GO, (PSF-GTD), 4.000%, 8/15/2034 | 288,257 | ||||||
| 500,000 | Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034 | 577,950 | ||||||
|
|
|
|||||||
| 2,167,054 | ||||||||
|
|
|
|||||||
| Washington — 9.0% | ||||||||
| 500,000 | King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032 | 574,940 | ||||||
| 500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 | 557,630 | ||||||
| 500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 | 574,140 | ||||||
|
|
|
|||||||
| 1,706,710 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Intermediate Municipal Bond Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Wisconsin — 4.1% | ||||||||
| $ | 500,000 | State of Wisconsin, GO, Prerefunded 05/01/2021@100, Series B, 5.000%, 5/01/2022 | $ | 525,625 | ||||
| 225,000 | Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031 | 258,131 | ||||||
|
|
|
|||||||
| 783,756 | ||||||||
|
|
|
|||||||
| Total Bonds and Notes (Identified Cost $16,564,542) |
17,706,061 | |||||||
|
|
|
|||||||
| Shares | ||||||||
| Exchange-Traded Funds — 4.4% | ||||||||
| 10,000 | SPDR® Nuveen Bloomberg Barclays High Yield Municipal Bond ETF | 590,000 | ||||||
| 10,000 | VanEck Vectors® Short High-Yield Municipal Index ETF | 252,000 | ||||||
|
|
|
|||||||
| Total Exchange-Traded Funds (Identified Cost $811,628) |
842,000 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments— 3.1% | ||||||||
| $ | 596,026 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $596,056 on 1/02/2020 collateralized by $600,000 U.S. Treasury Note, 2.000% due 5/31/2024 valued at $609,387 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $596,026) | 596,026 | |||||
|
|
|
|||||||
| Total Investments — 100.6% (Identified Cost $17,972,196) |
19,144,087 | |||||||
| Other assets less liabilities — (0.6)% | (119,083 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 19,025,004 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| AGM | Assured Guaranty Municipal Corporation |
| ||||||
| AMT | Alternative Minimum Tax |
| ||||||
| ETF | Exchange-Traded Fund |
| ||||||
| GO | General Obligation |
| ||||||
| SPDR | Standard & Poor’s Depositary Receipt |
| ||||||
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Intermediate Municipal Bond Fund – (continued)
Industry Summary at December 31, 2019
| Hospitals |
18.3 | % | ||
| General Purpose Public Improvement |
16.0 | |||
| Airports |
15.1 | |||
| Water and Sewer |
11.6 | |||
| Higher Education |
8.5 | |||
| Primary Secondary Education |
6.8 | |||
| Electric Public Power |
4.2 | |||
| Mass Rapid Transportation |
3.4 | |||
| Toll Roads, Streets & Highways |
3.0 | |||
| Pollution Control |
3.0 | |||
| Other Investments, less than 2% each |
3.2 | |||
| Exchange-Traded Funds |
4.4 | |||
| Short-Term Investments |
3.1 | |||
|
|
|
|||
| Total Investments |
100.6 | |||
| Other assets less liabilities |
(0.6 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 98.2% of Net Assets | ||||||||
| Air Freight & Logistics — 1.0% | ||||||||
| 19,025 | FedEx Corp. | $ | 2,876,770 | |||||
|
|
|
|||||||
| Airlines — 1.4% | ||||||||
| 140,000 | American Airlines Group, Inc. | 4,015,200 | ||||||
|
|
|
|||||||
| Auto Components — 1.5% | ||||||||
| 37,100 | Aptiv PLC | 3,523,387 | ||||||
| 64,266 | Delphi Technologies PLC(a) | 824,533 | ||||||
|
|
|
|||||||
| 4,347,920 | ||||||||
|
|
|
|||||||
| Automobiles — 4.3% | ||||||||
| 429,100 | Fiat Chrysler Automobiles NV | 6,303,479 | ||||||
| 159,400 | General Motors Co. | 5,834,040 | ||||||
|
|
|
|||||||
| 12,137,519 | ||||||||
|
|
|
|||||||
| Banks — 9.6% | ||||||||
| 295,300 | Bank of America Corp. | 10,400,466 | ||||||
| 130,900 | Citigroup, Inc. | 10,457,601 | ||||||
| 120,345 | Wells Fargo & Co. | 6,474,561 | ||||||
|
|
|
|||||||
| 27,332,628 | ||||||||
|
|
|
|||||||
| Beverages — 1.9% | ||||||||
| 27,900 | Constellation Brands, Inc., Class A | 5,294,025 | ||||||
|
|
|
|||||||
| Biotechnology — 3.0% | ||||||||
| 22,520 | Regeneron Pharmaceuticals, Inc.(a) | 8,455,810 | ||||||
|
|
|
|||||||
| Capital Markets — 12.4% | ||||||||
| 107,200 | Bank of New York Mellon Corp. (The) | 5,395,376 | ||||||
| 156,100 | Charles Schwab Corp. (The) | 7,424,116 | ||||||
| 18,665 | Goldman Sachs Group, Inc. (The) | 4,291,644 | ||||||
| 25,385 | Moody’s Corp. | 6,026,653 | ||||||
| 14,585 | S&P Global, Inc. | 3,982,434 | ||||||
| 101,400 | State Street Corp. | 8,020,740 | ||||||
|
|
|
|||||||
| 35,140,963 | ||||||||
|
|
|
|||||||
| Consumer Finance — 6.1% | ||||||||
| 278,500 | Ally Financial, Inc. | 8,510,960 | ||||||
| 86,465 | Capital One Financial Corp. | 8,898,113 | ||||||
|
|
|
|||||||
| 17,409,073 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 2.5% | ||||||||
| 74,500 | TE Connectivity Ltd. | 7,140,080 | ||||||
|
|
|
|||||||
| Entertainment — 3.1% | ||||||||
| 27,365 | Netflix, Inc.(a) | 8,854,493 | ||||||
|
|
|
|||||||
| Health Care Providers & Services — 4.9% | ||||||||
| 76,985 | CVS Health Corp. | 5,719,215 | ||||||
| 25,207 | HCA Healthcare, Inc. | 3,725,847 | ||||||
| 11,765 | Humana, Inc. | 4,312,108 | ||||||
|
|
|
|||||||
| 13,757,170 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Hotels, Restaurants & Leisure — 3.7% | ||||||||
| 46,645 | Hilton Worldwide Holdings, Inc. | $ | 5,173,397 | |||||
| 158,800 | MGM Resorts International | 5,283,276 | ||||||
|
|
|
|||||||
| 10,456,673 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 2.2% | ||||||||
| 563,400 | General Electric Co. | 6,287,544 | ||||||
|
|
|
|||||||
| Insurance — 2.2% | ||||||||
| 118,845 | American International Group, Inc. | 6,100,314 | ||||||
|
|
|
|||||||
| Interactive Media & Services — 6.4% | ||||||||
| 8,325 | Alphabet, Inc., Class A(a) | 11,150,422 | ||||||
| 33,290 | Facebook, Inc., Class A(a) | 6,832,772 | ||||||
|
|
|
|||||||
| 17,983,194 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 4.4% | ||||||||
| 3,280 | Booking Holdings, Inc.(a) | 6,736,234 | ||||||
| 109,500 | eBay, Inc. | 3,954,045 | ||||||
| 199,200 | Qurate Retail, Inc., Class A(a) | 1,679,256 | ||||||
|
|
|
|||||||
| 12,369,535 | ||||||||
|
|
|
|||||||
| IT Services — 6.4% | ||||||||
| 18,620 | Automatic Data Processing, Inc. | 3,174,710 | ||||||
| 115,200 | DXC Technology Co. | 4,330,368 | ||||||
| 30,465 | Gartner, Inc.(a) | 4,694,656 | ||||||
| 9,860 | MasterCard, Inc., Class A | 2,944,097 | ||||||
| 16,005 | Visa, Inc., Class A | 3,007,340 | ||||||
|
|
|
|||||||
| 18,151,171 | ||||||||
|
|
|
|||||||
| Machinery — 5.8% | ||||||||
| 29,481 | Caterpillar, Inc. | 4,353,754 | ||||||
| 29,060 | Cummins, Inc. | 5,200,578 | ||||||
| 32,755 | Parker-Hannifin Corp. | 6,741,634 | ||||||
|
|
|
|||||||
| 16,295,966 | ||||||||
|
|
|
|||||||
| Media — 5.2% | ||||||||
| 16,210 | Charter Communications, Inc., Class A(a) | 7,863,147 | ||||||
| 152,500 | Comcast Corp., Class A | 6,857,925 | ||||||
|
|
|
|||||||
| 14,721,072 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 5.5% | ||||||||
| 195,300 | Apache Corp. | 4,997,727 | ||||||
| 44,300 | Concho Resources, Inc. | 3,879,351 | ||||||
| 34,100 | Diamondback Energy, Inc. | 3,166,526 | ||||||
| 43,700 | EOG Resources, Inc. | 3,660,312 | ||||||
|
|
|
|||||||
| 15,703,916 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 3.0% | ||||||||
| 87,300 | Intel Corp. | 5,224,905 | ||||||
| 26,200 | Texas Instruments, Inc. | 3,361,198 | ||||||
|
|
|
|||||||
| 8,586,103 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Technology Hardware, Storage & Peripherals — 1.7% | ||||||||
| 16,230 | Apple, Inc. | $ | 4,765,940 | |||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $226,571,332) |
278,183,079 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 1.8% | ||||||||
| $ | 5,183,485 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $5,183,744 on 1/02/2020 collateralized by $5,035,000 U.S. Treasury Note, 2.875% due 10/31/2023 valued at $5,287,817 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,183,485) | 5,183,485 | |||||
|
|
|
|||||||
| Total Investments — 100.0% (Identified Cost $231,754,817) |
283,366,564 | |||||||
| Other assets less liabilities — 0.0% | 71,151 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 283,437,715 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
Industry Summary at December 31, 2019
| Capital Markets |
12.4 | % | ||
| Banks |
9.6 | |||
| IT Services |
6.4 | |||
| Interactive Media & Services |
6.4 | |||
| Consumer Finance |
6.1 | |||
| Machinery |
5.8 | |||
| Oil, Gas & Consumable Fuels |
5.5 | |||
| Media |
5.2 | |||
| Health Care Providers & Services |
4.9 | |||
| Internet & Direct Marketing Retail |
4.4 | |||
| Automobiles |
4.3 | |||
| Hotels, Restaurants & Leisure |
3.7 | |||
| Entertainment |
3.1 | |||
| Semiconductors & Semiconductor Equipment |
3.0 | |||
| Biotechnology |
3.0 | |||
| Electronic Equipment, Instruments & Components |
2.5 | |||
| Industrial Conglomerates |
2.2 | |||
| Insurance |
2.2 | |||
| Other Investments, less than 2% each |
7.5 | |||
| Short-Term Investments |
1.8 | |||
|
|
|
|||
| Total Investments |
100.0 | |||
| Other assets less liabilities |
0.0 | * | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
* Less than 0.1%
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark International Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 97.5% of Net Assets | ||||||||
| Australia — 2.4% | ||||||||
| 3,897,150 | AMP Ltd. | $ | 5,242,435 | |||||
| 408,000 | Brambles Ltd. | 3,358,127 | ||||||
| 358,458 | Orica Ltd. | 5,527,596 | ||||||
|
|
|
|||||||
| 14,128,158 | ||||||||
|
|
|
|||||||
| Canada — 2.2% | ||||||||
| 878,467 | Cenovus Energy, Inc. | 8,929,779 | ||||||
| 96,000 | Open Text Corp. | 4,230,195 | ||||||
|
|
|
|||||||
| 13,159,974 | ||||||||
|
|
|
|||||||
| China — 2.4% | ||||||||
| 67,834 | Baidu, Inc., Sponsored ADR(a) | 8,574,217 | ||||||
| 53,935 | Prosus NV(a) | 4,036,579 | ||||||
| 50,400 | Trip.com Group Ltd., ADR(a) | 1,690,416 | ||||||
|
|
|
|||||||
| 14,301,212 | ||||||||
|
|
|
|||||||
| Finland — 0.8% | ||||||||
| 136,400 | UPM-Kymmene OYJ | 4,732,328 | ||||||
|
|
|
|||||||
| France — 11.3% | ||||||||
| 275,848 | Accor S.A. | 12,947,968 | ||||||
| 370,191 | BNP Paribas S.A.(b) | 22,003,441 | ||||||
| 188,022 | Bureau Veritas S.A. | 4,915,258 | ||||||
| 21,100 | EssilorLuxottica S.A. | 3,225,799 | ||||||
| 276,248 | Publicis Groupe S.A. | 12,525,469 | ||||||
| 344,500 | Valeo S.A. | 12,210,200 | ||||||
|
|
|
|||||||
| 67,828,135 | ||||||||
|
|
|
|||||||
| Germany — 18.0% | ||||||||
| 61,210 | Allianz SE, (Registered) | 14,998,150 | ||||||
| 219,130 | Bayer AG, (Registered) | 17,814,523 | ||||||
| 236,700 | Bayerische Motoren Werke AG | 19,387,075 | ||||||
| 165,359 | Continental AG | 21,369,385 | ||||||
| 377,714 | Daimler AG, (Registered) | 20,881,652 | ||||||
| 15,900 | Henkel AG & Co. KGaA | 1,494,481 | ||||||
| 862,400 | thyssenkrupp AG | 11,588,160 | ||||||
|
|
|
|||||||
| 107,533,426 | ||||||||
|
|
|
|||||||
| India — 0.7% | ||||||||
| 367,975 | Axis Bank Ltd. | 3,889,823 | ||||||
|
|
|
|||||||
| Indonesia — 0.8% | ||||||||
| 8,632,500 | Bank Mandiri Persero Tbk PT | 4,770,005 | ||||||
|
|
|
|||||||
| Ireland — 2.8% | ||||||||
| 191,702 | Ryanair Holdings PLC, Sponsored ADR(a) | 16,795,012 | ||||||
|
|
|
|||||||
| Italy — 3.6% | ||||||||
| 8,187,300 | Intesa Sanpaolo SpA | 21,566,886 | ||||||
|
|
|
|||||||
| Japan — 3.4% | ||||||||
| 407,700 | Komatsu Ltd. | 9,785,385 | ||||||
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark International Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Japan — continued | ||||||||
| 119,500 | Olympus Corp. | $ | 1,841,818 | |||||
| 126,300 | Toyota Motor Corp. | 8,899,283 | ||||||
|
|
|
|||||||
| 20,526,486 | ||||||||
|
|
|
|||||||
| Korea — 3.1% | ||||||||
| 77,400 | NAVER Corp. | 12,453,268 | ||||||
| 122,800 | Samsung Electronics Co. Ltd. | 5,917,344 | ||||||
|
|
|
|||||||
| 18,370,612 | ||||||||
|
|
|
|||||||
| Mexico — 1.2% | ||||||||
| 629,900 | Grupo Televisa SAB, Sponsored ADR | 7,388,727 | ||||||
|
|
|
|||||||
| Netherlands — 2.3% | ||||||||
| 2,030 | ASML Holding NV | 600,995 | ||||||
| 169,382 | EXOR NV | 13,132,429 | ||||||
|
|
|
|||||||
| 13,733,424 | ||||||||
|
|
|
|||||||
| South Africa — 2.0% | ||||||||
| 72,335 | Naspers Ltd., N Shares | 11,837,399 | ||||||
|
|
|
|||||||
| Sweden — 6.0% | ||||||||
| 644,755 | Hennes & Mauritz AB, B Shares | 13,151,415 | ||||||
| 494,500 | SKF AB, B Shares | 10,011,804 | ||||||
| 749,300 | Volvo AB, B Shares | 12,544,172 | ||||||
|
|
|
|||||||
| 35,707,391 | ||||||||
|
|
|
|||||||
| Switzerland — 12.0% | ||||||||
| 100,800 | Cie Financiere Richemont S.A., (Registered) | 7,877,611 | ||||||
| 1,569,536 | Credit Suisse Group AG, (Registered)(b) | 21,216,478 | ||||||
| 8,411,700 | Glencore PLC(b) | 26,191,652 | ||||||
| 12,530 | Kuehne & Nagel International AG, (Registered) | 2,113,393 | ||||||
| 137,921 | LafargeHolcim Ltd., (Registered) | 7,651,507 | ||||||
| 24,355 | Swatch Group AG (The) | 6,800,046 | ||||||
|
|
|
|||||||
| 71,850,687 | ||||||||
|
|
|
|||||||
| Taiwan — 0.2% | ||||||||
| 135,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 1,494,156 | ||||||
|
|
|
|||||||
| United Kingdom — 21.4% | ||||||||
| 368,867 | Ashtead Group PLC | 11,794,419 | ||||||
| 101,000 | Bunzl PLC | 2,762,422 | ||||||
| 1,838,700 | CNH Industrial NV | 20,188,730 | ||||||
| 2,425,600 | G4S PLC | 7,014,495 | ||||||
| 400,121 | Liberty Global PLC, Class A(a) | 9,098,752 | ||||||
| 50,326 | Liberty Global PLC, Class C(a) | 1,096,855 | ||||||
| 22,072,500 | Lloyds Banking Group PLC | 18,285,314 | ||||||
| 61,900 | Reckitt Benckiser Group PLC | 5,028,043 | ||||||
| 1,645,900 | Rolls-Royce Holdings PLC | 14,875,660 | ||||||
| 2,916,300 | Royal Bank of Scotland Group PLC | 9,355,322 | ||||||
| 288,089 | Schroders PLC | 12,720,889 | ||||||
| 100 | Schroders PLC, (Non Voting) | 3,333 | ||||||
| 187,300 | Smiths Group PLC | 4,183,371 | ||||||
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark International Fund – (continued)
| Shares | Description | Value (†) | ||||||
| United Kingdom — continued | ||||||||
| 820,500 | WPP PLC | $ | 11,546,286 | |||||
|
|
|
|||||||
| 127,953,891 | ||||||||
|
|
|
|||||||
| United States — 0.9% | ||||||||
| 46,950 | Ferguson PLC | 4,272,771 | ||||||
| 5,177 | Willis Towers Watson PLC | 1,045,443 | ||||||
|
|
|
|||||||
| 5,318,214 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $629,832,027) |
582,885,946 | |||||||
|
|
|
|||||||
| Preferred Stocks — 0.4% | ||||||||
| Germany — 0.4% |
| |||||||
| 24,800 | Henkel AG & Co. KGaA (Identified Cost $2,551,720) |
2,561,851 | ||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 2.1% | ||||||||
| $ | 12,573,625 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $12,574,253 on 1/02/2020 collateralized by $12,680,000 U.S. Treasury Note, 1.750% due 7/15/2022 valued at $12,828,495 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $12,573,625) | 12,573,625 | |||||
|
|
|
|||||||
| Total Investments — 100.0% (Identified Cost $644,957,372) |
598,021,422 | |||||||
| Other assets less liabilities — (0.0)% | (185,252 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 597,836,170 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
| (b) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative 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. |
| ||||||
| CHF | Swiss Franc |
| ||||||
See accompanying notes to financial statements.
39 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark International Fund – (continued)
At December 31, 2019, the Fund had the following open forward foreign currency contracts:
| Counterparty | Delivery Date |
Currency Bought/ Sold (B/S) |
Units of Currency |
In Exchange for | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| State Street Bank and Trust Company | 6/17/2020 | CHF | S | 4,286,000 | $ | 4,409,465 | $ | 4,479,724 | $ | (70,259 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||||||
Industry Summary at December 31, 2019
| Banks |
13.4 | % | ||
| Machinery |
8.8 | |||
| Automobiles |
8.2 | |||
| Media |
6.9 | |||
| Metals & Mining |
6.3 | |||
| Capital Markets |
5.6 | |||
| Auto Components |
5.6 | |||
| Interactive Media & Services |
3.5 | |||
| Trading Companies & Distributors |
3.2 | |||
| Diversified Financial Services |
3.1 | |||
| Pharmaceuticals |
3.0 | |||
| Internet & Direct Marketing Retail |
3.0 | |||
| Textiles, Apparel & Luxury Goods |
2.9 | |||
| Airlines |
2.8 | |||
| Insurance |
2.7 | |||
| Aerospace & Defense |
2.5 | |||
| Specialty Retail |
2.2 | |||
| Hotels, Restaurants & Leisure |
2.2 | |||
| Other Investments, less than 2% each |
12.0 | |||
| Short-Term Investments |
2.1 | |||
|
|
|
|||
| Total Investments |
100.0 | |||
| Other assets less liabilities (including forward foreign currency contracts) |
(0.0 | )* | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
* Less than 0.1%
See accompanying notes to financial statements.
| 40
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis Oakmark International Fund – (continued)
Currency Exposure Summary at December 31, 2019
| Euro |
40.5 | % | ||
| British Pound |
21.4 | |||
| United States Dollar |
9.7 | |||
| Swiss Franc |
7.6 | |||
| Swedish Krona |
6.0 | |||
| Japanese Yen |
3.4 | |||
| South Korean Won |
3.1 | |||
| Australian Dollar |
2.4 | |||
| Canadian Dollar |
2.2 | |||
| South African Rand |
2.0 | |||
| Other, less than 2% each |
1.7 | |||
|
|
|
|||
| Total Investments |
100.0 | |||
| Other assets less liabilities (including forward foreign currency contracts) |
(0.0 | )* | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
* Less than 0.1%
See accompanying notes to financial statements.
41 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Small Cap Value Fund
| Shares |
Description | Value (†) | ||||||
| Common Stocks — 95.1% of Net Assets | ||||||||
| Aerospace & Defense — 1.4% | ||||||||
| 19,246 | Moog, Inc., Class A | $ | 1,642,261 | |||||
|
|
|
|||||||
| Banks — 14.0% | ||||||||
| 56,750 | Atlantic Union Bankshares Corp. | 2,130,962 | ||||||
| 37,975 | Enterprise Financial Services Corp. | 1,830,775 | ||||||
| 43,275 | First Bancorp | 1,727,105 | ||||||
| 92,000 | First Financial Bancorp | 2,340,480 | ||||||
| 53,300 | First Merchants Corp. | 2,216,747 | ||||||
| 26,000 | Lakeland Financial Corp. | 1,272,180 | ||||||
| 74,150 | United Community Banks, Inc. | 2,289,752 | ||||||
| 39,375 | Webster Financial Corp. | 2,101,050 | ||||||
|
|
|
|||||||
| 15,909,051 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.6% | ||||||||
| 12,813 | Emergent BioSolutions, Inc.(a) | 691,261 | ||||||
|
|
|
|||||||
| Capital Markets — 2.9% | ||||||||
| 23,400 | LPL Financial Holdings, Inc. | 2,158,650 | ||||||
| 70,375 | Virtu Financial, Inc., Class A | 1,125,296 | ||||||
|
|
|
|||||||
| 3,283,946 | ||||||||
|
|
|
|||||||
| Chemicals — 3.3% | ||||||||
| 241,550 | Element Solutions, Inc.(a) | 2,821,304 | ||||||
| 39,950 | Huntsman Corp. | 965,192 | ||||||
|
|
|
|||||||
| 3,786,496 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 4.2% | ||||||||
| 46,050 | Brady Corp., Class A | 2,636,823 | ||||||
| 23,100 | Brink’s Co. (The) | 2,094,708 | ||||||
|
|
|
|||||||
| 4,731,531 | ||||||||
|
|
|
|||||||
| Consumer Finance — 1.4% | ||||||||
| 19,475 | FirstCash, Inc. | 1,570,269 | ||||||
|
|
|
|||||||
| Diversified Consumer Services — 0.9% | ||||||||
| 27,993 | Adtalem Global Education, Inc.(a) | 978,915 | ||||||
|
|
|
|||||||
| Electrical Equipment — 1.2% | ||||||||
| 113,650 | GrafTech International Ltd. | 1,320,613 | ||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 2.3% | ||||||||
| 29,805 | Fabrinet(a) | 1,932,556 | ||||||
| 10,250 | Insight Enterprises, Inc.(a) | 720,473 | ||||||
|
|
|
|||||||
| 2,653,029 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 0.6% | ||||||||
| 99,550 | Newpark Resources, Inc.(a) | 624,179 | ||||||
|
|
|
|||||||
| Food & Staples Retailing — 1.1% | ||||||||
| 23,625 | Performance Food Group Co.(a) | 1,216,215 | ||||||
|
|
|
|||||||
| Gas Utilities — 3.9% | ||||||||
| 28,625 | Southwest Gas Holdings, Inc. | 2,174,641 | ||||||
See accompanying notes to financial statements.
| 42
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Gas Utilities — continued | ||||||||
| 26,625 | Spire, Inc. | $ | 2,218,129 | |||||
|
|
|
|||||||
| 4,392,770 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 2.4% | ||||||||
| 29,175 | Integra LifeSciences Holdings Corp.(a) | 1,700,319 | ||||||
| 51,328 | Lantheus Holdings, Inc.(a) | 1,052,737 | ||||||
|
|
|
|||||||
| 2,753,056 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 1.8% | ||||||||
| 33,200 | AMN Healthcare Services, Inc.(a) | 2,068,692 | ||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 1.5% | ||||||||
| 15,500 | Dunkin’ Brands Group, Inc. | 1,170,870 | ||||||
| 20,850 | Scientific Games Corp., Class A(a) | 558,363 | ||||||
|
|
|
|||||||
| 1,729,233 | ||||||||
|
|
|
|||||||
| Household Durables — 1.0% | ||||||||
| 31,000 | MDC Holdings, Inc. | 1,182,960 | ||||||
|
|
|
|||||||
| Insurance — 6.4% | ||||||||
| 14,375 | Hanover Insurance Group, Inc. (The) | 1,964,631 | ||||||
| 28,025 | Mercury General Corp. | 1,365,658 | ||||||
| 86,900 | Old Republic International Corp. | 1,943,953 | ||||||
| 30,825 | Selective Insurance Group, Inc. | 2,009,482 | ||||||
|
|
|
|||||||
| 7,283,724 | ||||||||
|
|
|
|||||||
| IT Services — 4.6% | ||||||||
| 15,265 | CACI International, Inc., Class A(a) | 3,816,097 | ||||||
| 53,400 | Perspecta, Inc. | 1,411,896 | ||||||
|
|
|
|||||||
| 5,227,993 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 1.9% | ||||||||
| 19,300 | PRA Health Sciences, Inc.(a) | 2,145,195 | ||||||
|
|
|
|||||||
| Machinery — 4.2% | ||||||||
| 10,325 | Alamo Group, Inc. | 1,296,304 | ||||||
| 13,075 | Albany International Corp., Class A | 992,654 | ||||||
| 33,525 | Franklin Electric Co., Inc. | 1,921,653 | ||||||
| 25,025 | Trinity Industries, Inc. | 554,304 | ||||||
|
|
|
|||||||
| 4,764,915 | ||||||||
|
|
|
|||||||
| Media — 6.1% | ||||||||
| 66,775 | Gray Television, Inc.(a) | 1,431,656 | ||||||
| 24,300 | Nexstar Media Group, Inc., Class A | 2,849,175 | ||||||
| 157,600 | TEGNA, Inc. | 2,630,344 | ||||||
|
|
|
|||||||
| 6,911,175 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 3.5% | ||||||||
| 70,625 | Callon Petroleum Co.(a) | 341,119 | ||||||
| 281,725 | Kosmos Energy Ltd. | 1,605,832 | ||||||
| 109,225 | Parsley Energy, Inc., Class A | 2,065,445 | ||||||
|
|
|
|||||||
| 4,012,396 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
43 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Professional Services — 0.5% | ||||||||
| 8,175 | ASGN, Inc.(a) | $ | 580,180 | |||||
|
|
|
|||||||
| Real Estate Management & Development — 1.9% | ||||||||
| 105,600 | Cushman & Wakefield PLC(a) | 2,158,464 | ||||||
|
|
|
|||||||
| REITs – Health Care — 2.4% | ||||||||
| 26,118 | Community Healthcare Trust, Inc. | 1,119,417 | ||||||
| 81,940 | Physicians Realty Trust | 1,551,944 | ||||||
|
|
|
|||||||
| 2,671,361 | ||||||||
|
|
|
|||||||
| REITs – Office Property — 1.2% | ||||||||
| 83,850 | Brandywine Realty Trust | 1,320,638 | ||||||
|
|
|
|||||||
| REITs – Storage — 1.1% | ||||||||
| 38,100 | National Storage Affiliates Trust | 1,280,922 | ||||||
|
|
|
|||||||
| Road & Rail — 2.2% | ||||||||
| 21,725 | Landstar System, Inc. | 2,473,826 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 9.9% | ||||||||
| 23,025 | Cabot Microelectronics Corp. | 3,322,968 | ||||||
| 52,475 | Entegris, Inc. | 2,628,473 | ||||||
| 28,725 | Lattice Semiconductor Corp.(a) | 549,797 | ||||||
| 51,450 | MaxLinear, Inc.(a) | 1,091,769 | ||||||
| 42,025 | Nova Measuring Instruments Ltd.(a) | 1,589,806 | ||||||
| 82,075 | Rambus, Inc.(a) | 1,130,583 | ||||||
| 40,625 | Tower Semiconductor Ltd.(a) | 977,437 | ||||||
|
|
|
|||||||
| 11,290,833 | ||||||||
|
|
|
|||||||
| Software — 0.5% | ||||||||
| 4,600 | CyberArk Software Ltd.(a) | 536,268 | ||||||
|
|
|
|||||||
| Specialty Retail — 1.8% | ||||||||
| 34,900 | Aaron’s, Inc. | 1,993,139 | ||||||
|
|
|
|||||||
| Thrifts & Mortgage Finance — 2.4% | ||||||||
| 194,650 | MGIC Investment Corp. | 2,758,191 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $95,510,081) |
107,943,697 | |||||||
|
|
|
|||||||
| Exchange-Traded Funds — 4.9% | ||||||||
| 43,000 | iShares® Russell 2000 Value Index ETF (Identified Cost $5,073,901) |
5,528,940 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 44
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Small Cap Value Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 0.5% | ||||||||
| $ | 594,567 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $594,597 on 1/02/2020 collateralized by $580,000 U.S. Treasury Note, 2.875% due 10/31/2023 valued at $609,123 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $594,567) | $ | 594,567 | ||||
|
|
|
|||||||
| Total Investments — 100.5% (Identified Cost $101,178,549) |
114,067,204 | |||||||
| Other assets less liabilities — (0.5)% | (589,248 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 113,477,956 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Non-income producing security. | |||||||
| ETF | Exchange-Traded Fund | |||||||
| REITs | Real Estate Investment Trusts | |||||||
Industry Summary at December 31, 2019
| Banks |
14.0 | % | ||
| Semiconductors & Semiconductor Equipment |
9.9 | |||
| Insurance |
6.4 | |||
| Media |
6.1 | |||
| IT Services |
4.6 | |||
| Machinery |
4.2 | |||
| Commercial Services & Supplies |
4.2 | |||
| Gas Utilities |
3.9 | |||
| Oil, Gas & Consumable Fuels |
3.5 | |||
| Chemicals |
3.3 | |||
| Capital Markets |
2.9 | |||
| Thrifts & Mortgage Finance |
2.4 | |||
| Health Care Equipment & Supplies |
2.4 | |||
| REITs – Health Care |
2.4 | |||
| Electronic Equipment, Instruments & Components |
2.3 | |||
| Road & Rail |
2.2 | |||
| Other Investments, less than 2% each |
20.4 | |||
| Exchange-Traded Funds |
4.9 | |||
| Short-Term Investments |
0.5 | |||
|
|
|
|||
| Total Investments |
100.5 | |||
| Other assets less liabilities |
(0.5 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
45 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Value Opportunity Fund
| Shares |
Description | Value (†) | ||||||
| Common Stocks — 98.9% of Net Assets | ||||||||
| Banks — 5.7% | ||||||||
| 158,900 | Bank of NT Butterfield & Son Ltd. (The) | $ | 5,882,478 | |||||
| 118,400 | PacWest Bancorp | 4,531,168 | ||||||
| 234,350 | TCF Financial Corp. | 10,967,580 | ||||||
|
|
|
|||||||
| 21,381,226 | ||||||||
|
|
|
|||||||
| Beverages — 2.0% | ||||||||
| 38,845 | Constellation Brands, Inc., Class A | 7,370,839 | ||||||
|
|
|
|||||||
| Building Products — 1.1% | ||||||||
| 33,425 | Allegion PLC | 4,162,750 | ||||||
|
|
|
|||||||
| Capital Markets — 3.5% | ||||||||
| 111,050 | Ares Management Corp., Class A | 3,963,374 | ||||||
| 69,950 | Nasdaq, Inc. | 7,491,645 | ||||||
| 107,050 | Virtu Financial, Inc., Class A | 1,711,730 | ||||||
|
|
|
|||||||
| 13,166,749 | ||||||||
|
|
|
|||||||
| Chemicals — 3.1% | ||||||||
| 59,825 | FMC Corp. | 5,971,732 | ||||||
| 59,200 | LyondellBasell Industries NV, Class A | 5,593,216 | ||||||
|
|
|
|||||||
| 11,564,948 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 1.8% | ||||||||
| 75,150 | Brink’s Co. (The) | 6,814,602 | ||||||
|
|
|
|||||||
| Construction & Engineering — 1.5% | ||||||||
| 306,150 | WillScot Corp.(a) | 5,660,714 | ||||||
|
|
|
|||||||
| Consumer Finance — 0.7% | ||||||||
| 74,550 | Synchrony Financial | 2,684,546 | ||||||
|
|
|
|||||||
| Containers & Packaging — 3.3% | ||||||||
| 27,600 | AptarGroup, Inc. | 3,191,112 | ||||||
| 27,300 | Avery Dennison Corp. | 3,571,386 | ||||||
| 74,225 | Crown Holdings, Inc.(a) | 5,384,281 | ||||||
|
|
|
|||||||
| 12,146,779 | ||||||||
|
|
|
|||||||
| Distributors — 0.5% | ||||||||
| 8,155 | POOL CORP. | 1,731,959 | ||||||
|
|
|
|||||||
| Diversified Consumer Services — 3.3% | ||||||||
| 39,275 | Grand Canyon Education, Inc.(a) | 3,762,152 | ||||||
| 277,000 | Laureate Education, Inc., Class A(a) | 4,877,970 | ||||||
| 97,550 | ServiceMaster Global Holdings, Inc.(a) | 3,771,283 | ||||||
|
|
|
|||||||
| 12,411,405 | ||||||||
|
|
|
|||||||
| Electric Utilities — 4.2% | ||||||||
| 128,825 | Evergy, Inc. | 8,385,219 | ||||||
| 85,275 | Eversource Energy | 7,254,344 | ||||||
|
|
|
|||||||
| 15,639,563 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 3.3% | ||||||||
| 48,475 | AMETEK, Inc. | 4,834,896 | ||||||
See accompanying notes to financial statements.
| 46
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Value Opportunity Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Electrical Equipment — continued | ||||||||
| 24,850 | Hubbell, Inc. | $ | 3,673,327 | |||||
| 151,850 | nVent Electric PLC | 3,884,323 | ||||||
|
|
|
|||||||
| 12,392,546 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 1.9% | ||||||||
| 12,875 | CDW Corp. | 1,839,065 | ||||||
| 50,000 | Keysight Technologies, Inc.(a) | 5,131,500 | ||||||
|
|
|
|||||||
| 6,970,565 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 1.1% | ||||||||
| 159,200 | Baker Hughes Co. | 4,080,296 | ||||||
|
|
|
|||||||
| Entertainment — 1.2% | ||||||||
| 40,175 | Electronic Arts, Inc.(a) | 4,319,214 | ||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 3.0% | ||||||||
| 14,230 | Cooper Cos., Inc. (The) | 4,571,957 | ||||||
| 91,725 | Hologic, Inc.(a) | 4,788,962 | ||||||
| 11,650 | West Pharmaceutical Services, Inc. | 1,751,344 | ||||||
|
|
|
|||||||
| 11,112,263 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 1.9% | ||||||||
| 112,575 | Centene Corp.(a) | 7,077,590 | ||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 1.4% | ||||||||
| 120,850 | Aramark | 5,244,890 | ||||||
|
|
|
|||||||
| Independent Power & Renewable Electricity Producers — 3.5% | ||||||||
| 185,275 | Atlantica Yield PLC | 4,889,407 | ||||||
| 361,350 | Vistra Energy Corp. | 8,307,437 | ||||||
|
|
|
|||||||
| 13,196,844 | ||||||||
|
|
|
|||||||
| Insurance — 5.7% | ||||||||
| 69,325 | Allstate Corp. (The) | 7,795,596 | ||||||
| 48,475 | Arthur J. Gallagher & Co. | 4,616,274 | ||||||
| 70,550 | Athene Holding Ltd., Class A(a) | 3,317,967 | ||||||
| 32,825 | Reinsurance Group of America, Inc. | 5,352,444 | ||||||
|
|
|
|||||||
| 21,082,281 | ||||||||
|
|
|
|||||||
| IT Services — 13.1% | ||||||||
| 18,710 | Alliance Data Systems Corp. | 2,099,262 | ||||||
| 63,500 | Booz Allen Hamilton Holding Corp. | 4,516,755 | ||||||
| 38,340 | CACI International, Inc., Class A(a) | 9,584,617 | ||||||
| 65,025 | Fidelity National Information Services, Inc. | 9,044,327 | ||||||
| 84,675 | Fiserv, Inc.(a) | 9,790,970 | ||||||
| 46,025 | Global Payments, Inc. | 8,402,324 | ||||||
| 69,025 | MAXIMUS, Inc. | 5,134,770 | ||||||
|
|
|
|||||||
| 48,573,025 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 3.1% | ||||||||
| 45,400 | Agilent Technologies, Inc. | 3,873,074 | ||||||
See accompanying notes to financial statements.
47 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Value Opportunity Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Life Sciences Tools & Services — continued | ||||||||
| 50,687 | IQVIA Holdings, Inc.(a) | $ | 7,831,648 | |||||
|
|
|
|||||||
| 11,704,722 | ||||||||
|
|
|
|||||||
| Machinery — 2.4% | ||||||||
| 41,100 | Oshkosh Corp. | 3,890,115 | ||||||
| 89,575 | Timken Co. (The) | 5,043,968 | ||||||
|
|
|
|||||||
| 8,934,083 | ||||||||
|
|
|
|||||||
| Media — 3.5% | ||||||||
| 109,825 | Nexstar Media Group, Inc., Class A | 12,876,981 | ||||||
|
|
|
|||||||
| Metals & Mining — 1.1% | ||||||||
| 302,150 | Constellium SE(a) | 4,048,810 | ||||||
|
|
|
|||||||
| Multi-Utilities — 5.7% | ||||||||
| 92,650 | Ameren Corp. | 7,115,520 | ||||||
| 113,500 | CMS Energy Corp. | 7,132,340 | ||||||
| 77,000 | WEC Energy Group, Inc. | 7,101,710 | ||||||
|
|
|
|||||||
| 21,349,570 | ||||||||
|
|
|
|||||||
| Multiline Retail — 1.0% | ||||||||
| 23,325 | Dollar General Corp. | 3,638,234 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 3.8% | ||||||||
| 48,475 | Pioneer Natural Resources Co. | 7,337,661 | ||||||
| 499,700 | WPX Energy, Inc.(a) | 6,865,878 | ||||||
|
|
|
|||||||
| 14,203,539 | ||||||||
|
|
|
|||||||
| REITs – Diversified — 0.9% | ||||||||
| 214,125 | New Residential Investment Corp. | 3,449,554 | ||||||
|
|
|
|||||||
| REITs – Warehouse/Industrials — 1.8% | ||||||||
| 104,000 | CyrusOne, Inc. | 6,804,720 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 2.4% | ||||||||
| 34,050 | Analog Devices, Inc. | 4,046,502 | ||||||
| 95,100 | Entegris, Inc. | 4,763,559 | ||||||
|
|
|
|||||||
| 8,810,061 | ||||||||
|
|
|
|||||||
| Software — 4.0% | ||||||||
| 47,550 | Check Point Software Technologies Ltd.(a) | 5,276,148 | ||||||
| 12,275 | RingCentral, Inc., Class A(a) | 2,070,424 | ||||||
| 400,000 | SolarWinds Corp.(a) | 7,420,000 | ||||||
|
|
|
|||||||
| 14,766,572 | ||||||||
|
|
|
|||||||
| Thrifts & Mortgage Finance — 2.4% | ||||||||
| 55,825 | Essent Group Ltd. | 2,902,342 | ||||||
| 207,375 | MGIC Investment Corp. | 2,938,504 | ||||||
| 118,725 | Radian Group, Inc. | 2,987,121 | ||||||
|
|
|
|||||||
| 8,827,967 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $300,966,313) |
368,200,407 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of December 31, 2019
Vaughan Nelson Value Opportunity Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 0.8% | ||||||||
| $ | 2,968,895 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $2,969,044 on 1/02/2020 collateralized by $2,695,000 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2022 valued at $3,028,396 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,968,895) | $ | 2,968,895 | ||||
|
|
|
|||||||
| Total Investments — 99.7% (Identified Cost $303,935,208) |
371,169,302 | |||||||
| Other assets less liabilities — 0.3% | 1,163,188 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 372,332,490 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
| REITs | Real Estate Investment Trusts |
| ||||||
Industry Summary at December 31, 2019
| IT Services |
13.1 | % | ||
| Banks |
5.7 | |||
| Multi-Utilities |
5.7 | |||
| Insurance |
5.7 | |||
| Electric Utilities |
4.2 | |||
| Software |
4.0 | |||
| Oil, Gas & Consumable Fuels |
3.8 | |||
| Independent Power & Renewable Electricity Producers |
3.5 | |||
| Capital Markets |
3.5 | |||
| Media |
3.5 | |||
| Diversified Consumer Services |
3.3 | |||
| Electrical Equipment |
3.3 | |||
| Containers & Packaging |
3.3 | |||
| Life Sciences Tools & Services |
3.1 | |||
| Chemicals |
3.1 | |||
| Health Care Equipment & Supplies |
3.0 | |||
| Machinery |
2.4 | |||
| Thrifts & Mortgage Finance |
2.4 | |||
| Semiconductors & Semiconductor Equipment |
2.4 | |||
| Beverages |
2.0 | |||
| Other Investments, less than 2% each |
17.9 | |||
| Short-Term Investments |
0.8 | |||
|
|
|
|||
| Total Investments |
99.7 | |||
| Other assets less liabilities |
0.3 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
49 |
Table of Contents
This Page Intentionally Left Blank
| 50
Table of Contents
Statements of Assets and Liabilities
December 31, 2019
| Loomis Sayles Intermediate Municipal Bond Fund |
Natixis Oakmark Fund |
Natixis Oakmark International Fund |
||||||||||
| ASSETS |
||||||||||||
| Investments at cost |
$ | 17,972,196 | $ | 231,754,817 | $ | 644,957,372 | ||||||
| Net unrealized appreciation (depreciation) |
1,171,891 | 51,611,747 | (46,935,950 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Investments at value |
19,144,087 | 283,366,564 | 598,021,422 | |||||||||
| Cash |
— | — | 57 | |||||||||
| Foreign currency at value (identified cost $0, $0 and $38,434, respectively) |
— | — | 38,654 | |||||||||
| Receivable for Fund shares sold |
10,118 | 904,916 | 448,959 | |||||||||
| Receivable from investment adviser (Note 6) |
3,042 | — | — | |||||||||
| Receivable for securities sold |
— | — | 484,645 | |||||||||
| Dividends and interest receivable |
244,573 | 108,113 | 18,570 | |||||||||
| Tax reclaims receivable |
— | 95,492 | 2,165,510 | |||||||||
| Prepaid expenses (Note 8) |
1 | 14 | 28 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL ASSETS |
19,401,821 | 284,475,099 | 601,177,845 | |||||||||
|
|
|
|
|
|
|
|||||||
| LIABILITIES |
||||||||||||
| Payable for securities purchased |
228,780 | — | 523,624 | |||||||||
| Payable for Fund shares redeemed |
5,791 | 219,801 | 1,915,394 | |||||||||
| Unrealized depreciation on forward foreign currency contracts (Note 2) |
— | — | 70,259 | |||||||||
| Foreign taxes payable (Note 2) |
— | — | 123,175 | |||||||||
| Distributions payable |
17,361 | — | — | |||||||||
| Management fees payable (Note 6) |
— | 165,456 | 393,168 | |||||||||
| Deferred Trustees’ fees (Note 6) |
55,582 | 549,423 | 92,427 | |||||||||
| Administrative fees payable (Note 6) |
704 | 10,599 | 22,259 | |||||||||
| Payable to distributor (Note 6d) |
51 | 1,772 | 8,122 | |||||||||
| Other accounts payable and accrued expenses |
68,548 | 90,333 | 193,247 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL LIABILITIES |
376,817 | 1,037,384 | 3,341,675 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 19,025,004 | $ | 283,437,715 | $ | 597,836,170 | ||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS CONSIST OF: |
| |||||||||||
| Paid-in capital |
$ | 18,427,937 | $ | 232,632,914 | $ | 694,656,195 | ||||||
| Accumulated earnings (loss) |
597,067 | 50,804,801 | (96,820,025 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 19,025,004 | $ | 283,437,715 | $ | 597,836,170 | ||||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Statements of Assets and Liabilities (continued)
December 31, 2019
| Loomis Sayles Intermediate Municipal Bond Fund |
Natixis Oakmark Fund |
Natixis Oakmark International Fund |
||||||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||
| Class A shares: |
||||||||||||
| Net assets |
$ | 7,566,512 | $ | 181,416,615 | $ | 172,906,246 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
728,865 | 8,081,453 | 12,689,449 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and redemption price per share |
$ | 10.38 | $ | 22.45 | $ | 13.63 | ||||||
|
|
|
|
|
|
|
|||||||
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 10.70 | $ | 23.82 | $ | 14.46 | ||||||
|
|
|
|
|
|
|
|||||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||
| Net assets |
$ | 1,419,637 | $ | 54,383,992 | $ | 179,533,096 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
136,714 | 2,875,089 | 13,387,094 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and offering price per share |
$ | 10.38 | $ | 18.92 | $ | 13.41 | ||||||
|
|
|
|
|
|
|
|||||||
| Class N shares: |
| |||||||||||
| Net assets |
$ | — | $ | 801,213 | $ | 810,891 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
— | 33,691 | 59,807 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, offering and redemption price per share |
$ | — | $ | 23.78 | $ | 13.56 | ||||||
|
|
|
|
|
|
|
|||||||
| Class Y shares: |
| |||||||||||
| Net assets |
$ | 10,038,855 | $ | 46,835,895 | $ | 244,585,937 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
965,623 | 1,972,047 | 18,041,625 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, offering and redemption price per share |
$ | 10.40 | $ | 23.75 | $ | 13.56 | ||||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements.
| 52
Table of Contents
Statements of Assets and Liabilities (continued)
December 31, 2019
| Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
|||||||
| ASSETS |
||||||||
| Investments at cost |
$ | 101,178,549 | $ | 303,935,208 | ||||
| Net unrealized appreciation |
12,888,655 | 67,234,094 | ||||||
|
|
|
|
|
|||||
| Investments at value |
114,067,204 | 371,169,302 | ||||||
| Cash |
11 | — | ||||||
| Receivable for Fund shares sold |
25,802 | 1,649,007 | ||||||
| Dividends and interest receivable |
66,822 | 250,336 | ||||||
| Prepaid expenses (Note 8) |
5 | 19 | ||||||
|
|
|
|
|
|||||
| TOTAL ASSETS |
114,159,844 | 373,068,664 | ||||||
|
|
|
|
|
|||||
| LIABILITIES |
||||||||
| Payable for securities purchased |
251,862 | — | ||||||
| Payable for Fund shares redeemed |
90,466 | 227,406 | ||||||
| Management fees payable (Note 6) |
71,875 | 232,564 | ||||||
| Deferred Trustees’ fees (Note 6) |
181,416 | 154,742 | ||||||
| Administrative fees payable (Note 6) |
4,070 | 12,951 | ||||||
| Payable to distributor (Note 6d) |
966 | 4,371 | ||||||
| Other accounts payable and accrued expenses |
81,233 | 104,140 | ||||||
|
|
|
|
|
|||||
| TOTAL LIABILITIES |
681,888 | 736,174 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
$ | 113,477,956 | $ | 372,332,490 | ||||
|
|
|
|
|
|||||
| NET ASSETS CONSIST OF: |
||||||||
| Paid-in capital |
$ | 102,170,961 | $ | 301,754,217 | ||||
| Accumulated earnings |
11,306,995 | 70,578,273 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
$ | 113,477,956 | $ | 372,332,490 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
53 |
Table of Contents
Statements of Assets and Liabilities (continued)
December 31, 2019
| Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
|||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||
| Class A shares: |
||||||||
| Net assets |
$ | 67,524,857 | $ | 33,433,638 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
4,370,758 | 1,491,385 | ||||||
|
|
|
|
|
|||||
| Net asset value and redemption price per share |
$ | 15.45 | $ | 22.42 | ||||
|
|
|
|
|
|||||
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 16.39 | $ | 23.79 | ||||
|
|
|
|
|
|||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||
| Net assets |
$ | 1,449,797 | $ | 21,932,439 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
184,875 | 1,041,586 | ||||||
|
|
|
|
|
|||||
| Net asset value and offering price per share |
$ | 7.84 | $ | 21.06 | ||||
|
|
|
|
|
|||||
| Class N shares: |
||||||||
| Net assets |
$ | 21,251 | $ | 18,261,630 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
1,312 | 805,860 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering and redemption price per share |
$ | 16.20 | $ | 22.66 | ||||
|
|
|
|
|
|||||
| Class Y shares: |
||||||||
| Net assets |
$ | 44,482,051 | $ | 298,704,783 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
2,746,942 | 13,162,660 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering and redemption price per share |
$ | 16.19 | $ | 22.69 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 54
Table of Contents
Statements of Operations
For the Year Ended December 31, 2019
| Loomis Sayles Intermediate Municipal Bond Fund |
Natixis Oakmark Fund |
Natixis Oakmark International Fund |
||||||||||
| INVESTMENT INCOME |
||||||||||||
| Dividends |
$ | 31,368 | $ | 5,473,081 | (a) | $ | 27,615,008 | (b) | ||||
| Non-cash dividends (Note 2b) |
— | 352,443 | 1,267,333 | |||||||||
| Interest |
579,869 | 187,859 | 134,346 | |||||||||
| Less net foreign taxes withheld |
— | (1,493 | ) | (2,471,787 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| 611,237 | 6,011,890 | 26,544,900 | ||||||||||
|
|
|
|
|
|
|
|||||||
| Expenses |
||||||||||||
| Management fees (Note 6) |
81,140 | 2,024,486 | 5,285,519 | |||||||||
| Service and distribution fees (Note 6) |
31,762 | 1,014,866 | 2,606,623 | |||||||||
| Administrative fees (Note 6) |
8,937 | 130,418 | 285,779 | |||||||||
| Trustees’ fees and expenses (Note 6) |
21,393 | 77,586 | 43,416 | |||||||||
| Transfer agent fees and expenses (Notes 6 and 7) |
11,085 | 263,379 | 652,725 | |||||||||
| Audit and tax services fees |
52,346 | 40,776 | 42,143 | |||||||||
| Custodian fees and expenses |
5,225 | 12,850 | 180,308 | |||||||||
| Legal fees (Note 8) |
47,606 | 8,496 | 18,087 | |||||||||
| Registration fees |
61,446 | 92,607 | 88,823 | |||||||||
| Shareholder reporting expenses |
12,406 | 27,914 | 59,535 | |||||||||
| Miscellaneous expenses (Note 8) |
21,972 | 32,701 | 80,197 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total expenses |
355,318 | 3,726,079 | 9,343,155 | |||||||||
| Less waiver and/or expense reimbursement (Note 6) |
(232,273 | ) | (2,413 | ) | (4,513 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net expenses |
123,045 | 3,723,666 | 9,338,642 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net investment income |
488,192 | 2,288,224 | 17,206,258 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||||||
| Net realized gain (loss) on: |
||||||||||||
| Investments |
156,434 | 14,578,257 | (16,726,400 | ) | ||||||||
| Forward foreign currency contracts (Note 2d) |
— | — | 826,022 | |||||||||
| Foreign currency transactions (Note 2c) |
— | — | 42,014 | |||||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||||||
| Investments |
682,883 | 50,910,323 | 137,040,346 | |||||||||
| Forward foreign currency contracts (Note 2d) |
— | — | (561,459 | ) | ||||||||
| Foreign currency translations (Note 2c) |
— | — | (31,191 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Net realized and unrealized gain on investments, forward foreign currency contracts and foreign currency transactions |
839,317 | 65,488,580 | 120,589,332 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 1,327,509 | $ | 67,776,804 | $ | 137,795,590 | ||||||
|
|
|
|
|
|
|
|||||||
| (a) | Includes a non-recurring dividend of $712,261. |
| (b) | Includes a non-recurring dividend of $4,169,677. |
See accompanying notes to financial statements.
55 |
Table of Contents
Statements of Operations (continued)
For the Year Ended December 31, 2019
| Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
|||||||
| INVESTMENT INCOME |
| |||||||
| Dividends |
$ | 1,848,929 | $ | 5,925,174 | ||||
| Interest |
62,839 | 212,893 | ||||||
| Less net foreign taxes withheld |
— | (9,495 | ) | |||||
|
|
|
|
|
|||||
| 1,911,768 | 6,128,572 | |||||||
|
|
|
|
|
|||||
| Expenses |
| |||||||
| Management fees (Note 6) |
1,138,555 | 3,346,992 | ||||||
| Service and distribution fees (Note 6) |
199,126 | 309,564 | ||||||
| Administrative fees (Note 6) |
55,743 | 184,437 | ||||||
| Trustees’ fees and expenses (Note 6) |
35,178 | 43,200 | ||||||
| Transfer agent fees and expenses (Notes 6 and 7) |
144,102 | 362,614 | ||||||
| Audit and tax services fees |
40,784 | 41,738 | ||||||
| Custodian fees and expenses |
15,446 | 22,931 | ||||||
| Interest expense (Note 9) |
— | 48,098 | ||||||
| Legal fees (Note 8) |
3,319 | 12,090 | ||||||
| Registration fees |
75,231 | 92,902 | ||||||
| Shareholder reporting expenses |
14,421 | 32,933 | ||||||
| Miscellaneous expenses (Note 8) |
27,801 | 30,282 | ||||||
|
|
|
|
|
|||||
| Total expenses |
1,749,706 | 4,527,781 | ||||||
| Less waiver and/or expense reimbursement (Note 6) |
(95,991 | ) | (96,662 | ) | ||||
|
|
|
|
|
|||||
| Net expenses |
1,653,715 | 4,431,119 | ||||||
|
|
|
|
|
|||||
| Net investment income |
258,053 | 1,697,453 | ||||||
|
|
|
|
|
|||||
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS |
| |||||||
| Net realized gain on: |
| |||||||
| Investments |
3,647,835 | 26,643,511 | ||||||
| Net change in unrealized appreciation (depreciation) on: |
| |||||||
| Investments |
24,895,047 | 96,669,546 | ||||||
|
|
|
|
|
|||||
| Net realized and unrealized gain on investments |
28,542,882 | 123,313,057 | ||||||
|
|
|
|
|
|||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 28,800,935 | $ | 125,010,510 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 56
Table of Contents
Statements of Changes in Net Assets
| Loomis Sayles Intermediate Municipal Bond Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income |
$ | 488,192 | $ | 646,589 | ||||
| Net realized gain (loss) on investments |
156,434 | (22,955 | ) | |||||
| Net change in unrealized appreciation (depreciation) on investments |
682,883 | (735,309 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
1,327,509 | (111,675 | ) | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class A |
(157,363 | ) | (153,865 | ) | ||||
| Class C |
(23,074 | ) | (30,521 | ) | ||||
| Class Y |
(307,772 | ) | (484,050 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(488,209 | ) | (668,436 | ) | ||||
|
|
|
|
|
|||||
| NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(4,018,800 | ) | (14,374,067 | ) | ||||
|
|
|
|
|
|||||
| Net decrease in net assets |
(3,179,500 | ) | (15,154,178 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of the year |
22,204,504 | 37,358,682 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 19,025,004 | $ | 22,204,504 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
57 |
Table of Contents
Statements of Changes in Net Assets (continued)
| Natixis Oakmark Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income |
$ | 2,288,224 | $ | 1,069,674 | ||||
| Net realized gain on investments |
14,578,257 | 32,340,899 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
50,910,323 | (79,134,938 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
67,776,804 | (45,724,365 | ) | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class A |
(16,820,039 | ) | (16,729,106 | ) | ||||
| Class C |
(5,798,979 | ) | (5,776,265 | ) | ||||
| Class N |
(37,043 | ) | (783 | ) | ||||
| Class Y |
(5,261,958 | ) | (5,137,882 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(27,918,019 | ) | (27,644,036 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(28,613,857 | ) | 29,541,538 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
11,244,928 | (43,826,863 | ) | |||||
| NET ASSETS |
||||||||
| Beginning of the year |
272,192,787 | 316,019,650 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 283,437,715 | $ | 272,192,787 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 58
Table of Contents
Statements of Changes in Net Assets (continued)
| Natixis Oakmark International Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
| |||||||
| Net investment income |
$ | 17,206,258 | $ | 16,259,770 | ||||
| Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions |
(15,858,364 | ) | 50,075,433 | |||||
| Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations |
136,447,696 | (341,618,930 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
137,795,590 | (275,283,727 | ) | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class A |
(5,093,122 | ) | (12,193,845 | ) | ||||
| Class C |
(4,034,677 | ) | (7,685,820 | ) | ||||
| Class N |
(27,558 | ) | (36,370 | ) | ||||
| Class Y |
(8,066,849 | ) | (10,861,877 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(17,222,206 | ) | (30,777,912 | ) | ||||
|
|
|
|
|
|||||
| NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(208,787,046 | ) | (147,874,002 | ) | ||||
|
|
|
|
|
|||||
| Net decrease in net assets |
(88,213,662 | ) | (453,935,641 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of the year |
686,049,832 | 1,139,985,473 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 597,836,170 | $ | 686,049,832 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
59 |
Table of Contents
Statements of Changes in Net Assets (continued)
| Vaughan Nelson Small Cap Value Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
| |||||||
| Net investment income |
$ | 258,053 | $ | 247,839 | ||||
| Net realized gain on investments |
3,647,835 | 23,578,542 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
24,895,047 | (48,703,398 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
28,800,935 | (24,877,017 | ) | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
| Class A |
(475,801 | ) | (15,434,632 | ) | ||||
| Class C |
(18,939 | ) | (1,814,602 | ) | ||||
| Class N |
(194 | ) | (200 | ) | ||||
| Class Y |
(411,969 | ) | (16,863,125 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(906,903 | ) | (34,112,559 | ) | ||||
|
|
|
|
|
|||||
| NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(42,810,460 | ) | (99,064,102 | ) | ||||
|
|
|
|
|
|||||
| Net decrease in net assets |
(14,916,428 | ) | (158,053,678 | ) | ||||
| NET ASSETS |
| |||||||
| Beginning of the year |
128,394,384 | 286,448,062 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 113,477,956 | $ | 128,394,384 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 60
Table of Contents
Statements of Changes in Net Assets (continued)
| Vaughan Nelson Value Opportunity Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
| |||||||
| Net investment income |
$ | 1,697,453 | $ | 5,677,254 | ||||
| Net realized gain on investments |
26,643,511 | 30,646,121 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
96,669,546 | (163,168,095 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
125,010,510 | (126,844,720 | ) | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
| Class A |
(293,257 | ) | (4,208,463 | ) | ||||
| Class C |
(183,363 | ) | (2,370,741 | ) | ||||
| Class N |
(212,174 | ) | (6,683,144 | ) | ||||
| Class Y |
(3,167,841 | ) | (47,408,833 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(3,856,635 | ) | (60,671,181 | ) | ||||
|
|
|
|
|
|||||
| NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(340,544,321 | ) | (244,014,953 | ) | ||||
|
|
|
|
|
|||||
| Net decrease in net assets |
(219,390,446 | ) | (431,530,854 | ) | ||||
| NET ASSETS |
| |||||||
| Beginning of the year |
591,722,936 | 1,023,253,790 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 372,332,490 | $ | 591,722,936 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
61 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
| Loomis Sayles Intermediate Municipal Bond Fund—Class A |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.97 | $ | 10.17 | $ | 9.89 | $ | 10.09 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.24 | 0.22 | 0.19 | 0.12 | 0.13 | |||||||||||||||
| Net realized and unrealized gain (loss) |
0.41 | (0.19 | ) | 0.28 | (0.20 | ) | 0.10 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.65 | 0.03 | 0.47 | (0.08 | ) | 0.23 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.24 | ) | (0.23 | ) | (0.19 | ) | (0.12 | ) | (0.14 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 10.38 | $ | 9.97 | $ | 10.17 | $ | 9.89 | $ | 10.09 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b)(c) |
6.54 | % | 0.33 | % | 4.77 | % | (0.79 | )% | 2.28 | % | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 7,567 | $ | 6,019 | $ | 6,004 | $ | 5,474 | $ | 6,427 | ||||||||||
| Net expenses(d) |
0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.74 | %(e) | ||||||||||
| Gross expenses |
1.84 | % | 1.30 | % | 1.10 | % | 0.88 | % | 1.12 | % | ||||||||||
| Net investment income |
2.31 | % | 2.24 | % | 1.87 | % | 1.19 | % | 1.27 | % | ||||||||||
| Portfolio turnover rate |
11 | % | 65 | % | 34 | % | 48 | % | 20 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | 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) | Effective July 1, 2015, the expense limit decreased from 0.80% to 0.70%. |
See accompanying notes to financial statements.
| 62
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Loomis Sayles Intermediate Municipal Bond Fund—Class C |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.98 | $ | 10.18 | $ | 9.90 | $ | 10.09 | $ | 9.99 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.16 | 0.15 | 0.11 | 0.04 | 0.05 | |||||||||||||||
| Net realized and unrealized gain (loss) |
0.40 | (0.19 | ) | 0.28 | (0.18 | ) | 0.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.56 | (0.04 | ) | 0.39 | (0.14 | ) | 0.16 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.16 | ) | (0.16 | ) | (0.11 | ) | (0.05 | ) | (0.06 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 10.38 | $ | 9.98 | $ | 10.18 | $ | 9.90 | $ | 10.09 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b)(c) |
5.64 | % | (0.42 | )% | 3.98 | % | (1.44 | )% | 1.63 | % | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 1,420 | $ | 1,675 | $ | 2,395 | $ | 4,015 | $ | 6,355 | ||||||||||
| Net expenses(d) |
1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | 1.49 | %(e) | ||||||||||
| Gross expenses |
2.60 | % | 2.05 | % | 1.83 | % | 1.63 | % | 1.88 | % | ||||||||||
| Net investment income |
1.57 | % | 1.49 | % | 1.10 | % | 0.44 | % | 0.52 | % | ||||||||||
| Portfolio turnover rate |
11 | % | 65 | % | 34 | % | 48 | % | 20 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | 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) | Effective July 1, 2015, the expense limit decreased from 1.55% to 1.45%. |
See accompanying notes to financial statements.
63 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Loomis Sayles Intermediate Municipal Bond Fund—Class Y |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.99 | $ | 10.19 | $ | 9.90 | $ | 10.10 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.26 | 0.25 | 0.21 | 0.15 | 0.15 | |||||||||||||||
| Net realized and unrealized gain (loss) |
0.41 | (0.20 | ) | 0.29 | (0.20 | ) | 0.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.67 | 0.05 | 0.50 | (0.05 | ) | 0.26 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.26 | ) | (0.25 | ) | (0.21 | ) | (0.15 | ) | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 10.40 | $ | 9.99 | $ | 10.19 | $ | 9.90 | $ | 10.10 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b) |
6.80 | % | 0.58 | % | 5.13 | % | (0.55 | )% | 2.63 | % | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 10,039 | $ | 14,510 | $ | 28,960 | $ | 49,179 | $ | 66,713 | ||||||||||
| Net expenses(c) |
0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.49 | %(d) | ||||||||||
| Gross expenses |
1.60 | % | 1.04 | % | 0.83 | % | 0.63 | % | 0.85 | % | ||||||||||
| Net investment income |
2.57 | % | 2.47 | % | 2.09 | % | 1.44 | % | 1.48 | % | ||||||||||
| Portfolio turnover rate |
11 | % | 65 | % | 34 | % | 48 | % | 20 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | 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) | Effective July 1, 2015, the expense limit decreased from 0.55% to 0.45%. |
See accompanying notes to financial statements.
| 64
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class A |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 19.44 | $ | 24.72 | $ | 21.37 | $ | 18.79 | $ | 20.43 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.18 | (b) | 0.10 | 0.11 | 0.16 | 0.14 | ||||||||||||||
| Net realized and unrealized gain (loss) |
4.93 | (3.28 | ) | 4.28 | 3.20 | (1.02 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
5.11 | (3.18 | ) | 4.39 | 3.36 | (0.88 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.21 | ) | (0.08 | ) | (0.10 | ) | (0.16 | ) | (0.13 | ) | ||||||||||
| Net realized capital gains |
(1.89 | ) | (2.02 | ) | (0.94 | ) | (0.62 | ) | (0.63 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(2.10 | ) | (2.10 | ) | (1.04 | ) | (0.78 | ) | (0.76 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 22.45 | $ | 19.44 | $ | 24.72 | $ | 21.37 | $ | 18.79 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c) |
26.77 | %(b) | (13.01 | )% | 20.75 | % | 18.37 | % | (4.41 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 181,417 | $ | 164,748 | $ | 203,792 | $ | 173,036 | $ | 173,925 | ||||||||||
| Net expenses |
1.17 | % | 1.13 | % | 1.18 | % | 1.18 | % | 1.14 | % | ||||||||||
| Gross expenses |
1.17 | % | 1.13 | % | 1.18 | % | 1.18 | % | 1.14 | % | ||||||||||
| Net investment income |
0.85 | %(b) | 0.41 | % | 0.48 | % | 0.82 | % | 0.68 | % | ||||||||||
| Portfolio turnover rate |
15 | % | 39 | % | 16 | % | 16 | % | 23 | % | ||||||||||
| (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 $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%. |
| (c) | A sales charge for Class A shares is not reflected in total return calculations. |
See accompanying notes to financial statements.
65 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class C |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 16.66 | $ | 21.58 | $ | 18.83 | $ | 16.65 | $ | 18.19 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.02 | (b) | (0.07 | ) | (0.05 | ) | 0.01 | (0.01 | ) | |||||||||||
| Net realized and unrealized gain (loss) |
4.20 | (2.83 | ) | 3.74 | 2.80 | (0.90 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
4.22 | (2.90 | ) | 3.69 | 2.81 | (0.91 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.07 | ) | — | (0.00 | )(c) | (0.01 | ) | (0.00 | )(c) | |||||||||||
| Net realized capital gains |
(1.89 | ) | (2.02 | ) | (0.94 | ) | (0.62 | ) | (0.63 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(1.96 | ) | (2.02 | ) | (0.94 | ) | (0.63 | ) | (0.63 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 18.92 | $ | 16.66 | $ | 21.58 | $ | 18.83 | $ | 16.65 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(d) |
25.82 | %(b) | (13.63 | )% | 19.85 | % | 17.45 | % | (5.07 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 54,384 | $ | 53,606 | $ | 62,272 | $ | 55,910 | $ | 70,616 | ||||||||||
| Net expenses |
1.92 | % | 1.88 | % | 1.93 | % | 1.93 | % | 1.89 | % | ||||||||||
| Gross expenses |
1.92 | % | 1.88 | % | 1.93 | % | 1.93 | % | 1.89 | % | ||||||||||
| Net investment income (loss) |
0.12 | %(b) | (0.33 | )% | (0.27 | )% | 0.09 | % | (0.07 | )% | ||||||||||
| Portfolio turnover rate |
15 | % | 39 | % | 16 | % | 16 | % | 23 | % | ||||||||||
| (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 25.50% and the ratio of net investment loss to average net assets would have been (0.12)% |
| (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. |
See accompanying notes to financial statements.
| 66
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class N |
||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
| Net asset value, beginning of the period |
$ | 20.49 | $ | 25.91 | $ | 23.13 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||
| Net investment income(a) |
0.22 | (b) | 0.22 | 0.14 | ||||||||
| Net realized and unrealized gain (loss) |
5.25 | (3.45 | ) | 3.44 | ||||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
5.47 | (3.23 | ) | 3.58 | ||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||
| Net investment income |
(0.29 | ) | (0.17 | ) | (0.17 | ) | ||||||
| Net realized capital gains |
(1.89 | ) | (2.02 | ) | (0.63 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Total Distributions |
(2.18 | ) | (2.19 | ) | (0.80 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 23.78 | $ | 20.49 | $ | 25.91 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return(c) |
27.16 | %(b) | (12.60 | )% | 15.46 | %(d) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||
| Net assets, end of the period (000’s) |
$ | 801 | $ | 10 | $ | 1 | ||||||
| Net expenses(e) |
0.83 | % | 0.75 | % | 0.75 | %(f) | ||||||
| Gross expenses |
1.25 | % | 3.79 | % | 13.79 | %(f) | ||||||
| Net investment income |
0.93 | %(b) | 0.88 | % | 0.84 | %(f) | ||||||
| Portfolio turnover rate |
15 | % | 39 | % | 16 | %(g) | ||||||
| * | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (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 $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%. |
| (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) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
67 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class Y |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 20.46 | $ | 25.90 | $ | 22.34 | $ | 19.60 | $ | 21.28 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.27 | (b) | 0.17 | 0.17 | 0.21 | 0.19 | ||||||||||||||
| Net realized and unrealized gain (loss) |
5.17 | (3.44 | ) | 4.48 | 3.36 | (1.06 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
5.44 | (3.27 | ) | 4.65 | 3.57 | (0.87 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.26 | ) | (0.15 | ) | (0.15 | ) | (0.21 | ) | (0.18 | ) | ||||||||||
| Net realized capital gains |
(1.89 | ) | (2.02 | ) | (0.94 | ) | (0.62 | ) | (0.63 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(2.15 | ) | (2.17 | ) | (1.09 | ) | (0.83 | ) | (0.81 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 23.75 | $ | 20.46 | $ | 25.90 | $ | 22.34 | $ | 19.60 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
27.06 | %(b)(c) | (12.76 | )% | 21.05 | % | 18.69 | % | (4.18 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 46,836 | $ | 53,829 | $ | 49,955 | $ | 26,252 | $ | 21,696 | ||||||||||
| Net expenses |
0.91 | %(d) | 0.88 | % | 0.93 | % | 0.92 | % | 0.89 | % | ||||||||||
| Gross expenses |
0.92 | % | 0.88 | % | 0.93 | % | 0.92 | % | 0.89 | % | ||||||||||
| Net investment income |
1.16 | %(b) | 0.68 | % | 0.71 | % | 1.05 | % | 0.92 | % | ||||||||||
| Portfolio turnover rate |
15 | % | 39 | % | 16 | % | 16 | % | 23 | % | ||||||||||
| (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 $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
| 68
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund—Class A |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 11.29 | $ | 15.58 | $ | 12.15 | $ | 11.47 | $ | 12.44 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.37 | (b) | 0.25 | 0.18 | 0.17 | 0.15 | ||||||||||||||
| Net realized and unrealized gain (loss) |
2.38 | (4.02 | ) | 3.41 | 0.76 | (0.80 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
2.75 | (3.77 | ) | 3.59 | 0.93 | (0.65 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.41 | ) | (0.29 | ) | (0.16 | ) | (0.21 | ) | (0.20 | ) | ||||||||||
| Net realized capital gains |
— | (0.23 | ) | — | (0.04 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.41 | ) | (0.52 | ) | (0.16 | ) | (0.25 | ) | (0.32 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 13.63 | $ | 11.29 | $ | 15.58 | $ | 12.15 | $ | 11.47 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c) |
24.35 | %(b) | (24.15 | )% | 29.56 | % | 8.19 | % | (5.35 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 172,906 | $ | 257,551 | $ | 603,988 | $ | 533,112 | $ | 722,805 | ||||||||||
| Net expenses |
1.29 | % | 1.31 | % | 1.32 | % | 1.34 | % | 1.31 | % | ||||||||||
| Gross expenses |
1.29 | % | 1.31 | % | 1.32 | % | 1.34 | % | 1.31 | % | ||||||||||
| Net investment income |
2.91 | %(b) | 1.72 | % | 1.28 | % | 1.54 | % | 1.17 | % | ||||||||||
| Portfolio turnover rate |
28 | % | 50 | % | 40 | % | 41 | % | 51 | % | ||||||||||
| (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 income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%. |
| (c) | A sales charge for Class A shares is not reflected in total return calculations. |
See accompanying notes to financial statements.
69 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund—Class C |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 11.11 | $ | 15.30 | $ | 11.96 | $ | 11.29 | $ | 12.25 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.26 | (b) | 0.13 | 0.06 | 0.08 | 0.05 | ||||||||||||||
| Net realized and unrealized gain (loss) |
2.34 | (3.92 | ) | 3.35 | 0.74 | (0.78 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
2.60 | (3.79 | ) | 3.41 | 0.82 | (0.73 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.30 | ) | (0.17 | ) | (0.07 | ) | (0.11 | ) | (0.11 | ) | ||||||||||
| Net realized capital gains |
— | (0.23 | ) | — | (0.04 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.30 | ) | (0.40 | ) | (0.07 | ) | (0.15 | ) | (0.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 13.41 | $ | 11.11 | $ | 15.30 | $ | 11.96 | $ | 11.29 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c) |
23.44 | %(b) | (24.74 | )% | 28.55 | % | 7.36 | % | (6.08 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 179,533 | $ | 212,618 | $ | 363,018 | $ | 255,249 | $ | 341,959 | ||||||||||
| Net expenses |
2.04 | % | 2.07 | % | 2.07 | % | 2.09 | % | 2.06 | % | ||||||||||
| Gross expenses |
2.04 | % | 2.07 | % | 2.07 | % | 2.09 | % | 2.06 | % | ||||||||||
| Net investment income |
2.09 | %(b) | 0.94 | % | 0.42 | % | 0.73 | % | 0.39 | % | ||||||||||
| Portfolio turnover rate |
28 | % | 50 | % | 40 | % | 41 | % | 51 | % | ||||||||||
| (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 income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%. |
| (c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
See accompanying notes to financial statements.
| 70
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund— Class N |
||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
| Net asset value, beginning of the period |
$ | 11.25 | $ | 15.58 | $ | 13.98 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||
| Net investment income(a) |
0.33 | (b) | 0.28 | 0.15 | ||||||||
| Net realized and unrealized gain (loss) |
2.45 | (4.02 | ) | 1.66 | ||||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
2.78 | (3.74 | ) | 1.81 | ||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||
| Net investment income |
(0.47 | ) | (0.36 | ) | (0.21 | ) | ||||||
| Net realized capital gains |
— | (0.23 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total Distributions |
(0.47 | ) | (0.59 | ) | (0.21 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 13.56 | $ | 11.25 | $ | 15.58 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return(c) |
24.75 | %(b) | (23.94 | )% | 12.96 | %(d) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||
| Net assets, end of the period (000’s) |
$ | 811 | $ | 758 | $ | 1 | ||||||
| Net expenses(e) |
0.94 | % | 0.99 | % | 0.92 | %(f) | ||||||
| Gross expenses |
1.08 | % | 1.02 | % | 25.21 | %(f) | ||||||
| Net investment income |
2.56 | %(b) | 2.04 | % | 1.54 | %(f) | ||||||
| Portfolio turnover rate |
28 | % | 50 | % | 40 | %(g) | ||||||
| * | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (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 income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%. |
| (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) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
71 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International
Fund— Class Y |
||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
| Net asset value, beginning of the period |
$ | 11.25 | $ | 15.56 | $ | 13.98 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||
| Net investment income(a) |
0.37 | (b) | 0.26 | 0.00 | (c) | |||||||
| Net realized and unrealized gain (loss) |
2.40 | (3.99 | ) | 1.79 | ||||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
2.77 | (3.73 | ) | 1.79 | ||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||
| Net investment income |
(0.46 | ) | (0.35 | ) | (0.21 | ) | ||||||
| Net realized capital gains |
— | (0.23 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total Distributions |
(0.46 | ) | (0.58 | ) | (0.21 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 13.56 | $ | 11.25 | $ | 15.56 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return |
24.64 | %(b) | (23.93 | )% | 12.79 | %(d) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||
| Net assets, end of the period (000’s) |
$ | 244,586 | $ | 215,123 | $ | 172,978 | ||||||
| Net expenses |
1.04 | % | 1.07 | % | 1.07 | %(e) | ||||||
| Gross expenses |
1.04 | % | 1.07 | % | 1.07 | %(e) | ||||||
| Net investment income |
2.91 | %(b) | 1.85 | % | 0.03 | %(e) | ||||||
| Portfolio turnover rate |
28 | % | 50 | % | 40 | %(f) | ||||||
| * | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (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 income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%. |
| (c) | Amount rounds to less than $0.01 per share. |
| (d) | Periods less than one year are not annualized. |
| (e) | Computed on an annualized basis for periods less than one year. |
| (f) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 72
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class A |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 12.48 | $ | 18.71 | $ | 19.79 | $ | 17.74 | $ | 20.65 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
0.02 | 0.01 | (0.01 | ) | 0.02 | 0.06 | (b) | |||||||||||||
| Net realized and unrealized gain (loss) |
3.06 | (2.76 | ) | 1.21 | 3.49 | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
3.08 | (2.75 | ) | 1.20 | 3.51 | (0.01 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.03 | ) | (0.00 | )(c) | (0.00 | )(c) | (0.01 | ) | (0.04 | ) | ||||||||||
| Net realized capital gains |
(0.08 | ) | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.11 | ) | (3.48 | ) | (2.28 | ) | (1.46 | ) | (2.90 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 15.45 | $ | 12.48 | $ | 18.71 | $ | 19.79 | $ | 17.74 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(d) |
24.66 | %(e) | (14.84 | )% | 6.28 | % | 20.24 | % | (0.29 | )%(b) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 67,525 | $ | 66,376 | $ | 93,751 | $ | 106,447 | $ | 103,092 | ||||||||||
| Net expenses |
1.40 | %(f)(g) | 1.38 | % | 1.36 | % | 1.35 | % | 1.35 | % | ||||||||||
| Gross expenses |
1.47 | % | 1.38 | % | 1.36 | % | 1.35 | % | 1.35 | % | ||||||||||
| Net investment income (loss) |
0.12 | % | 0.03 | % | (0.03 | )% | 0.11 | % | 0.26 | %(b) | ||||||||||
| Portfolio turnover rate |
61 | % | 70 | % | 92 | % | 74 | % | 62 | % | ||||||||||
| (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 $(0.04), total return would have been (0.77)% and the ratio of net investment loss to average net assets would have been (0.20)%. |
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (g) | Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%. See Note 6 of Notes to Financial Statements. |
See accompanying notes to financial statements.
73 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class C |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 6.41 | $ | 11.67 | $ | 13.26 | $ | 12.39 | $ | 15.36 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment loss(a) |
(0.05 | ) | (0.09 | ) | (0.10 | ) | (0.08 | ) | (0.08 | )(b) | ||||||||||
| Net realized and unrealized gain (loss) |
1.57 | (1.69 | ) | 0.79 | 2.40 | (0.03 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
1.52 | (1.78 | ) | 0.69 | 2.32 | (0.11 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.01 | ) | (0.00 | )(c) | (0.00 | )(c) | — | — | ||||||||||||
| Net realized capital gains |
(0.08 | ) | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.09 | ) | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 7.84 | $ | 6.41 | $ | 11.67 | $ | 13.26 | $ | 12.39 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(d) |
23.69 | %(e) | (15.51 | )% | 5.50 | % | 19.32 | % | (1.02 | )%(b) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 1,450 | $ | 3,480 | $ | 15,756 | $ | 20,379 | $ | 21,188 | ||||||||||
| Net expenses |
2.16 | %(f)(g) | 2.12 | % | 2.11 | % | 2.10 | % | 2.10 | % | ||||||||||
| Gross expenses |
2.23 | % | 2.12 | % | 2.11 | % | 2.10 | % | 2.10 | % | ||||||||||
| Net investment loss |
(0.68 | )% | (0.83 | )% | (0.79 | )% | (0.64 | )% | (0.48 | )%(b) | ||||||||||
| Portfolio turnover rate |
61 | % | 70 | % | 92 | % | 74 | % | 62 | % | ||||||||||
| (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 $(0.15), total return would have been (1.48)% and the ratio of net investment loss to average net assets would have been (0.96)%. |
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (g) | Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%. See Note 6 of Notes to Financial Statements. |
See accompanying notes to financial statements.
| 74
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund— Class N |
||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
| Net asset value, beginning of the period |
$ | 13.08 | $ | 19.37 | $ | 19.55 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||
| Net investment income(a) |
0.08 | 0.08 | 0.07 | |||||||||
| Net realized and unrealized gain (loss) |
3.20 | (2.86 | ) | 1.35 | ||||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
3.28 | (2.78 | ) | 1.42 | ||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||
| Net investment income |
(0.08 | ) | (0.03 | ) | (0.02 | ) | ||||||
| Net realized capital gains |
(0.08 | ) | (3.48 | ) | (1.58 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Total Distributions |
(0.16 | ) | (3.51 | ) | (1.60 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 16.20 | $ | 13.08 | $ | 19.37 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return(b) |
25.08 | % | (14.48 | )% | 7.17 | %(c) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||
| Net assets, end of the period (000’s) |
$ | 21 | $ | 1 | $ | 1 | ||||||
| Net expenses(d) |
1.03 | %(e) | 0.96 | % | 0.96 | %(f) | ||||||
| Gross expenses |
11.80 | % | 15.17 | % | 14.68 | %(f) | ||||||
| Net investment income |
0.52 | % | 0.43 | % | 0.56 | %(f) | ||||||
| Portfolio turnover rate |
61 | % | 70 | % | 92 | %(g) | ||||||
| * | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | 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) | Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%. See Note 6 of Notes to Financial Statements. |
| (f) | Computed on an annualized basis for periods less than one year. |
| (g) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
75 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class Y |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 13.08 | $ | 19.37 | $ | 20.36 | $ | 18.21 | $ | 21.13 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.05 | 0.04 | 0.05 | 0.07 | 0.11 | (b) | ||||||||||||||
| Net realized and unrealized gain (loss) |
3.21 | (2.84 | ) | 1.25 | 3.59 | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
3.26 | (2.80 | ) | 1.30 | 3.66 | 0.04 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.07 | ) | (0.01 | ) | (0.01 | ) | (0.06 | ) | (0.10 | ) | ||||||||||
| Net realized capital gains |
(0.08 | ) | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.15 | ) | (3.49 | ) | (2.29 | ) | (1.51 | ) | (2.96 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 16.19 | $ | 13.08 | $ | 19.37 | $ | 20.36 | $ | 18.21 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
24.88 | %(c) | (14.61 | )% | 6.60 | % | 20.53 | % | (0.05 | )%(b) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 44,482 | $ | 58,538 | $ | 176,940 | $ | 183,145 | $ | 179,322 | ||||||||||
| Net expenses |
1.15 | %(d)(e) | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | ||||||||||
| Gross expenses |
1.23 | % | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | ||||||||||
| Net investment income |
0.35 | % | 0.22 | % | 0.23 | % | 0.36 | % | 0.50 | %(b) | ||||||||||
| Portfolio turnover rate |
61 | % | 70 | % | 92 | % | 74 | % | 62 | % | ||||||||||
| (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 (0.53)% and the ratio of net investment income to average net assets would have been 0.07%. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%. See Note 6 of Notes to Financial Statements. |
See accompanying notes to financial statements.
| 76
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Value Opportunity Fund—Class A |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 17.37 | $ | 22.65 | $ | 20.55 | $ | 20.04 | $ | 21.29 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.03 | 0.09 | 0.17 | (b) | 0.07 | 0.03 | (c) | |||||||||||||
| Net realized and unrealized gain (loss) |
5.21 | (3.71 | ) | 2.48 | 1.05 | (0.79 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
5.24 | (3.62 | ) | 2.65 | 1.12 | (0.76 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.02 | ) | (0.15 | ) | (0.18 | ) | (0.05 | ) | (0.02 | ) | ||||||||||
| Net realized capital gains |
(0.17 | ) | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.19 | ) | (1.66 | ) | (0.55 | ) | (0.61 | ) | (0.49 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 22.42 | $ | 17.37 | $ | 22.65 | $ | 20.55 | $ | 20.04 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(d) |
30.21 | %(e) | (16.10 | )% | 12.93 | %(b) | 5.85 | % | (3.66 | )%(c) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 33,434 | $ | 43,769 | $ | 67,186 | $ | 87,536 | $ | 142,833 | ||||||||||
| Net expenses |
1.25 | %(f)(g)(h) | 1.24 | % | 1.22 | % | 1.23 | % | 1.23 | % | ||||||||||
| Gross expenses |
1.28 | %(g) | 1.24 | % | 1.22 | % | 1.23 | % | 1.23 | % | ||||||||||
| Net investment income |
0.16 | % | 0.42 | % | 0.77 | %(b) | 0.35 | % | 0.16 | %(c) | ||||||||||
| Portfolio turnover rate |
52 | % | 44 | % | 42 | % | 57 | % | 32 | % | ||||||||||
| (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 $0.09, total return would have been 12.53% and the ratio of net investment income to average net assets would have been 0.41%. |
| (c) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been (3.94)% and the ratio of net investment loss to average net assets would have been (0.04)%. |
| (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) | 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 interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%. |
| (h) | Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%. See Note 6 of Notes to Financial Statements. |
See accompanying notes to financial statements.
77 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Value Opportunity Fund—Class C |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 16.43 | $ | 21.50 | $ | 19.51 | $ | 19.16 | $ | 20.51 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income (loss)(a) |
(0.10 | ) | (0.08 | ) | 0.00 | (b)(c) | (0.07 | ) | (0.13 | )(d) | ||||||||||
| Net realized and unrealized gain (loss) |
4.90 | (3.48 | ) | 2.36 | 0.98 | (0.75 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
4.80 | (3.56 | ) | 2.36 | 0.91 | (0.88 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.00 | )(b) | — | — | (0.00 | )(b) | — | |||||||||||||
| Net realized capital gains |
(0.17 | ) | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.17 | ) | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 21.06 | $ | 16.43 | $ | 21.50 | $ | 19.51 | $ | 19.16 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(e) |
29.25 | %(j) | (16.71 | )% | 12.11 | %(c) | 5.03 | % | (4.39 | )%(d) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 21,932 | $ | 23,967 | $ | 47,559 | $ | 68,923 | $ | 89,284 | ||||||||||
| Net expenses |
1.99 | %(f)(g)(h) | 1.98 | % | 1.97 | % | 1.98 | % | 1.98 | % | ||||||||||
| Gross expenses |
2.02 | %(g) | 1.98 | % | 1.97 | % | 1.98 | % | 1.98 | % | ||||||||||
| Net investment income (loss) |
(0.50 | )% | (0.36 | )% | 0.00 | %(c)(i) | (0.38 | )% | (0.61 | )%(d) | ||||||||||
| Portfolio turnover rate |
52 | % | 44 | % | 42 | % | 57 | % | 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) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 11.70% and the ratio of net investment loss to average net assets would have been (0.35)%. |
| (d) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.16), total return would have been (4.68)% and the ratio of net investment loss to average net assets would have been (0.77)%. |
| (e) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| (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 interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%. |
| (h) | Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%. See Note 6 of Notes to Financial Statements. |
| (i) | Amount rounds to less than 0.01%. |
| (j) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
See accompanying notes to financial statements.
| 78
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Value Opportunity Fund—Class N |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 17.54 | $ | 22.87 | $ | 20.75 | $ | 20.26 | $ | 21.50 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.11 | 0.17 | 0.25 | (b) | 0.16 | 0.11 | (c) | |||||||||||||
| Net realized and unrealized gain (loss) |
5.27 | (3.75 | ) | 2.51 | 1.04 | (0.81 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
5.38 | (3.58 | ) | 2.76 | 1.20 | (0.70 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.09 | ) | (0.24 | ) | (0.27 | ) | (0.15 | ) | (0.07 | ) | ||||||||||
| Net realized capital gains |
(0.17 | ) | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.26 | ) | (1.75 | ) | (0.64 | ) | (0.71 | ) | (0.54 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 22.66 | $ | 17.54 | $ | 22.87 | $ | 20.75 | $ | 20.26 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
30.67 | %(g) | (15.78 | )% | 13.31 | %(b) | 6.21 | % | (3.35 | )%(c) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 18,262 | $ | 70,902 | $ | 134,205 | $ | 148,365 | $ | 65,010 | ||||||||||
| Net expenses |
0.92 | %(d)(e)(f) | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | ||||||||||
| Gross expenses |
0.93 | %(e) | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | ||||||||||
| Net investment income |
0.51 | % | 0.76 | % | 1.16 | %(b) | 0.78 | % | 0.50 | %(c) | ||||||||||
| Portfolio turnover rate |
52 | % | 44 | % | 42 | % | 57 | % | 32 | % | ||||||||||
| (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 $0.17, total return would have been 12.92% and the ratio of net investment income to average net assets would have been 0.76%. |
| (c) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08, total return would have been (3.59)% and the ratio of net investment income to average net assets would have been 0.35%. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%. |
| (f) | Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%. See Note 6 of Notes to Financial Statements. |
| (g) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
See accompanying notes to financial statements.
79 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Value Opportunity Fund—Class Y |
||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 17.57 | $ | 22.89 | $ | 20.77 | $ | 20.27 | $ | 21.52 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.10 | 0.15 | 0.23 | (b) | 0.12 | 0.09 | (c) | |||||||||||||
| Net realized and unrealized gain (loss) |
5.26 | (3.75 | ) | 2.51 | 1.07 | (0.82 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
5.36 | (3.60 | ) | 2.74 | 1.19 | (0.73 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.07 | ) | (0.21 | ) | (0.25 | ) | (0.13 | ) | (0.05 | ) | ||||||||||
| Net realized capital gains |
(0.17 | ) | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.24 | ) | (1.72 | ) | (0.62 | ) | (0.69 | ) | (0.52 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 22.69 | $ | 17.57 | $ | 22.89 | $ | 20.77 | $ | 20.27 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
30.52 | %(g) | (15.85 | )% | 13.19 | %(b) | 6.14 | % | (3.47 | )%(c) | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 298,705 | $ | 453,085 | $ | 774,304 | $ | 903,545 | $ | 1,133,634 | ||||||||||
| Net expenses |
1.00 | %(d)(e)(f) | 0.99 | % | 0.97 | % | 0.98 | % | 0.98 | % | ||||||||||
| Gross expenses |
1.02 | %(e) | 0.99 | % | 0.97 | % | 0.98 | % | 0.98 | % | ||||||||||
| Net investment income |
0.48 | % | 0.66 | % | 1.04 | %(b) | 0.62 | % | 0.39 | %(c) | ||||||||||
| Portfolio turnover rate |
52 | % | 44 | % | 42 | % | 57 | % | 32 | % | ||||||||||
| (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 $0.15, total return would have been 12.80% and the ratio of net investment income to average net assets would have been 0.67%. |
| (c) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been (3.70)% and the ratio of net investment income to average net assets would have been 0.20%. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%. |
| (f) | Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%. See Note 6 of Notes to Financial Statements. |
| (g) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
See accompanying notes to financial statements.
| 80
Table of Contents
December 31, 2019
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
Natixis Oakmark International Fund
Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)
Natixis Funds Trust II:
Loomis Sayles Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)
Natixis Oakmark Fund
Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C and Class Y shares. Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund also offer Class N shares.
Effective July 31, 2009, the Small Cap Value Fund was closed to new 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 3.00% for Intermediate Municipal Bond Fund and 5.75% for Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to 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 with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s 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
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of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to the class (such as the Rule 12b-1 fees applicable to Class A and Class C) and transfer agent fees for each Fund are borne collectively for Class A, Class C and Class Y and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or sub-adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares of 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 as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. 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 as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an
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December 31, 2019
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 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. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
As of December 31, 2019, securities held by Natixis Oakmark International Fund were fair valued as follows:
| Equity securities1 |
Percentage of | |
| $524,036,550 | 87.7% |
| 1 | Certain foreign equity securities 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. |
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 (including income reinvested) and foreign withholding tax,
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if applicable, is recorded on the 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. Dividends reinvested are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. 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, if any, 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 Funds’ 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. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
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.
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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.
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 appreciation (depreciation) 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. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and
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December 31, 2019
Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the 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 distribution re-designations, return of capital distributions received, distributions in excess of income and/or capital gain, foreign currency gains and losses and capital gains taxes. 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, return of capital distributions received and forward foreign currency 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 net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2019 and 2018 were as follows:
| 2019 Distributions Paid From: | ||||||||||||||||
| Fund |
Ordinary |
Tax Exempt |
Long-Term |
Total |
||||||||||||
| Intermediate Municipal Bond Fund |
$ | 3,751 | $ | 484,458 | $ | — | $ | 488,209 | ||||||||
| Natixis Oakmark Fund |
2,339,088 | — | 25,578,931 | 27,918,019 | ||||||||||||
| Natixis Oakmark International Fund |
17,222,206 | — | — | 17,222,206 | ||||||||||||
| Small Cap Value Fund |
348,253 | — | 558,650 | 906,903 | ||||||||||||
| Value Opportunity Fund |
996,088 | — | 2,860,547 | 3,856,635 | ||||||||||||
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December 31, 2019
| 2018 Distributions Paid From: | ||||||||||||||||
| Fund |
Ordinary |
Tax Exempt |
Long-Term |
Total |
||||||||||||
| Intermediate Municipal Bond Fund |
$ | 5,716 | $ | 662,720 | $ | — | $ | 668,436 | ||||||||
| Natixis Oakmark Fund |
2,211,730 | — | 25,432,306 | 27,644,036 | ||||||||||||
| Natixis Oakmark International Fund |
16,730,811 | — | 14,047,101 | 30,777,912 | ||||||||||||
| Small Cap Value Fund |
6,205,741 | — | 27,906,818 | 34,112,559 | ||||||||||||
| Value Opportunity Fund |
6,805,023 | — | 53,866,158 | 60,671,181 | ||||||||||||
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2019, the components of distributable earnings on a tax basis were as follows:
| Intermediate |
Natixis |
Natixis |
Small Cap |
Value |
||||||||||||||||
| Undistributed ordinary income |
$ | — | $ | — | $ | — | $ | 1,799 | $ | — | ||||||||||
| Undistributed tax exempt income |
8,541 | — | — | — | — | |||||||||||||||
| Undistributed long-term capital gains |
— | 388,836 | — | 614,435 | 8,939,388 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total undistributed earnings |
8,541 | 388,836 | — | 616,234 | 8,939,388 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Capital loss carryforward: |
||||||||||||||||||||
| Short-term: |
||||||||||||||||||||
| No expiration date |
(527,783 | ) | — | — | — | — | ||||||||||||||
| Long-term: |
||||||||||||||||||||
| No expiration date |
— | — | (32,773,225 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total capital loss carryforward |
(527,783 | ) | — | (32,773,225 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
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December 31, 2019
| Intermediate |
Natixis |
Natixis |
Small Cap |
Value |
||||||||||||||||
| Late-year ordinary and post-October capital loss deferrals* |
$ | — | $ | — | $ | (62,337 | ) | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Unrealized appreciation (depreciation) |
1,171,891 | 50,965,388 | (63,892,037 | ) | 10,872,177 | 61,793,627 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total accumulated earnings (losses) |
$ | 652,649 | $ | 51,354,224 | $ | (96,727,599 | ) | $ | 11,488,411 | $ | 70,733,015 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Capital loss carryforward utilized in the current year |
$ | 156,434 | $ | — | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| * | Under current tax law, capital losses, foreign currency losses and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Natixis Oakmark International Fund is deferring foreign currency losses. |
As of December 31, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
| Intermediate |
Natixis |
Natixis |
Small Cap |
Value |
||||||||||||||||
| Federal tax cost |
$ | 17,972,196 | $ | 232,401,176 | $ | 661,742,810 | $ | 103,195,027 | $ | 309,375,675 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross tax appreciation |
$ | 1,172,513 | $ | 67,293,746 | $ | 31,980,766 | $ | 13,318,717 | $ | 67,371,201 | ||||||||||
| Gross tax depreciation |
(622 | ) | (16,328,358 | ) | (95,702,480 | ) | (2,446,540 | ) | (5,577,574 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net tax appreciation (depreciation) |
$ | 1,171,891 | $ | 50,965,388 | $ | (63,721,714 | ) | $ | 10,872,177 | $ | 61,793,627 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market and foreign capital gains taxes.
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December 31, 2019
g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2019, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
h. Securities Lending. Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended December 31, 2019, none of the Funds had loaned securities under this agreement.
i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
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December 31, 2019
j. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 will be effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. Management has evaluated the impact of the adoption of ASU 2018-13 and will incorporate required disclosure updates in the Funds’ semiannual financial statements as of June 30, 2020.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical assets or liabilities; |
| • | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2019, at value:
Intermediate Municipal Bond Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Bonds and Notes(a) |
$ | — | $ | 17,706,061 | $ | — | $ | 17,706,061 | ||||||||
| Exchange-Traded Funds |
842,000 | — | — | 842,000 | ||||||||||||
| Short-Term Investments |
— | 596,026 | — | 596,026 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 842,000 | $ | 18,302,087 | $ | — | $ | 19,144,087 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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December 31, 2019
For the year ended December 31, 2019, there were no transfers among Levels 1, 2 and 3.
Natixis Oakmark Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks(a) |
$ | 278,183,079 | $ | — | $ | — | $ | 278,183,079 | ||||||||
| Short-Term Investments |
— | 5,183,485 | — | 5,183,485 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 278,183,079 | $ | 5,183,485 | $ | — | $ | 283,366,564 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, there were no transfers among Levels 1, 2 and 3.
Natixis Oakmark International Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 14,128,158 | $ | — | $ | 14,128,158 | ||||||||
| China |
10,264,633 | 4,036,579 | — | 14,301,212 | ||||||||||||
| Finland |
— | 4,732,328 | — | 4,732,328 | ||||||||||||
| France |
— | 67,828,135 | — | 67,828,135 | ||||||||||||
| Germany |
— | 107,533,426 | — | 107,533,426 | ||||||||||||
| India |
— | 3,889,823 | — | 3,889,823 | ||||||||||||
| Indonesia |
— | 4,770,005 | — | 4,770,005 | ||||||||||||
| Italy |
— | 21,566,886 | — | 21,566,886 | ||||||||||||
| Japan |
— | 20,526,486 | — | 20,526,486 | ||||||||||||
| Korea |
— | 18,370,612 | — | 18,370,612 | ||||||||||||
| Netherlands |
— | 13,733,424 | — | 13,733,424 | ||||||||||||
| South Africa |
— | 11,837,399 | — | 11,837,399 | ||||||||||||
| Sweden |
— | 35,707,391 | — | 35,707,391 | ||||||||||||
| Switzerland |
— | 71,850,687 | — | 71,850,687 | ||||||||||||
| Taiwan |
— | 1,494,156 | — | 1,494,156 | ||||||||||||
| United Kingdom |
10,195,607 | 117,758,284 | — | 127,953,891 | ||||||||||||
| United States |
1,045,443 | 4,272,771 | — | 5,318,214 | ||||||||||||
| All Other Common Stocks(a) |
37,343,713 | — | — | 37,343,713 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
58,849,396 | 524,036,550 | — | 582,885,946 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks(a) |
— | 2,561,851 | — | 2,561,851 | ||||||||||||
| Short-Term Investments |
— | 12,573,625 | — | 12,573,625 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 58,849,396 | $ | 539,172,026 | $ | — | $ | 598,021,422 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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December 31, 2019
Natixis Oakmark International Fund (continued)
Liability Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ | — | $ | (70,259 | ) | $ | — | $ | (70,259 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, there were no transfers among Levels 1, 2 and 3.
Small Cap Value Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks(a) |
$ | 107,943,697 | $ | — | $ | — | $ | 107,943,697 | ||||||||
| Exchange-Traded Funds |
5,528,940 | — | — | 5,528,940 | ||||||||||||
| Short-Term Investments |
— | 594,567 | — | 594,567 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 113,472,637 | $ | 594,567 | $ | — | $ | 114,067,204 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, 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) |
$ | 368,200,407 | $ | — | $ | — | $ | 368,200,407 | ||||||||
| Short-Term Investments |
— | 2,968,895 | — | 2,968,895 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 368,200,407 | $ | 2,968,895 | $ | — | $ | 371,169,302 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, 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
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December 31, 2019
year ended December 31, 2019, the Fund engaged in forward foreign currency transactions for hedging purposes.
The following is a summary of derivative instruments for Natixis Oakmark International Fund as of December 31, 2019, as reflected within the Statements of Assets and Liabilities:
| Liabilities |
Unrealized |
|||
| Over-the-counter liability derivatives |
||||
| Foreign exchange contracts |
$(70,259) | |||
Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2019, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Forward foreign | |
| Foreign exchange contracts | $826,022 | |
| Net Change in Unrealized |
Forward foreign | |
| Foreign exchange contracts | $(561,459) | |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2019:
| Natixis Oakmark International Fund |
Forwards | |
| Average Notional Amount Outstanding | 2.40% | |
| Highest Notional Amount Outstanding | 4.16% | |
| Lowest Notional Amount Outstanding | 0.75% | |
| Notional Amount Outstanding as of December 31, 2019 | 0.75% |
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
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December 31, 2019
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 December 31, 2019, 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 |
Offset |
Net |
|||||||||
| State Street Bank and Trust Company |
$ | (70,259 | ) | $ | — | $ | (70,259 | ) | ||||
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2019:
| Fund |
Maximum Amount |
Maximum Amount |
||||||
| Natixis Oakmark International Fund |
$ | — | $ | — | ||||
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December 31, 2019
5. Purchases and Sales of Securities. For the year ended December 31, 2019, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:
| Fund |
Purchases |
Sales |
||||||
| Intermediate Municipal Bond Fund |
$ | 2,142,750 | $ | 5,083,448 | ||||
| Natixis Oakmark Fund |
42,299,107 | 88,360,981 | ||||||
| Natixis Oakmark International Fund |
179,570,578 | 411,012,531 | ||||||
| Small Cap Value Fund |
73,816,347 | 114,985,029 | ||||||
| Value Opportunity Fund |
211,822,014 | 544,579,082 | ||||||
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
| Percentage of Average Daily Net Assets | ||||||||||||||||||||||||
| Fund |
First $150 million |
Next $50 million |
Next $300 million |
Next $500 million |
Next $500 million |
Over $1.5 billion |
||||||||||||||||||
| Intermediate Municipal Bond Fund |
0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||||
| Natixis Oakmark Fund |
0.70 | % | 0.70 | % | 0.65 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
| Natixis Oakmark International Fund |
0.85 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.70 | % | 0.70 | % | ||||||||||||
| Small Cap Value Fund |
0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||
| Value Opportunity Fund |
0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.75 | % | ||||||||||||
Prior to July 1, 2019, Natixis Oakmark International Fund paid a management fee at the annual rate of 0.85% of the Fund’s average daily net assets, calculated daily and payable monthly.
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December 31, 2019
Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.
| Intermediate Municipal Bond Fund |
Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | |
| 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 |
Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc. is indirectly owned by Natixis.
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 $150 million |
Next $50 million |
Next $800 million |
Next $500 million |
Over $1.5 billion |
||||||||||||||||
| Intermediate Municipal Bond Fund |
Loomis Sayles |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | |||||||||||
| Natixis Oakmark Fund |
Harris | 0.52 | % | 0.52 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Natixis Oakmark International Fund |
Harris | 0.60 | % | 0.50 | % | 0.50 | % | 0.45 | % | 0.45 | % | |||||||||||
| Small Cap Value Fund |
Vaughan Nelson |
0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||
| Value Opportunity Fund |
Vaughan Nelson |
0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.47 | % | |||||||||||
Prior to June 30, 2019, McDonnell Investment Management, LLC (“McDonnell”), which was owned by Loomis, Sayles & Company, Inc., was the sub-adviser to the Intermediate Municipal Bond Fund and was paid a subadvisory fee at the same rates.
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December 31, 2019
Prior to July 1, 2019, Natixis Oakmark International Fund paid its respective subadviser a subadvisory fee at an annual rate of 0.60%, calculated daily and payable monthly, based on the Fund’s average daily net assets.
Natixis Advisors has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2020 for Intermediate Municipal Bond Fund and Natixis Oakmark Fund and until April 30, 2021 for Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund, 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. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended December 31, 2019 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 |
||||||||||||
| Intermediate Municipal Bond Fund |
0.70 | % | 1.45 | % | — | 0.45 | % | |||||||||
| Natixis Oakmark Fund |
1.30 | % | 2.05 | % | 1.00 | % | 1.05 | % | ||||||||
| Natixis Oakmark International Fund |
1.37 | % | 2.12 | % | 1.07 | % | 1.12 | % | ||||||||
| Small Cap Value Fund |
1.34 | % | 2.09 | % | 1.04 | % | 1.09 | % | ||||||||
| Value Opportunity Fund |
1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % | ||||||||
Prior to July 1, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund were as follows:
| Expense Limit as a Percentage of Average Daily Net Assets |
||||||||||||||||
| Fund |
Class A |
Class C |
Class N |
Class Y |
||||||||||||
| Natixis Oakmark International Fund |
1.45 | % | 2.20 | % | 1.15 | % | 1.20 | % | ||||||||
| Small Cap Value Fund |
1.45 | % | 2.20 | % | 1.15 | % | 1.20 | % | ||||||||
| Value Opportunity Fund |
1.40 | % | 2.15 | % | 1.10 | % | 1.15 | % | ||||||||
Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a
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December 31, 2019
class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the year ended December 31, 2019, the management fees and waivers of management fees for each Fund were as follows:
| Fund |
Gross |
Contractual |
Net |
Percentage of |
||||||||||||||||
| Gross |
Net |
|||||||||||||||||||
| Intermediate Municipal Bond Fund |
$ | 81,140 | $ | 81,140 | $ | — | 0.40 | % | — | % | ||||||||||
| Natixis Oakmark Fund |
2,024,486 | — | 2,024,486 | 0.68 | % | 0.68 | % | |||||||||||||
| Natixis Oakmark International Fund |
5,285,519 | — | 5,285,519 | 0.82 | % | 0.82 | % | |||||||||||||
| Small Cap Value Fund |
1,138,555 | 94,489 | 1,044,066 | 0.90 | % | 0.83 | % | |||||||||||||
| Value Opportunity Fund |
3,346,992 | 94,264 | 3,252,728 | 0.80 | % | 0.78 | % | |||||||||||||
| 1 | Management fee waivers are subject to possible recovery until December 31, 2020. |
For the year ended December 31, 2019, expenses have been reimbursed as follows:
| Fund |
Reimbursement |
|||
| Intermediate Municipal Bond Fund |
$ | 151,023 | ||
No expenses were recovered for any of the Funds during the year ended December 31, 2019 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis 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 Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the
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December 31, 2019
Funds’ Class C shares, as compensation for services provided by Natixis 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 Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the year ended December 31, 2019, the service and distribution fees for each Fund were as follows:
| Service Fees | Distribution Fees | |||||||||||
| Fund |
Class A |
Class C |
Class C |
|||||||||
| Intermediate Municipal Bond Fund |
$ | 17,042 | $ | 3,680 | $ | 11,040 | ||||||
| Natixis Oakmark Fund |
448,350 | 141,629 | 424,887 | |||||||||
| Natixis Oakmark International Fund |
575,256 | 507,842 | 1,523,525 | |||||||||
| Small Cap Value Fund |
175,945 | 5,795 | 17,386 | |||||||||
| Value Opportunity Fund |
70,991 | 59,643 | 178,930 | |||||||||
c. Administrative Fees. Natixis 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, Natixis ETF Trust and Natixis Advisors, effective July 1, 2019 each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Prior to July 1, 2019, each Fund paid Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving as sub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction in sub-administrative fees discussed above. The waiver was in effect through June 30, 2019.
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For the year ended December 31, 2019, the administrative fees for each Fund were as follows:
| Fund |
Gross Administrative |
Waiver of |
Net |
|||||||||
| Intermediate Municipal Bond Fund |
$ | 8,937 | $ | 110 | $ | 8,827 | ||||||
| Natixis Oakmark Fund |
130,418 | 1,608 | 128,810 | |||||||||
| Natixis Oakmark International Fund |
285,779 | 3,660 | 282,119 | |||||||||
| Small Cap Value Fund |
55,743 | 706 | 55,037 | |||||||||
| Value Opportunity Fund |
184,437 | 2,398 | 182,039 | |||||||||
d. Sub-Transfer Agent Fees. Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended December 31, 2019, 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 |
|||
| Intermediate Municipal Bond Fund |
$ | 3,974 | ||
| Natixis Oakmark Fund |
135,040 | |||
| Natixis Oakmark International Fund |
600,878 | |||
| Small Cap Value Fund |
83,142 | |||
| Value Opportunity Fund |
318,560 | |||
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December 31, 2019
As of December 31, 2019, the Funds owe Natixis 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 |
|||
| Intermediate Municipal Bond Fund |
$ | 51 | ||
| Natixis Oakmark Fund |
1,772 | |||
| Natixis Oakmark International Fund |
8,122 | |||
| Small Cap Value Fund |
966 | |||
| Value Opportunity Fund |
4,371 | |||
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 Natixis Distribution during the year ended December 31, 2019, were as follows:
| Fund |
Commissions |
|||
| Intermediate Municipal Bond Fund |
$ | 215 | ||
| Natixis Oakmark Fund |
35,158 | |||
| Natixis Oakmark International Fund |
56,309 | |||
| Small Cap Value Fund |
818 | |||
| Value Opportunity Fund |
1,613 | |||
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 Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. 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
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December 31, 2019
he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF 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.
Effective January 1, 2020, the Chairperson of the Board will receive a retainer fee at the annual rate of $369,000, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $199,000, and the chairperson of the Governance Committee will receive an additional retainer fee at the annual rate of $20,000. All other Trustee fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.
Certain officers and employees of Natixis Advisors and affiliates are also officers and/or Trustees of the Trusts.
g. Affiliated Ownership. As of December 31, 2019, Natixis and affiliates held shares of the Small Cap Value Fund representing less than 0.01% of the Fund’s net assets.
Investment activities of affiliated shareholders could have material impacts on the Fund.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Natixis Oakmark Fund, Natixis Oakmark International Fund and Small Cap Value Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2020 and is not subject to recovery under the expense limitation agreement described above.
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For the year ended December 31, 2019, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
| Reimbursement of |
||||
| Fund |
Class N |
|||
| Natixis Oakmark Fund |
$ | 805 | ||
| Natixis Oakmark International Fund |
853 | |||
| Small Cap Value Fund |
796 | |||
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund 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.
Intermediate Municipal Bond Fund allocates 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.
For the year ended December 31, 2019, Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| Transfer Agent Fees and Expenses | ||||||||||||||||
| Fund |
Class A |
Class C |
Class N |
Class Y |
||||||||||||
| Natixis Oakmark Fund |
$ | 159,270 | $ | 50,309 | $ | 805 | $ | 52,995 | ||||||||
| Natixis Oakmark International Fund |
232,721 | 204,374 | 853 | 214,777 | ||||||||||||
| Small Cap Value Fund |
79,581 | 2,643 | 796 | 61,082 | ||||||||||||
| Value Opportunity Fund |
29,040 | 23,600 | 784 | 309,190 | ||||||||||||
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. 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. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the
103 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the year ended December 31, 2019, Value Opportunity Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $78,214,167 at a weighted average interest rate of 3.45%. Interest expense incurred was $44,968.
9. Interest Expense. The Fund may incur interest expense on cash overdrafts at the custodian or from use of the line of credit. Interest expense incurred for the year ended December 31, 2019 is reflected on the Statement of Operations.
10. Concentration of Risk. Natixis Oakmark International Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2019, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ 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% |
Percentage of |
||||||
| Intermediate Municipal Bond Fund |
4 | 33.38 | % | |||||
| Value Opportunity Fund |
2 | 26.24 | % | |||||
Omnibus shareholder accounts for which Natixis 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.
| 104
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Intermediate Municipal Bond Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
172,592 | $ | 1,769,797 | 275,455 | $ | 2,764,015 | ||||||||||
| Issued in connection with the reinvestment of distributions |
12,521 | 128,813 | 12,617 | 125,269 | ||||||||||||
| Redeemed |
(59,824 | ) | (609,217 | ) | (274,616 | ) | (2,717,698 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
125,289 | $ | 1,289,393 | 13,456 | $ | 171,586 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
43,687 | $ | 451,336 | 10,557 | $ | 105,987 | ||||||||||
| Issued in connection with the reinvestment of distributions |
967 | 9,940 | 1,243 | 12,351 | ||||||||||||
| Redeemed |
(75,820 | ) | (777,366 | ) | (79,290 | ) | (790,619 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(31,166 | ) | $ | (316,090 | ) | (67,490 | ) | $ | (672,281 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
118,355 | $ | 1,214,783 | 422,343 | $ | 4,210,756 | ||||||||||
| Issued in connection with the reinvestment of distributions |
14,927 | 153,521 | 14,182 | 141,017 | ||||||||||||
| Redeemed |
(620,551 | ) | (6,360,407 | ) | (1,826,504 | ) | (18,225,145 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(487,269 | ) | $ | (4,992,103 | ) | (1,389,979 | ) | $ | (13,873,372 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Decrease from capital share transactions |
(393,146 | ) | $ | (4,018,800 | ) | (1,444,013 | ) | $ | (14,374,067 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
105 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
12. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Natixis Oakmark Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
341,587 | $ | 7,422,550 | 1,710,227 | $ | 42,259,538 | ||||||||||
| Issued in connection with the reinvestment of distributions |
707,759 | 15,556,227 | 759,153 | 15,279,946 | ||||||||||||
| Redeemed |
(1,440,445 | ) | (31,399,881 | ) | (2,242,255 | ) | (53,142,329 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(391,099 | ) | $ | (8,421,104 | ) | 227,125 | $ | 4,397,155 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
411,202 | $ | 7,542,498 | 1,327,534 | $ | 27,139,192 | ||||||||||
| Issued in connection with the reinvestment of distributions |
258,850 | 4,802,209 | 277,335 | 4,799,814 | ||||||||||||
| Redeemed |
(1,012,379 | ) | (18,545,938 | ) | (1,273,226 | ) | (26,235,921 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(342,327 | ) | $ | (6,201,231 | ) | 331,643 | $ | 5,703,085 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
38,538 | $ | 856,493 | 386 | $ | 10,194 | ||||||||||
| Issued in connection with the reinvestment of distributions |
1,564 | 37,043 | 38 | 783 | ||||||||||||
| Redeemed |
(6,880 | ) | (164,534 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
33,222 | $ | 729,002 | 424 | $ | 10,977 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
1,091,333 | $ | 25,027,333 | 2,241,985 | $ | 58,092,396 | ||||||||||
| Issued in connection with the reinvestment of distributions |
178,407 | 4,126,503 | 190,395 | 4,001,696 | ||||||||||||
| Redeemed |
(1,928,446 | ) | (43,874,360 | ) | (1,730,567 | ) | (42,663,771 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(658,706 | ) | $ | (14,720,524 | ) | 701,813 | $ | 19,430,321 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(1,358,910 | ) | $ | (28,613,857 | ) | 1,261,005 | $ | 29,541,538 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 106
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
12. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Natixis Oakmark International Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
3,833,342 | $ | 48,961,166 | 8,614,434 | $ | 129,879,929 | ||||||||||
| Issued in connection with the reinvestment of distributions |
293,582 | 3,983,907 | 995,963 | 10,965,551 | ||||||||||||
| Redeemed |
(14,255,482 | ) | (182,428,373 | ) | (25,557,109 | ) | (364,431,088 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(10,128,558 | ) | $ | (129,483,300 | ) | (15,946,712 | ) | $ | (223,585,608 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
1,189,713 | $ | 14,652,748 | 4,347,532 | $ | 64,671,210 | ||||||||||
| Issued in connection with the reinvestment of distributions |
235,439 | 3,145,368 | 567,617 | 6,152,971 | ||||||||||||
| Redeemed |
(7,169,411 | ) | (88,659,492 | ) | (9,503,667 | ) | (126,163,655 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(5,744,259 | ) | $ | (70,861,376 | ) | (4,588,518 | ) | $ | (55,339,474 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
35,523 | $ | 453,334 | 92,040 | $ | 1,342,548 | ||||||||||
| Issued in connection with the reinvestment of distributions |
2,041 | 27,558 | 3,315 | 36,370 | ||||||||||||
| Redeemed |
(45,088 | ) | (565,153 | ) | (28,097 | ) | (387,970 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(7,524 | ) | $ | (84,261 | ) | 67,258 | $ | 990,948 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
7,903,073 | $ | 103,147,261 | 18,731,471 | $ | 276,949,870 | ||||||||||
| Issued in connection with the reinvestment of distributions |
590,961 | 7,977,970 | 965,209 | 10,588,341 | ||||||||||||
| Redeemed |
(9,581,271 | ) | (119,483,340 | ) | (11,681,703 | ) | (157,478,079 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,087,237 | ) | $ | (8,358,109 | ) | 8,014,977 | $ | 130,060,132 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Decrease from capital share transactions |
(16,967,578 | ) | $ | (208,787,046 | ) | (12,452,995 | ) | $ | (147,874,002 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
107 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
12. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Small Cap Value Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
291,593 | $ | 4,253,300 | 712,683 | $ | 12,873,039 | ||||||||||
| Issued in connection with the reinvestment of distributions |
29,009 | 447,550 | 1,087,949 | 14,101,401 | ||||||||||||
| Redeemed |
(1,267,013 | ) | (18,496,699 | ) | (1,494,118 | ) | (27,125,775 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(946,411 | ) | $ | (13,795,849 | ) | 306,514 | $ | (151,335 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
14,584 | $ | 107,063 | 67,032 | $ | 586,716 | ||||||||||
| Issued in connection with the reinvestment of distributions |
1,709 | 13,304 | 201,322 | 1,524,443 | ||||||||||||
| Redeemed |
(374,191 | ) | (2,772,672 | ) | (1,075,636 | ) | (12,147,004 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(357,898 | ) | $ | (2,652,305 | ) | (807,282 | ) | $ | (10,035,845 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
2,117 | $ | 32,857 | — | $ | — | ||||||||||
| Issued in connection with the reinvestment of distributions |
12 | 194 | 15 | 200 | ||||||||||||
| Redeemed |
(887 | ) | (14,210 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1,242 | $ | 18,841 | 15 | $ | 200 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
255,977 | $ | 3,867,153 | 441,361 | $ | 8,044,129 | ||||||||||
| Issued in connection with the reinvestment of distributions |
24,035 | 388,742 | 1,132,316 | 15,826,362 | ||||||||||||
| Redeemed |
(2,009,269 | ) | (30,637,042 | ) | (6,233,772 | ) | (112,747,613 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,729,257 | ) | $ | (26,381,147 | ) | (4,660,095 | ) | $ | (88,877,122 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Decrease from capital share transactions |
(3,032,324 | ) | $ | (42,810,460 | ) | (5,160,848 | ) | $ | (99,064,102 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 108
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
12. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Value Opportunity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
861,269 | $ | 17,619,199 | 495,715 | $ | 10,630,321 | ||||||||||
| Issued in connection with the reinvestment of distributions |
12,533 | 280,906 | 171,431 | 3,074,190 | ||||||||||||
| Redeemed |
(1,901,968 | ) | (37,334,239 | ) | (1,114,049 | ) | (23,838,889 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,028,166 | ) | $ | (19,434,134 | ) | (446,903 | ) | $ | (10,134,378 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
41,784 | $ | 804,347 | 74,034 | $ | 1,500,519 | ||||||||||
| Issued in connection with the reinvestment of distributions |
7,533 | 158,588 | 121,282 | 2,078,925 | ||||||||||||
| Redeemed |
(466,640 | ) | (9,000,145 | ) | (948,504 | ) | (19,327,431 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(417,323 | ) | $ | (8,037,210 | ) | (753,188 | ) | $ | (15,747,987 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
265,852 | $ | 5,433,660 | 1,690,373 | $ | 38,824,913 | ||||||||||
| Issued in connection with the reinvestment of distributions |
9,232 | 208,696 | 369,511 | 6,683,144 | ||||||||||||
| Redeemed |
(3,511,497 | ) | (74,546,739 | ) | (3,884,820 | ) | (89,963,901 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(3,236,413 | ) | $ | (68,904,383 | ) | (1,824,936 | ) | $ | (44,455,844 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
2,842,232 | $ | 59,252,207 | 7,576,178 | $ | 168,906,227 | ||||||||||
| Issued in connection with the reinvestment of distributions |
129,190 | 2,931,301 | 2,423,432 | 44,084,799 | ||||||||||||
| Redeemed |
(15,601,071 | ) | (306,352,102 | ) | (18,028,194 | ) | (386,667,770 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(12,629,649 | ) | $ | (244,168,594 | ) | (8,028,584 | ) | $ | (173,676,744 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Decrease from capital share transactions |
(17,311,551 | ) | $ | (340,544,321 | ) | (11,053,611 | ) | $ | (244,014,953 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
109 |
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Loomis Sayles Intermediate Municipal Bond Fund, Natixis Oakmark Fund, Natixis Oakmark International Fund, Vaughan Nelson Small Cap Value Fund, and Vaughan Nelson Value Opportunity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Natixis Oakmark International Fund and Vaughan Nelson Small Cap Value Fund (two of the funds constituting the Natixis Funds Trust I), and Loomis Sayles Intermediate Municipal Bond Fund, Natixis Oakmark Fund, and Vaughan Nelson Value Opportunity Fund (three of the funds constituting the Natixis Funds Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant
| 110
Table of Contents
Report of Independent Registered Public Accounting Firm
estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 21, 2020
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
111 |
Table of Contents
2019 U.S. Tax Distribution Information to
Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2019, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
| Fund |
Qualifying |
|||
| Natixis Oakmark Fund |
100.00 | % | ||
| Small Cap Value Fund |
83.44 | % | ||
| Value Opportunity Fund |
100.00 | % | ||
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2019.
| Fund |
Amount |
|||
| Natixis Oakmark Fund |
$ | 25,578,931 | ||
| Small Cap Value Fund |
558,650 | |||
| Value Opportunity Fund |
2,860,547 | |||
Qualified Dividend Income. For the fiscal year ended December 31, 2019, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2019, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:
| Fund |
Qualifying |
|||
| Natixis Oakmark Fund |
100.00 | % | ||
| Natixis Oakmark International Fund |
100.00 | % | ||
| Small Cap Value Fund |
100.00 | % | ||
| Value Opportunity Fund |
100.00 | % | ||
Foreign Tax Credit. For the year ended December 31, 2019, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:
| Fund |
Foreign Tax |
Foreign Source |
||||||
| Natixis Oakmark International Fund |
$ | 2,276,940 | $ | 28,882,341 | ||||
| 112
Table of Contents
2019 U.S. Tax Distribution Information to
Shareholders (Unaudited)
Exempt Interest Dividends
During the year ended December 31, 2019, Intermediate Municipal Bond paid dividends to shareholders from net investment income, of which 99.23% are designated as exempt interest dividends for federal tax purposes. However, state and local taxes differ from state to state and a portion of the dividends may be subject to the individual Alternative Minimum Tax, so it is suggested that you consult your own tax adviser.
113 |
Table of Contents
Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES | ||||||||
| Kenneth A. Drucker (1945) |
Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee |
Retired | 51 None |
Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation) | ||||
| Edmond J. English (1953) | Trustee since 2013 Chairperson of Governance Committee and Audit Committee Member |
Executive Chairman of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail) |
Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
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Trustee and Officer Information
| Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of 5 Years |
Experience, | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Richard A. Goglia (1951) | Trustee since 2015 Contract Review Committee Member and Governance Committee Member |
Retired; formerly Vice President and Treasurer of Raytheon Company (defense) | 51 None |
Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
| Wendell J. Knox (1948) | Trustee since 2009 Chairperson of Contract Review Committee |
Director of Abt Associates Inc. (research and consulting) | 51 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) |
Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
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Trustee and Officer Information
| Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of 5 Years |
Experience, | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Martin T. Meehan (1956) | Trustee since 2012 Audit Committee Member |
President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell | 51 None |
Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
| Maureen B. Mitchell (1951) | Trustee since 2017 Contract Review Committee Member and Governance Committee Member |
Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services) | 51 Director, Sterling Bancorp (bank) |
Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
| James P. Palermo (1955) | Trustee since 2016 Contract Review Committee Member |
Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 51 Director, FutureFuel.io (chemicals and biofuels) |
Experience on the Board ; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
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Trustee and Officer Information
| Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of 5 Years |
Experience, | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Erik R. Sirri (1958) |
Trustee since 2009 Chairperson of the Audit Committee |
Professor of Finance at Babson College | 51 None |
Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
| Peter J. Smail (1952) |
Trustee since 2009 Audit Committee Member and Governance Committee Member |
Retired | 51 None |
Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
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Trustee and Officer Information
| Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of 5 Years |
Experience, | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Kirk A. Sykes (1958) |
Trustee since 2019 Contract Review Committee Member |
Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance); formerly, President of Urban Strategy America Fund (real estate fund manager) | 51 Trustee, Eastern Bank (bank); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) |
Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
| Cynthia L. Walker (1956) |
Trustee since 2005 Audit Committee Member and Governance Committee Member |
Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None |
Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
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Trustee and Officer Information
| Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of 5 Years |
Experience, | ||||
| INTERESTED TRUSTEES | ||||||||
| Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 |
Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. | 51 None |
Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
| David L. Giunta4 (1965) |
Trustee since 2011 President and Chief Executive Officer since 2008 |
President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | 51 None |
Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | ||||
| 1 | Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Mr. Drucker was appointed to serve an additional one year term as the Chairperson of the Board on June 12, 2019. |
| 2 | The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Trusts, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II and Natixis ETF Trust (collectively, the “Fund Complex”). |
| 3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| 4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held |
Term of Office1 and |
Principal Occupation(s) | |||
| OFFICERS OF THE TRUSTS | ||||||
| Russell L. Kane (1969) |
Secretary, Clerk and Chief Legal Officer | Since 2016 | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
| Michael C. Kardok (1959) |
Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
| Kirk D. Johnson (1981) |
Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2018 | Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Associate General Counsel, Natixis Distribution, L.P.; Vice President and Counsel, Natixis Investment Managers, LLC. | |||
| 1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
| 2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, L.P., Natixis Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
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Annual Report
December 31, 2019
Loomis Sayles Strategic Alpha Fund
Natixis U.S. Equity Opportunities Fund
| Portfolio Review | 1 | |||
| Portfolio of Investments | 16 | |||
| Financial Statements | 49 | |||
| Notes to Financial Statements | 62 | |||
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
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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 N LASNX | |
| Loomis, Sayles & Company, L.P. | Class Y LASYX | |
Investment Goal
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.
Market Conditions
The fixed income markets produced robust returns in 2019, reflecting global central banks’ shift to more accommodative policies. A backdrop of moderate economic growth and low inflation provided the US Federal Reserve (Fed) with the latitude to lower interest rates by a quarter point on three occasions in the span from July to October. While the Fed subsequently made it clear that it was unlikely to enact any further cuts in the near future barring a meaningful slowdown in growth, investors remained confident that it would keep rates steady throughout 2020. A number of other world central banks followed the Fed’s move toward easier policy, highlighted by the European Central Bank’s pledge to restart its simulative quantitative easing program.
High-grade corporate bonds performed very well and finished the year as one of the best performing areas of the bond market. In addition to benefiting from the decline in Treasury yields, the asset class was helped by continued spread compression and elevated demand for high-quality investments. Lower-quality corporate debt also rallied in 2019 as the search for yield continued. The category was boosted by broad strength across higher-risk assets, an accommodative Fed and a benign economic outlook for 2020.
Securitized assets (such as mortgage-backed securities, asset-backed securities, and commercial mortgage-backed securities) generated solid gains as a group. However, they lagged the overall market due in part to investors’ preference for longer-term and/or riskier securities.
Performance Results
For the 12 months ended December 31, 2019, the Class Y shares of the Loomis Sayles Strategic Alpha Fund returned 3.96% at net asset value. The Fund outperformed its benchmark, 3-Month LIBOR, which returned 2.33% for the period. The Fund follows an absolute return strategy and is not managed to an index.
Explanation of Fund Performance
The largest positive contribution to performance during the period came from our allocation to investment grade corporate bonds. The Fed remained generally
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accommodative throughout the period, unencumbered by the presence of inflation, providing a major tailwind to risk assets. Within investment grade corporates, the Fund’s holdings of financial, consumer and technology names led positive contributions.
Exposure to securitized assets contributed to return during the period. Asset-backed securities, the largest of our exposures within the securitized sector, generated positive results from sub-sectors such as aircraft-related, auto loans and personal loans. Residential mortgage-backed securities also contributed to performance, as housing remained generally solid throughout the period and sentiment was supported by attractive rates for borrowers.
Our allocation to bank loans also buoyed performance for the 12 months despite headwinds created for floating rate instruments by the generally accommodative trajectory of Fed policy. Investors have been drawn to the relative safety of these securities given their senior position in the capital structure. During the period, selected communications, capital goods and consumer non-cyclical loan names led contributions to performance.
Our global interest rate tools, primarily sovereign bonds, interest rate swaps and futures, detracted from performance for the year. Most of the negative performance was the result of a short Euro Bund futures position where we expected rates to bottom earlier in the year and exposure to Argentine sovereigns that were impacted by the recent unexpected election results. Markets are weighing the likelihood that the newly elected president of Argentina will be able to effectively address the country’s economic woes.
Currency positioning also weighed on performance. The US dollar remained strong against most currencies until the last quarter when it started to revert. At different points in the year, idiosyncratic exposure from a short forward position in the Singapore dollar and a long forward position in the Norwegian krone detracted the most. Currency markets remain focused on the pace of global growth, which has been constrained by the global manufacturing slowdown despite some signs of conditions bottoming out.
Our allocation to equities hurt performance during the period, despite equity markets exhibiting strength and ending the year near historical highs. Much of the negative performance within our allocation to equities can be attributed to energy-related names and the use of S&P 500® Index futures designed to mitigate risk during elevated geopolitical tensions.
Outlook
We expect to exit the manufacturing slowdown without an economy-wide recession; however, downside risks remain present in the near term. This view hinges on the idea that the Fed will remain supportive and continue accommodative monetary policy. We project the Fed to remain on hold for the next twelve months. Chair Powell has indicated that additional rate cuts are unlikely in the near term, barring any significant, unexpected acceleration in inflation.
We maintain our cautious outlook on risk sentiment. As noted, the Fed appears likely to continue to provide stimulus by maintaining accommodative monetary policy. However, China’s economic recovery is faltering, and risks related to the US-China trade war remain
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despite being tempered somewhat by completion of a phase one agreement. Markets will remain focused on Chinese stimulus as a potential catalyst for global growth. So far, however, policy makers have been reluctant to utilize all available options, instead favoring an incremental approach.
The US dollar has been range-bound despite some choppiness. We expect a continuation of these themes, which should be supportive for risk assets in general. We saw some dollar weakening during October, but haven’t seen much of a breakout in either direction since. The perception of an easing in risks related to US-China trade has caused the dollar’s recent bid as a safe haven to largely evaporate. Volatility shocks and weakening risk appetite are factors that could prove constructive for the dollar.
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 15, 2010 (inception) through December 31, 2019
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Average Annual Total Returns — December 31, 20194
| Expense Ratios5 |
||||||||||||||||||||||||
| 1 Year | 5 Years | Life of Class | Gross | Net | ||||||||||||||||||||
| Class Y (Inception 12/15/10) | Class Y/A/C | Class N | ||||||||||||||||||||||
| NAV | 3.96 | % | 2.62 | % | 2.80 | % | — | % | 0.75 | % | 0.75 | % | ||||||||||||
| Class A (Inception 12/15/10) | ||||||||||||||||||||||||
| NAV | 3.58 | 2.35 | 2.55 | — | 1.00 | 1.00 | ||||||||||||||||||
| With 4.25% Maximum Sales Charge | -0.85 | 1.47 | 2.06 | — | ||||||||||||||||||||
| Class C (Inception 12/15/10) | ||||||||||||||||||||||||
| NAV | 2.87 | 1.59 | 1.77 | — | 1.75 | 1.75 | ||||||||||||||||||
| With CDSC1 | 1.87 | 1.59 | 1.77 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 3.92 | — | — | 2.47 | 0.70 | 0.70 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| 3-Month LIBOR2 | 2.33 | 1.39 | 0.91 | 2.07 | ||||||||||||||||||||
| 3-Month LIBOR + 300 basis points3 | 5.33 | 4.39 | 3.89 | 5.06 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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. |
| 5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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NATIXIS U.S. EQUITY OPPORTUNITIES FUND
| Managers | Symbols | |
| Large Cap Value Segment | Class A NEFSX | |
| Harris Associates L.P. | Class C NECCX | |
| All Cap Growth Segment | Class N NESNX | |
| Loomis, Sayles & Company, L.P. | Class Y NESYX | |
Investment Goal
The Fund seeks long-term growth of capital.
Market Conditions
While the US economy suffered from volatility due to trade tensions with China, markets were up phased as the three major indexes hit new highs for the year. Although growth slowed in 2019 from 2.6 percent to an estimated 2.3%, the unemployment rate fell to 3.5 percent. That represents the lowest rate since December, 1969. Job creation weakened a bit from 2018, but remained steady at an average of 176,000 a month in 2019. Labor force participation is increasing, as workers who had previously been unemployed move back into the workforce. Wage gains slowed but were still healthy at an average of 2.9 percent on a year-over-year basis. For only the second time since records have been kept, women outnumbered men in the paid workforce, highlighting the evolving diversity of the American labor market. Not only have women been joining the workforce at a more rapid clip than men, but women also represent the majority in growth-oriented occupations such as healthcare and education.
Fears of a slowing economy led the US Federal Reserve Board (Fed) to cut benchmark federal funds rates three times during 2019 in an effort to protect the economy from downside risk. Following four rate hikes in 2018, the Fed lowered rates for the first time since 2008 in July of 2019. Fed leaders characterized the three rate cuts as an adjustment designed to sustain the nation’s longest running economic expansion rather than the beginning of a prolonged series of cuts. Minutes of the Fed’s October meeting revealed a consensus around pausing rate decreases. Officials believe that the economy is in solid shape and likely to continue on a path of moderate economic growth along with a strong job market and stable inflation.
The US economy continued to shine in contrast to the rest of the global economy, which was characterized by weak growth, rising trade barriers and economic uncertainty. The European Central Bank also cut interest rates to head off a recession in Europe. The British election results set the United Kingdom firmly on the path to a negotiated Brexit. China and the United States were working towards a resolution of their trade dispute as the year drew to an end. Several emerging market economies also cut rates in an effort to stimulate flagging growth.
Following a down year in 2018, major US market indexes rallied sharply in 2019. Buoyed by the Fed’s rate cuts, record low unemployment and fairly steady growth, the Dow,
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S&P 500 and Nasdaq all experienced gains in excess of 20 percent. Heading into the beginning of 2019, many economists were fearful of escalating trade wars, a global economic slowdown and further Fed rate hikes. However, while trade issues did take center stage for much of the year, the impact was less severe than expected. Heading into 2020, trade tensions are easing, rates are expected to remain stable and economic growth is projected to continue at its moderate pace.
Performance Results
For the 12 months ended December 31, 2019, Class Y shares of Natixis U.S. Equity Opportunities Fund returned 31.36% at net asset value. The Fund slightly underperformed its primary benchmark, the S&P 500® Index, which returned 31.49%. The Fund also slightly underperformed its secondary benchmark, the Russell 1000® Index, which returned 31.43%.
Explanation of Fund Performance
Each of the portfolio’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks:
| · | The Harris Associates L.P. Large Cap Value segment invests primarily in the common stocks of larger-capitalization companies that Harris Associates believes are trading at a substantial discount to the company’s “true business value.” |
| · | The Loomis, Sayles & Company, L.P. All Cap Growth segment invests primarily in equity securities and may invest in companies of any size. The segment employs a growth style of equity management that emphasizes companies with sustainable competitive advantages, long-term structural growth drivers, attractive cash flow returns on invested capital, and management teams focused on creating long-term value for shareholders. The segment aims to invest in companies when they trade at a significant discount to the estimate of intrinsic value. |
Although the Fund underperformed the benchmarks, both the Harris Associates L.P. Large Cap Value and Loomis, Sayles & Company, L.P. All Cap Growth segments posted strong absolute returns.
Harris Associates Large Cap Value Segment
As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute return basis, shares in the consumer staples sector advanced the smallest amount, while holdings in the technology sector gained the most value.
Qurate Retail was the largest detractor to Fund performance in the calendar year. Qurate issued mixed results throughout 2019 with revenue that lagged market expectations in three reported quarters, while operating income exceeded forecasts in three reported quarters. Revenues in the company’s underlying businesses (QVC, Zulily and QxH) were also inconsistent over the past 12 months. Most recently, Qurate reported third quarter revenue of $3.09 billion, which undershot market projections of $3.12 billion. Concurrently, operating income reached $456 million and was better than the
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$388.1 million the market had estimated. From our perspective, results were in line with recent trends in the business. Revenues from QxH (QVC/HSN in the US) declined 4% year-over-year, which is the third sequential quarter of contraction. QVC International revenue growth improved slightly (+3%) as demand in Japan shifted ahead owing to a pending consumption tax increase. Zulily is struggling, as revenue fell 17% from a year earlier, and management anticipates results in this business will likely worsen and cause a $1 billion impairment charge of intangible assets from the acquisition. While we were disappointed by Qurate Retail’s recent performance, we are hopeful that management’s objectives can lead to improved results going forward.
The largest contributor to Fund performance for the year was Citigroup. Citigroup’s results released over the course of the year showed the company achieved revenues of slightly more than $18 billion in all four reported quarters. In addition, earnings per share were better than market expectations consistently across reporting periods. From our standpoint, the company’s fundamental performance showed strengthening trends that we found notable. Most recently, Citigroup reported third quarter results in mid-October that we saw as solid. Constant currency revenue grew 3% from a year earlier and earnings per share rose nearly 20% to $2.07 (including a one-time tax benefit), which was about 6% better than market expectations. We were particularly pleased with performance in the global consumer bank segment that realized an increase in underlying pre-provision net revenue of 11%, driven by 4% revenue growth along with a 1% decline in operating expenses. Lastly, management returned more than $6 billion of capital to shareholders through buybacks and dividend payments in the third quarter and reduced the share count by over 250 million from the prior year. Even accounting for the share price increase in 2019, we continue to believe that Citigroup is undervalued relative to its normalized earnings power.
Loomis, Sayles and Company All Cap Growth Segment
We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. For the period, the All Cap Growth segment posted a positive absolute return. Our holdings in the information technology, consumer discretionary, communication services, financials, health care, consumer staples, industrials, and energy sectors contributed positively to results.
Alcon, United Parcel Service (UPS), and Compass Minerals International were the three lowest contributors during the period, with only Alcon contributing negatively. In April 2019, Novartis completed a spinoff of its Alcon eye care division to shareholders. As a result of our ownership of Novartis, the segment received an approximately 16 basis point allocation in Alcon, Inc. The newly public company had modestly negatively returns for the period and was the only detractor from segment performance during the year. From time to time we receive shares of subsidiary businesses arising from our ownership of their parent companies. Given the fact that these businesses are part of the companies we own, we already have a good understanding of the company’s profit pools. In each instance we further assess whether or not the stand-alone entity meets our quality, growth, and valuation
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criteria. Based on our analysis, Alcon is a high-quality business with secular growth drivers. The company is a global leader in ophthalmologic medical devices, focused on eye surgery equipment and related accessories used to perform cataract surgery, as well as a leading global producer of consumer ophthalmic products such as contact lenses and other ocular health products. With a greater than 70-year history in ophthalmology, Alcon carries with it a brand and legacy known for innovation in eye care. With more than $7 billion in revenue and a restructured business as its foundation, we believe Alcon will be able to grow on its own. Within Alcon’s core markets, the underlying structural growth dynamics remain intact, with a growing elderly population and improving health care in developing markets. We believe Alcon’s future growth will stem from an increased focus on the fundamental drivers of its business, its scale in efficient manufacturing and distribution to a leading global network of installed surgical equipment clients, as well as a reinvigorated focus on innovation and differentiation. While the company continues to meet our quality and growth criteria, we substantially trimmed our position in the period in favor of better reward-to-risk opportunities.
UPS is the world’s largest package delivery company and a leading global provider of specialized transportation and logistics services. We first purchased UPS in 2007 and built our position during a cyclical downturn, adding to the position in 2008, 2009, and 2010. Over our greater than 10-year holding period, the position was among the top twenty-five contributors to strategy performance. Typical of our gradual approach to building and exiting positions, we first began to exit the position in the first quarter of 2018. We sold our remaining stake of approximately 68 basis points in January 2019 because the company had approached our estimate of intrinsic value. Due to our short holding period in calendar year 2019, and the strategy’s substantial appreciation over the course of the year, UPS appears among the lowest contributors to strategy performance for the full year. We used the proceeds from selling UPS to initiate a new position in Nvidia Corporation, the world leader in visual computing that enables computers to produce and utilize highly realistic 3D graphic imagery and models. Nvidia returned 62% for the year and was a top ten contributor to segment performance.
Compass Minerals International is a leading producer of salt used primarily in highway de-icing, as well as a range of consumer and industrial applications. The company is also the largest producer in North America of organic-approved sulfate of potash (SOP) specialty fertilizer. A long-term segment holding, the position contributed positively in 2019 but was among the three lowest contributors for the period. When we initiated our position in Compass we believed the company’s strong and sustainable competitive advantages included its salt mining and SOP assets, which accounted for the majority of the company’s revenues and would be very difficult for a competitor to replicate. The company’s main salt mine was by far the largest and lowest cost producer in North America and possessed strategic access to deep-water ports for cost-advantaged transportation. The company’s solar evaporation method of SOP production was the lowest cost in North America and among only three such operations globally. We believed management understood the value of their two advantaged assets, and we agreed with steps they were taking to de-leverage the company. However, the company later took on further leverage to
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NATIXIS U.S. EQUITY OPPORTUNITIES FUND
diversify away from the salt business, where they had a clear competitive advantage, to buy a plant nutrition business in Brazil where they had little geographic or strategic overlap. Further, misexecution in the company’s salt business and another winter with lower than average demand led the company to operate under tighter financial conditions than we had anticipated. With consistent review of the fundamentals of the business and our investment thesis, it became clear that our original base case investment thesis was becoming a less likely outcome, and that the downside risk to our thesis and the company valuation was greater than anticipated. In January 2019 we sold our approximately 32 basis point position in Compass and used the proceeds to initiate a new position in Nvidia Corporation.
Alibaba Group, Facebook, and Visa were the largest contributors during the period. Demonstrating the power of its brands and network ecosystem, China e-commerce and consumer-engagement platform provider Alibaba reported fundamentally strong results during the period. Revenue growth in the mid- double digits was well above our estimates for China consumer spending, China online physical goods sales, and China IT spending, indicating the company continues to grow its leading market share. Operating margins declined year over year due to management’s significant ongoing reinvestment in the business. Areas of focus for strategic reinvestment include improving user experience, local services through recently acquired delivery company Ele.me, “new retail,” logistics, globalization, cloud services, digital media, and greater operating efficiency. We believe these investments are consistent with Alibaba’s long-term strategy to strengthen and extend its competitive positioning across commerce, advertising, and cloud computing, while expanding its addressable market both internationally and through its “new retail” initiative. Further, while many of these strategic initiatives are currently loss making, we believe they will become profitable over time and contribute to earnings and free cash flow growth. With GMV (gross merchandise volume) of $853 billion and 654 million active annual consumers on its China commerce retail sites in its latest fiscal year, Alibaba is the world’s largest retail platform. The long-term structural expansion of internet users and online shopping are drivers of secular growth for Alibaba in China, where because of a lack of traditional retail infrastructure, e-commerce is expanding consumption rather than simply replacing offline spending. Alibaba continues to execute well on its business model, allowing it to expand its already dominant market position and to invest to strengthen its competitive advantages. We believe the current market price embeds expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions.
A strategy holding since its IPO in 2012, social media company Facebook reported strong and above-expectations growth in revenue during the period that was approximately two times our estimate for the rate of growth in online advertising, indicating the company grew its market share. Despite reporting in July that it had reached a $5 billion settlement with the US Federal Trade Commission (FTC) regarding its privacy practices and that the FTC has also opened an antitrust investigation, Facebook continues to grow its global user base, and user engagement as measured by daily and monthly active users has remained solid. In addition, demand from advertisers remains robust, and the company grew its average revenue per user throughout the year. We believe Facebook is a high quality company, benefiting from the secular shift from traditional advertising to online advertising
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and positioned for strong and sustainable growth over our investment horizon. We will continue to monitor ongoing regulatory actions, but we believe management’s decisions and actions illustrate their commitment to preserve platform integrity and to sustain the company’s leadership. With 2.8 billion people worldwide using its apps and more than 90 million global businesses with Facebook pages, the scale and reach of Facebook’s network is unrivaled. We believe that corporations will continue to allocate an increasing proportion of their advertising spending online, and Facebook remains one of very few platforms where advertisers can reach consumers at such scale.
Visa is the largest payments technology company in the world, with a comprehensive offering of digital payment products including credit cards, debit cards — which Visa invented — and transaction security services known as tokenization. Visa has one of the world’s most recognized brands, which took decades and significant investment to build. Through its open loop, multi-party system, Visa has built a massive global network, orchestrating transaction settlements between merchants and cardholders in more than 200 countries. A growing global network with over 3.3 billion Visa-branded cards outstanding that are accepted by 54 million merchants worldwide creates a powerful virtuous cycle, reinforcing Visa’s difficult-to-replicate competitive advantages. During the year, Visa reported healthy revenue and earnings growth that was above market expectations. Payment volume growth of almost 10% in constant currency was well above the rate of growth in the approximately $47 trillion of global personal consumer expenditures, reflecting the ongoing, long-term secular shift from cash to electronic payments. Other areas of growth for Visa include expansion of its network capabilities into new segments such as person-to-person payments, business-to-business payments, and government and corporate disbursements to consumers. In aggregate, these new segments represent an estimated $30 trillion of addressable spending. We estimate Visa can generate double-digit revenue growth over our forecast period. As the company continues to scale its businesses in regions around the world, we expect it will be able to expand operating margins, improve its return on invested capital, and grow free cash flow faster than revenues. We believe the assumptions embedded in Visa’s share price underestimate the company’s significant long-term growth opportunities and the sustainability of its business model. We believe the shares of Alibaba, Facebook and Visa are selling at significant discounts to our estimates of their intrinsic values and offer compelling reward-to-risk opportunities.
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NATIXIS U.S. EQUITY OPPORTUNITIES FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 31, 2009 through December 31, 2019
Top Ten Holdings as of December 31, 2019
| Security Name | % of net assets |
|||||
| 1 | Facebook, Inc., Class A | 4.59 | % | |||
| 2 | Alphabet, Inc., Class A | 3.76 | ||||
| 3 | Regeneron Pharmaceuticals, Inc. | 3.58 | ||||
| 4 | Visa, Inc., Class A | 3.55 | ||||
| 5 | Amazon.com, Inc. | 3.43 | ||||
| 6 | Alibaba Group Holding Ltd., Sponsored ADR | 3.34 | ||||
| 7 | Monster Beverage Corp. | 2.54 | ||||
| 8 | Autodesk, Inc. | 2.52 | ||||
| 9 | Oracle Corp. | 2.44 | ||||
| 10 | Citigroup, Inc. | 2.33 | ||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
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Average Annual Total Returns — December 31, 20194
| Life of Class N |
Expense Ratios5 | |||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Gross | Net | ||||||||||||||||||||
| Class Y (Inception 11/15/94) | ||||||||||||||||||||||||
| NAV | 31.36 | % | 13.16 | % | 14.93 | % | — | % | 0.91 | % | 0.91 | % | ||||||||||||
| Class A (Inception 7/7/94) | ||||||||||||||||||||||||
| NAV | 31.03 | 12.88 | 14.64 | — | 1.16 | 1.16 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 23.50 | 11.55 | 13.97 | — | ||||||||||||||||||||
| Class C (Inception 7/7/94) | ||||||||||||||||||||||||
| NAV | 30.06 | 12.03 | 13.79 | — | 1.91 | 1.91 | ||||||||||||||||||
| With CDSC1 | 29.06 | 12.03 | 13.79 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 31.44 | — | — | 14.68 | 13.35 | 0.76 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| S&P 500® Index2 | 31.49 | 11.70 | 13.56 | 14.20 | ||||||||||||||||||||
| Russell 1000® Index3 | 31.43 | 11.48 | 13.54 | 13.95 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. 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. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 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 | 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. It also measures the performance of the large cap segment of the US equities market. |
| 3 | Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
| 12
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ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
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 Investment Managers or any of its related or affiliated companies (collectively “Natixis affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis affiliates 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 Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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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’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2019 through December 31, 2019. 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 each 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.
| 14
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| LOOMIS SAYLES STRATEGIC ALPHA FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,005.20 | $5.00 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.22 | $5.04 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,001.20 | $8.78 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.43 | $8.84 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,005.90 | $3.44 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.78 | $3.47 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,006.60 | $3.74 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.48 | $3.77 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.99%, 1.74%, 0.68% and 0.74% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
| NATIXIS U.S. EQUITY OPPORTUNITIES FUND |
BEGINNING ACCOUNT VALUE 7/1/2019 |
ENDING ACCOUNT VALUE 12/31/2019 |
EXPENSES PAID DURING PERIOD* 7/1/2019 – 12/31/2019 |
|||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,089.00 | $6.11 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.36 | $5.90 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,085.10 | $10.04 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.58 | $9.70 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,090.50 | $4.37 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | $4.23 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,090.40 | $4.79 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.62 | $4.63 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.16%, 1.91%, 0.83% and 0.91% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
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Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Bonds and Notes — 83.9% of Net Assets | ||||||||
| Non-Convertible Bonds — 82.8% | ||||||||
| ABS Car Loan — 12.1% | ||||||||
| $ | 26,361 | ACC Trust, Series 2018-1, Class A, 3.700%, 12/21/2020, 144A | $ | 26,379 | ||||
| 7,250,000 | Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023(a) | 7,339,535 | ||||||
| 2,805,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024 | 2,921,121 | ||||||
| 1,623,015 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.250%, 1.995%, 1/18/2022(a)(b) | 1,622,808 | ||||||
| 3,845,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024 | 4,015,688 | ||||||
| 2,500,000 | AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024 | 2,501,701 | ||||||
| 1,210,000 | Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A | 1,205,710 | ||||||
| 1,035,000 | Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A | 1,031,363 | ||||||
| 1,785,000 | California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025 | 1,846,912 | ||||||
| 25,338 | CarMax Auto Owner Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.150%, 1.890%, 5/17/2021(a)(b) | 25,338 | ||||||
| 135,000 | CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024 | 137,178 | ||||||
| 1,435,000 | CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025 | 1,477,474 | ||||||
| 2,227,339 | CarMax Auto Owner Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.200%, 1.940%, 10/15/2021(a)(b) | 2,227,727 | ||||||
| 2,735,305 | CarMax Auto Owner Trust, Series 2018-4, Class A2B, 1-month LIBOR + 0.200%, 1.940%, 2/15/2022(a)(b) | 2,736,069 | ||||||
| 1,125,000 | CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025 | 1,166,362 | ||||||
| 7,285,000 | CarMax Auto Owner Trust, Series 2019-1, Class A3, 3.050%, 3/15/2024(a) | 7,405,651 | ||||||
| 2,350,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025 | 2,442,062 | ||||||
| 89,068 | CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A(a) | 89,166 | ||||||
| 760,000 | CPS Auto Receivables Trust , Series 2019-D, Class D, 2.720%, 9/15/2025, 144A | 756,870 | ||||||
| 815,000 | CPS Auto Receivables Trust, Series 2017-D, Class D, 3.730%, 9/15/2023, 144A(a) | 826,359 | ||||||
| 230,000 | CPS Auto Receivables Trust, Series 2018-A, Class C, 3.050%, 12/15/2023, 144A(a) | 230,993 | ||||||
| 1,795,000 | CPS Auto Receivables Trust, Series 2018-D, Class C, 3.830%, 9/15/2023, 144A | 1,827,784 | ||||||
| 830,000 | CPS Auto Receivables Trust, Series 2019-A, Class D, 4.350%, 12/16/2024, 144A | 857,330 | ||||||
| 525,000 | Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A | 532,491 | ||||||
| 1,205,000 | Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A(a) | 1,244,355 | ||||||
See accompanying notes to financial statements.
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Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Car Loan — continued | ||||||||
| $ | 4,745,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A | $ | 4,902,005 | ||||
| 2,955,000 | Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a) | 3,003,661 | ||||||
| 195,000 | Drive Auto Receivables Trust, Series 2018-3, Class D, 4.300%, 9/16/2024 | 199,827 | ||||||
| 2,395,000 | Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026 | 2,473,301 | ||||||
| 1,330,000 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026 | 1,369,400 | ||||||
| 2,365,000 | Drive Auto Receivables Trust, Series 2019-3, Class A3, 2.490%, 6/15/2023(a) | 2,375,972 | ||||||
| 2,155,000 | DT Auto Owner Trust, Series 2018-3A, Class C, 3.790%, 7/15/2024, 144A | 2,189,496 | ||||||
| 1,825,471 | DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(a) | 1,827,596 | ||||||
| 1,390,000 | DT Auto Owner Trust, Series 2018-2A, Class D, 4.150%, 3/15/2024, 144A | 1,425,123 | ||||||
| 1,655,000 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A | 1,678,178 | ||||||
| 635,000 | First Investors Auto Owner Trust , Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A | 634,114 | ||||||
| 1,475,000 | First Investors Auto Owner Trust , Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A | 1,469,413 | ||||||
| 220,000 | First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(a) | 221,836 | ||||||
| 650,000 | Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(a) | 661,671 | ||||||
| 3,305,000 | Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A | 3,366,716 | ||||||
| 1,632,335 | Ford Credit Auto Lease Trust, Series 2018-B, Class A2B, 1-month LIBOR + 0.160%, 1.900%, 4/15/2021(a)(b) | 1,632,206 | ||||||
| 1,260,000 | GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a) | 1,277,546 | ||||||
| 5,030,000 | GLS Auto Receivables Trust, Series 2019-A, Class C, 3.540%, 2/18/2025, 144A | 5,113,848 | ||||||
| 379,142 | GM Financial Automobile Leasing Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.170%, 1.935%, 9/21/2020(a)(b) | 379,156 | ||||||
| 1,288,847 | GM Financial Consumer Automobile Receivables Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.110%, 1.850%, 7/16/2021(a)(b) | 1,288,595 | ||||||
| 1,362,000 | Hertz Vehicle Financing II LP, Series 2017-2A, Class A, 3.290%, 10/25/2023, 144A(a) | 1,392,241 | ||||||
| 3,135,000 | Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023(a) | 3,183,069 | ||||||
| 3,045,000 | NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A1, 1-month LIBOR + 0.850%, 2.590%, 4/18/2022, 144A(a)(b) | 3,049,095 | ||||||
| 4,355,000 | NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 1-month LIBOR + 0.680%, 2.420%, 10/17/2022, 144A(a)(b) | 4,364,727 | ||||||
| 2,590,000 | NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 2.380%, 2/15/2023, 144A(a)(b) | 2,596,368 | ||||||
| 2,820,000 | NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A1, 1-month LIBOR + 0.600%, 2.340%, 10/15/2023, 144A(a)(b) | 2,827,000 | ||||||
See accompanying notes to financial statements.
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Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Car Loan — continued | ||||||||
| $ | 8,095,000 | Nissan Auto Receivables Owner Trust, Series 2019-A, Class A3, 2.900%, 10/16/2023(a) | $ | 8,221,376 | ||||
| 559,043 | Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021(a) | 558,685 | ||||||
| 3,162,965 | Nissan Auto Receivables Owner Trust, Series 2018-A, Class A3, 2.650%, 5/16/2022(a) | 3,176,539 | ||||||
| 1,195,465 | Nissan Auto Receivables Owner Trust, Series 2018-B, Class A2B, 1-month LIBOR + 0.100%, 1.840%, 7/15/2021(a)(b) | 1,195,367 | ||||||
| 3,045,000 | Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(a) | 3,091,842 | ||||||
| 910,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A | 916,479 | ||||||
| 3,585,000 | Santander Drive Auto Receivables Trust, Series 2018-2, Class D, 3.880%, 2/15/2024 | 3,671,286 | ||||||
| 2,720,000 | Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024 | 2,760,600 | ||||||
| 4,140,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 4,220,169 | ||||||
| 353,000 | Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.300%, 11/15/2024, 144A | 359,526 | ||||||
| 2,188,867 | Toyota Auto Receivables Owner Trust, Series 2018-C, Class A2B, 1-month LIBOR + 0.120%, 1.860%, 8/16/2021(a)(b) | 2,188,338 | ||||||
| 9,550,000 | Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3, 2.910%, 7/17/2023(a) | 9,691,425 | ||||||
| 3,025,000 | United Auto Credit Securitization Trust, Series 2019-1, Class C, 3.160%, 8/12/2024, 144A | 3,047,642 | ||||||
| 1,110,242 | Volkswagen Auto Loan Enhanced Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.180%, 1.945%, 7/20/2021(a)(b) | 1,110,268 | ||||||
| 4,605,000 | Volvo Financial Equipment Master Owner Trust, Series 2018-A, Class A, 1-month LIBOR + 0.520%, 2.260%, 7/17/2023, 144A(a)(b) | 4,621,123 | ||||||
| 740,000 | Westlake Automobile Receivables Trust, Series 2018-1A, Class D, 3.410%, 5/15/2023, 144A(a) | 748,421 | ||||||
| 2,167,748 | Westlake Automobile Receivables Trust, Series 2018-3A, Class A2B, 1-month LIBOR + 0.350%, 2.090%, 1/18/2022, 144A(a)(b) | 2,168,027 | ||||||
| 1,140,000 | Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.000%, 10/16/2023, 144A | 1,166,041 | ||||||
| 2,405,838 | World Omni Automobile Lease Securitization Trust, Series 18-B, Class A2B, 1-month LIBOR + 0.180%, 1.920%, 6/15/2021(a)(b) | 2,405,313 | ||||||
|
|
|
|||||||
| 156,715,053 | ||||||||
|
|
|
|||||||
| ABS Credit Card — 3.8% | ||||||||
| 3,790,000 | American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024(a) | 3,874,844 | ||||||
| 2,385,000 | American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024(a) | 2,436,808 | ||||||
| 4,385,000 | Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(a) | 4,385,438 | ||||||
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Credit Card — continued | ||||||||
| $ | 5,875,000 | Bank of America Credit Card Trust, Series 2018-A1, Class A1, 2.700%, 7/17/2023(a) | $ | 5,932,887 | ||||
| 2,585,000 | Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(a) | 2,585,312 | ||||||
| 3,440,000 | Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024(a) | 3,509,752 | ||||||
| 3,500,000 | Chase Issuance Trust, Series 2015-A4, Class A4, 1.840%, 4/15/2022(a) | 3,499,192 | ||||||
| 6,880,000 | Discover Card Execution Note Trust, Series 2018-A5, Class A5, 3.320%, 3/15/2024(a) | 7,049,015 | ||||||
| 5,425,000 | Discover Card Execution Note Trust, Series 2018-A3, Class A3, 1-month LIBOR + 0.230%, 1.970%, 12/15/2023(a)(b) | 5,429,814 | ||||||
| 3,190,000 | Discover Card Execution Note Trust, Series 2019-A1, Class A1, 3.040%, 7/15/2024(a) | 3,266,174 | ||||||
| 640,000 | Genesis Sales Finance Master Trust, Series 2019-AA, Class A, 4.680%, 8/20/2023, 144A | 651,479 | ||||||
| 6,995,000 | World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026 | 6,986,185 | ||||||
|
|
|
|||||||
| 49,606,900 | ||||||||
|
|
|
|||||||
| ABS Home Equity — 9.2% | ||||||||
| 1,179,740 | Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c) | 1,180,234 | ||||||
| 319,536 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a) | 327,396 | ||||||
| 355,344 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a) | 364,065 | ||||||
| 568,882 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025 | 582,106 | ||||||
| 300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a) | 324,098 | ||||||
| 2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a) | 2,413,057 | ||||||
| 1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a) | 1,347,975 | ||||||
| 3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 3,378,299 | ||||||
| 1,281,000 | AMSR Trust, Series 2019-SFR1, Class B, 3.023%, 1/19/2039, 144A | 1,280,388 | ||||||
| 514,571 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 539,757 | ||||||
| 580,493 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 | 626,620 | ||||||
| 409,906 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034 | 409,747 | ||||||
| 833,231 | Bayview Opportunity Master Fund Trust, Series 2019-RN1, Class A1, 4.090%, 2/28/2034, 144A(c) | 831,994 | ||||||
| 826,539 | Bayview Opportunity Master Fund Trust, Series 2019-RN2, Class A1, 3.967%, 3/28/2034, 144A(c) | 827,388 | ||||||
| 4,089,404 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(c) | 4,087,129 | ||||||
| 1,175,958 | Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(c) | 1,179,600 | ||||||
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 2,822,778 | Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, 4.125%, 3/25/2059, 144A(c) | $ | 2,851,290 | ||||
| 2,201,126 | Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(c) | 2,203,710 | ||||||
| 2,200,000 | Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A | 2,205,533 | ||||||
| 1,065,000 | Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c) | 1,075,318 | ||||||
| 1,830,000 | Colony American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A | 1,863,466 | ||||||
| 489,104 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a) | 502,577 | ||||||
| 918,792 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 | 946,243 | ||||||
| 63,774 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 4.223%, 9/20/2034(a)(c)(d)(e) | 62,483 | ||||||
| 2,555,286 | Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(c) | 2,554,734 | ||||||
| 1,109,718 | Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, 4.000%, 8/26/2058, 144A | 1,118,831 | ||||||
| 2,600,000 | Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.318%, 12/25/2059, 144A(c) | 2,600,582 | ||||||
| 186,349 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a) | 191,486 | ||||||
| 516,567 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 2.094%, 9/19/2045(b) | 421,965 | ||||||
| 1,395,691 | Dukinfield II PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 2.048%, 12/20/2052, (GBP)(a)(b) | 1,863,215 | ||||||
| 465,938 | Eurosail PLC, Series 2007-2X, Class A3C, GBP 3-month LIBOR + 0.150%, 0.950%, 3/13/2045, (GBP)(a)(b) | 603,784 | ||||||
| 1,505,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 3.992%, 1/25/2030(b) | 1,530,914 | ||||||
| 320,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C07, Class 1M2, 1-month LIBOR + 2.400%, 4.192%, 5/25/2030(b) | 325,915 | ||||||
| 812,001 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 1-month LIBOR + 2.200%, 3.992%, 2/25/2024(a)(b) | 820,753 | ||||||
| 282,980 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1-month LIBOR + 1.650%, 3.442%, 4/25/2024(a)(b) | 283,787 | ||||||
| 1,181,911 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 3.642%, 10/25/2027(a)(b) | 1,189,384 | ||||||
| 130,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 3.592%, 7/25/2030(b) | 130,257 | ||||||
| 3,084,862 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(c) | 3,081,125 | ||||||
| 1,325,610 | Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 2.360%, 8/25/2060, 144A(a)(b) | 1,323,453 | ||||||
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 720,976 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A | $ | 711,743 | ||||
| 611,877 | IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 3.012%, 9/25/2034(b) | 575,112 | ||||||
| 2,666,308 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 2.002%, 2/25/2046(b) | 2,258,956 | ||||||
| 2,614,643 | Invitation Homes Trust, Series 2018-SFR1, Class E, 1-month LIBOR + 2.000%, 3.737%, 3/17/2037, 144A(b) | 2,617,144 | ||||||
| 4,475,000 | Invitation Homes Trust, Series 2018-SFR2, Class E, 1-month LIBOR + 2.000%, 3.740%, 6/17/2037, 144A(b) | 4,486,131 | ||||||
| 1,246,881 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 | 1,284,142 | ||||||
| 1,499,333 | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 3-month LIBOR + 0.770%, 2.669%, 12/22/2069, 144A(a)(b) | 1,503,401 | ||||||
| 2,370,186 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(c) | 2,389,462 | ||||||
| 479,134 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 2.052%, 2/25/2046(b) | 442,464 | ||||||
| 439,359 | Ludgate Funding PLC, Series 2007-1, Class A2B, 3-month EURIBOR + 0.160%, Zero Coupon, 1/01/2061, (EUR)(a)(b) | 467,497 | ||||||
| 1,615,528 | Ludgate Funding PLC, Series 2008-W1X, Class A1, GBP 3-month LIBOR + 0.600%, 1.360%, 1/01/2061, (GBP)(a)(b) | 2,075,105 | ||||||
| 262,742 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 4.764%, 5/25/2034(a)(c)(d)(e) | 262,535 | ||||||
| 311,385 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a) | 317,942 | ||||||
| 302,992 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a) | 310,579 | ||||||
| 355,949 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a) | 366,799 | ||||||
| 1,066,942 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 | 1,115,215 | ||||||
| 77,649 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 3.925%, 5/25/2036(a)(c)(d)(e) | 78,446 | ||||||
| 439,751 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(d)(e) | 398,058 | ||||||
| 888,573 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 922,633 | ||||||
| 631,899 | Newgate Funding PLC, Series 2007-3X, Class A2B, 3-month EURIBOR + 0.600%, 0.204%, 12/15/2050, (EUR)(a)(b) | 687,848 | ||||||
| 2,315,876 | Onslow Bay Financial LLC , Series 2019-EXP3, Class 1A8, 3.500%, 10/25/2059, 144A(c) | 2,332,188 | ||||||
| 768,688 | Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(c) | 769,188 | ||||||
| 405,000 | Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A2, 5.000%, 11/25/2022, 144A(c) | 403,014 | ||||||
| 895,000 | Preston Ridge Partners Mortgage LLC, Series 2018-1A, Class A2, 5.000%, 4/25/2023, 144A(c) | 896,395 | ||||||
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 1,005,000 | Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A | $ | 991,319 | ||||
| 681,000 | Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A | 684,833 | ||||||
| 564,000 | Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A | 576,404 | ||||||
| 2,398,000 | Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A | 2,444,341 | ||||||
| 1,853,781 | PRPM LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(c) | 1,853,760 | ||||||
| 3,386,711 | RCO V Mortgage LLC, Series 2019-1, Class A1, 3.721%, 5/24/2024, 144A(c) | 3,390,302 | ||||||
| 1,213,784 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035 | 1,095,388 | ||||||
| 378 | Residential Funding Mortgage Securities, Series 2006-SA2, Class 3A1, 5.298%, 8/25/2036(c) | 364 | ||||||
| 357,962 | RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, 3-month EURIBOR + 0.150%, Zero Coupon, 6/12/2044, (EUR)(a)(b) | 385,505 | ||||||
| 271,825 | RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP 3-month LIBOR + 0.150%, 0.929%, 6/12/2044, (GBP)(a)(b) | 339,618 | ||||||
| 1,059,410 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 2/25/2048, 144A(c) | 1,075,822 | ||||||
| 4,103,402 | Sequoia Mortgage Trust, Series 2019-CH1, Class A1, 4.500%, 3/25/2049, 144A(c) | 4,175,664 | ||||||
| 2,984,474 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 2.102%, 7/25/2035(b) | 2,353,952 | ||||||
| 1,685,651 | Towd Point Mortgage Trust, Series 2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(a)(c) | 1,681,277 | ||||||
| 1,083,202 | Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.750%, 10/25/2057, 144A(c) | 1,089,750 | ||||||
| 1,660,000 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.750%, 3/17/2038, 144A | 1,663,142 | ||||||
| 2,189,582 | Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, 3.967%, 3/25/2049, 144A(c) | 2,200,819 | ||||||
| 4,941,119 | Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(c) | 4,938,927 | ||||||
| 7,056,761 | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, 4.213%, 10/26/2048, 144A(c) | 7,049,650 | ||||||
| 3,039,576 | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, 4.336%, 1/25/2049, 144A(c) | 3,057,694 | ||||||
| 1,679,689 | VOLT LXXXIII LLC, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(c) | 1,678,861 | ||||||
|
|
|
|||||||
| 119,850,047 | ||||||||
|
|
|
|||||||
| ABS Other — 5.6% | ||||||||
| 799,792 | Accelerated Assets LLC, Series 18-1, Class B, 4.510%, 12/02/2033, 144A | 818,935 | ||||||
| 2,399,698 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(c) | 2,396,183 | ||||||
| 350,000 | Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a) | 353,109 | ||||||
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Other — continued | ||||||||
| $ | 1,013,958 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c) | $ | 1,034,910 | ||||
| 1,361,484 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c) | 1,413,185 | ||||||
| 1,204,598 | Castlelake Aircraft Securitization Trust, Series 18-1, Class B, 5.300%, 6/15/2043, 144A | 1,225,725 | ||||||
| 250,000 | CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a) | 252,940 | ||||||
| 580,000 | Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A | 587,575 | ||||||
| 775,000 | Chesapeake Funding II LLC, Series 2017-4A, Class D, 3.260%, 11/15/2029, 144A | 779,213 | ||||||
| 790,000 | Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A | 805,056 | ||||||
| 2,125,000 | Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A | 2,158,020 | ||||||
| 384,385 | Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A | 393,658 | ||||||
| 1,549,541 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A | 1,584,266 | ||||||
| 2,201,141 | Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A | 2,199,586 | ||||||
| 3,100,000 | Fairstone Financial Issuance Trust I, Series 2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD)(a) | 2,398,331 | ||||||
| 2,136,024 | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g) | 1,779,094 | ||||||
| 942,002 | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g) | 558,136 | ||||||
| 3,410,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h) | — | ||||||
| 873,084 | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(g)(i) | 862,539 | ||||||
| 4,573,285 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A | 4,694,985 | ||||||
| 2,245,584 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A | 2,282,215 | ||||||
| 1,364,367 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A | 1,388,792 | ||||||
| 1,778,472 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A | 1,823,885 | ||||||
| 960,723 | Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A | 967,694 | ||||||
| 2,639,383 | Marlette Funding Trust, Series 2019-3A, Class A, 2.690%, 9/17/2029, 144A(a) | 2,646,419 | ||||||
| 681,923 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A | 689,274 | ||||||
| 1,100,000 | Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 1-month LIBOR + 0.630%, 2.422%, 9/25/2023, 144A(a)(b) | 1,101,817 | ||||||
| 3,120,000 | OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a) | 3,134,198 | ||||||
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Other — continued | ||||||||
| $ | 3,100,000 | OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A(a) | $ | 3,153,792 | ||||
| 3,230,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A | 3,343,629 | ||||||
| 810,000 | Oxford Finance Funding Trust, Series 2019-1A, Class A2, 4.459%, 2/15/2027, 144A | 821,985 | ||||||
| 3,980,000 | Republic Finance Issuance Trust, Series 2019-A, Class A, 3.430%, 11/22/2027, 144A | 3,973,154 | ||||||
| 4,245,947 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a) | 4,249,245 | ||||||
| 3,718,000 | SCF Equipment Trust LLC, Series 2018-1A, Class C, 4.210%, 4/20/2027, 144A(a) | 3,732,703 | ||||||
| 580,000 | SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A | 591,116 | ||||||
| 1,410,000 | SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A | 1,418,502 | ||||||
| 1,690,000 | SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A | 1,721,468 | ||||||
| 1,010,000 | SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A | 1,043,607 | ||||||
| 1,072,419 | Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A(a) | 1,110,439 | ||||||
| 1,453,083 | TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(a) | 1,450,846 | ||||||
| 4,531,459 | Verizon Owner Trust, Series 2017-3A, Class A1B, 1-month LIBOR + 0.270%, 2.035%, 4/20/2022, 144A(a)(b) | 4,533,429 | ||||||
| 1,061,934 | Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A(a) | 1,093,602 | ||||||
|
|
|
|||||||
| 72,567,257 | ||||||||
|
|
|
|||||||
| ABS Student Loan — 1.3% | ||||||||
| 2,932,307 | Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033(a) | 2,963,184 | ||||||
| 3,410,000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A | 3,316,438 | ||||||
| 1,035,000 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A | 1,053,458 | ||||||
| 590,990 | Navient Student Loan Trust, Series 18-4A, Class A1, 1-month LIBOR + 0.250%, 2.042%, 6/27/2067, 144A(a)(b) | 589,677 | ||||||
| 695,000 | Navient Student Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A | 680,281 | ||||||
| 828,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 5.040%, 6/15/2032(a)(b) | 826,874 | ||||||
| 2,307,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 5.040%, 3/15/2033(a)(b) | 2,302,711 | ||||||
| 250,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 4.590%, 3/15/2033(b) | 249,856 | ||||||
| 800,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A | 812,288 | ||||||
| 1,198,190 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 2.490%, 10/15/2035, 144A(a)(b) | 1,193,685 | ||||||
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| ABS Student Loan — continued | ||||||||
| $ | 190,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A | $ | 196,687 | ||||
| 482,429 | SMB Private Education Loan Trust, Series 2018-C, Class A1, 1-month LIBOR + 0.300%, 2.040%, 9/15/2025, 144A(a)(b) | 482,203 | ||||||
| 510,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A | 524,606 | ||||||
| 278,580 | SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1-month LIBOR + 1.200%, 2.992%, 3/25/2033, 144A(a)(b) | 278,927 | ||||||
| 904,216 | SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a) | 916,908 | ||||||
|
|
|
|||||||
| 16,387,783 | ||||||||
|
|
|
|||||||
| ABS Whole Business — 2.6% | ||||||||
| 4,283,574 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A | 4,444,798 | ||||||
| 3,427,125 | Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a) | 3,516,037 | ||||||
| 497,500 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 515,425 | ||||||
| 2,850,820 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A | 2,952,993 | ||||||
| 212,313 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048, 144A | 218,346 | ||||||
| 1,487,350 | Driven Brands Funding LLC, Series 2018-1A, Class A2, 4.739%, 4/20/2048, 144A | 1,542,025 | ||||||
| 2,168,613 | Five Guys Funding LLC, Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A | 2,250,017 | ||||||
| 2,987,188 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | 3,036,835 | ||||||
| 2,430,000 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 2,422,494 | ||||||
| 2,588,250 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A | 2,709,934 | ||||||
| 5,544,000 | Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.318%, 11/25/2048, 144A | 5,672,510 | ||||||
| 3,376,100 | Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A | 3,433,089 | ||||||
| 731,325 | Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A | 752,160 | ||||||
| 893,250 | Wingstop Funding LLC, Series 2018-1, Class A2, 4.970%, 12/05/2048, 144A | 919,458 | ||||||
|
|
|
|||||||
| 34,386,121 | ||||||||
|
|
|
|||||||
| Aerospace & Defense — 1.7% | ||||||||
| 7,380,000 | Boeing Co.(The), 2.700%, 5/01/2022 | 7,495,777 | ||||||
| 3,425,000 | General Dynamics Corp., 3-month LIBOR + 0.380%, 2.281%, 5/11/2021(a)(b) | 3,435,093 | ||||||
| 2,550,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 2,798,676 | ||||||
| 8,700,000 | Rolls-Royce PLC, 2.375%, 10/14/2020, 144A | 8,695,998 | ||||||
|
|
|
|||||||
| 22,425,544 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Airlines — 0.8% | ||||||||
| $ | 3,726,196 | Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025 | $ | 3,730,819 | ||||
| 6,950,000 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029 | 6,983,847 | ||||||
|
|
|
|||||||
| 10,714,666 | ||||||||
|
|
|
|||||||
| Automotive — 4.3% | ||||||||
| 2,645,000 | American Honda Finance Corp., 1.950%, 5/20/2022 | 2,654,597 | ||||||
| 5,985,000 | BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 2.411%, 4/12/2021, 144A(a)(b) | 5,994,615 | ||||||
| 3,135,000 | Daimler Finance North America LLC, 3.100%, 5/04/2020, 144A | 3,145,323 | ||||||
| 4,780,000 | Daimler Finance North America LLC, 3.400%, 2/22/2022, 144A | 4,897,800 | ||||||
| 3,585,000 | General Motors Financial Co., Inc., 3-month LIBOR + 0.850%, 2.862%, 4/09/2021(b) | 3,592,048 | ||||||
| 7,750,000 | Hyundai Capital America, 3.950%, 2/01/2022, 144A | 7,969,537 | ||||||
| 6,865,000 | Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A | 7,008,095 | ||||||
| 7,925,000 | Toyota Industries Corp., 3.110%, 3/12/2022, 144A(a) | 8,070,544 | ||||||
| 12,395,000 | Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.280%, 2.281%, 4/13/2021(a)(b) | 12,415,253 | ||||||
|
|
|
|||||||
| 55,747,812 | ||||||||
|
|
|
|||||||
| Banking — 6.3% | ||||||||
| 4,910,000 | American Express Co., 3-month LIBOR + 0.600%, 2.491%, 11/05/2021(b) | 4,931,281 | ||||||
| 3,375,000 | American Express Co., 3.000%, 2/22/2021 | 3,415,413 | ||||||
| 44,570,000 | Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 41.563%, 11/07/2022, 144A, (ARS)(b) | 530,913 | ||||||
| 14,994,930 | Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 2.500%, 59.958%, 1/12/2020, 144A, (ARS)(b)(g)(i) | 178,366 | ||||||
| 21,970,000 | Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS) | 137,517 | ||||||
| 46,000,000 | Banco Supervielle S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.500%, 52.771%, 8/09/2020, 144A, (ARS)(b) | 588,321 | ||||||
| 5,245,000 | Citibank NA, (fixed rate to 2/19/2021, variable rate thereafter), 3.165%, 2/19/2022 | 5,311,447 | ||||||
| 4,885,000 | Citigroup, Inc., 2.350%, 8/02/2021 | 4,915,148 | ||||||
| 7,975,000 | Citizens Bank NA, 3.250%, 2/14/2022(a) | 8,172,822 | ||||||
| 1,430,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A | 1,447,299 | ||||||
| 6,860,000 | HSBC Holdings PLC, 3-month LIBOR + 0.650%, 2.537%, 9/11/2021(a)(b) | 6,875,021 | ||||||
| 2,550,000 | JPMorgan Chase & Co., 3-month LIBOR + 0.680%, 2.587%, 6/01/2021(a)(b) | 2,554,870 | ||||||
| 3,960,000 | JPMorgan Chase Bank NA, (fixed rate to 4/26/2020, variable rate thereafter), 3.086%, 4/26/2021(a) | 3,973,596 | ||||||
| 6,720,000 | Mitsubishi UFJ Financial Group, Inc., 3-month LIBOR + 0.650%, 2.586%, 7/26/2021(a)(b) | 6,749,448 | ||||||
| 8,035,000 | PNC Bank NA, 3-month LIBOR + 0.350%, 2.237%, 3/12/2021(b) | 8,038,375 | ||||||
| 5,370,000 | PNC Bank NA, 3-month LIBOR + 0.430%, 2.315%, 12/09/2022(b) | 5,375,612 | ||||||
| 3,460,000 | Standard Chartered PLC, 3-month LIBOR + 1.150%, 3.116%, 1/20/2023, 144A(b) | 3,482,455 | ||||||
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Banking — continued | ||||||||
| $ | 3,460,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A | $ | 3,583,730 | ||||
| 8,070,000 | Sumitomo Mitsui Financial Group, Inc., 2.846%, 1/11/2022(a) | 8,196,113 | ||||||
| 3,510,000 | Wells Fargo Bank NA, 3.625%, 10/22/2021(a) | 3,612,516 | ||||||
|
|
|
|||||||
| 82,070,263 | ||||||||
|
|
|
|||||||
| Brokerage — 0.2% | ||||||||
| 3,140,000 | Ameriprise Financial, Inc., 3.000%, 3/22/2022 | 3,211,977 | ||||||
|
|
|
|||||||
| Cable Satellite — 0.1% | ||||||||
| 1,725,000 | Ziggo BV, 4.875%, 1/15/2030, 144A | 1,781,390 | ||||||
|
|
|
|||||||
| Chemicals — 0.3% | ||||||||
| 3,770,000 | Methanex Corp., 5.250%, 12/15/2029 | 3,895,818 | ||||||
|
|
|
|||||||
| Construction Machinery — 1.5% | ||||||||
| 3,050,000 | Caterpillar Financial Services Corp., GMTN, 3-month LIBOR + 0.290%, 2.190%, 9/04/2020(a)(b) | 3,053,254 | ||||||
| 2,400,000 | Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021 | 2,453,248 | ||||||
| 6,350,000 | John Deere Capital Corp., MTN, 3-month LIBOR + 0.240%, 2.127%, 3/12/2021(a)(b) | 6,353,957 | ||||||
| 6,875,000 | John Deere Capital Corp., MTN, 3.125%, 9/10/2021(a) | 7,033,520 | ||||||
|
|
|
|||||||
| 18,893,979 | ||||||||
|
|
|
|||||||
| Consumer Cyclical Services — 0.5% | ||||||||
| 4,295,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 4,406,412 | ||||||
| 1,915,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 1,996,388 | ||||||
|
|
|
|||||||
| 6,402,800 | ||||||||
|
|
|
|||||||
| Consumer Products — 1.1% | ||||||||
| 6,740,000 | Hasbro, Inc., 3.900%, 11/19/2029 | 6,788,888 | ||||||
| 7,040,000 | Unilever Capital Corp., 3.000%, 3/07/2022(a) | 7,207,693 | ||||||
|
|
|
|||||||
| 13,996,581 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing — 0.6% | ||||||||
| 7,945,000 | 3M Co., MTN, 2.750%, 3/01/2022(a) | 8,089,089 | ||||||
|
|
|
|||||||
| Electric — 1.6% | ||||||||
| 2,855,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a) | 3,351,056 | ||||||
| 8,230,000 | Florida Power & Light Co., 3-month LIBOR + 0.400%, 2.308%, 5/06/2022(b) | 8,230,248 | ||||||
| 9,600,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | 9,539,207 | ||||||
|
|
|
|||||||
| 21,120,511 | ||||||||
|
|
|
|||||||
| Finance Companies — 0.8% | ||||||||
| 6,000,000 | Aircastle Ltd., 4.250%, 6/15/2026 | 6,349,745 | ||||||
| 3,535,000 | USSA Capital Corp., MTN, 2.625%, 6/01/2021, 144A(a) | 3,574,291 | ||||||
|
|
|
|||||||
| 9,924,036 | ||||||||
|
|
|
|||||||
| Financial Other — 0.5% | ||||||||
| 6,550,000 | Mitsubishi UFJ Lease & Finance Co. Ltd., 3.406%, 2/28/2022, 144A | 6,685,716 | ||||||
| 370,000 | Yanlord Land (HK) Co. Ltd., 5.875%, 1/23/2022 | 373,506 | ||||||
|
|
|
|||||||
| 7,059,222 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Food & Beverage — 1.7% | ||||||||
| $ | 4,415,000 | BRF S.A., 4.875%, 1/24/2030, 144A | $ | 4,553,013 | ||||
| 3,065,000 | Campbell Soup Co., 3-month LIBOR + 0.500%, 2.394%, 3/16/2020(a)(b) | 3,065,911 | ||||||
| 3,925,000 | General Mills, Inc., 3.200%, 4/16/2021 | 3,995,860 | ||||||
| 2,870,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A | 3,082,667 | ||||||
| 6,390,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 6,920,434 | ||||||
|
|
|
|||||||
| 21,617,885 | ||||||||
|
|
|
|||||||
| Gaming — 0.3% | ||||||||
| 3,825,000 | Boyd Gaming Corp., 4.750%, 12/01/2027, 144A | 3,973,219 | ||||||
|
|
|
|||||||
| Government Owned – No Guarantee — 2.0% | ||||||||
| 4,120,000 | Export-Import Bank of Korea, 3-month LIBOR + 0.525%, 2.472%, 6/25/2022(a)(b) | 4,130,774 | ||||||
| 18,670,000,000 | Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a) | 5,988,879 | ||||||
| 4,935,000 | Petrobras Global Finance BV, 5.750%, 2/01/2029 | 5,566,680 | ||||||
| 950,000 | Petrobras Global Finance BV, 7.250%, 3/17/2044 | 1,152,350 | ||||||
| 6,730,000 | Sinopec Group Overseas Development Ltd., 2.500%, 11/12/2024, 144A | 6,752,007 | ||||||
| 1,770,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 1,575,300 | ||||||
| 1,930,000 | YPF S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 63.354%, 7/07/2020, 144A(b) | 408,909 | ||||||
|
|
|
|||||||
| 25,574,899 | ||||||||
|
|
|
|||||||
| Health Insurance — 0.8% | ||||||||
| 6,900,000 | Cigna Corp., Series WI, 3-month LIBOR + 0.650%, 2.550%, 9/17/2021(a)(b) | 6,900,386 | ||||||
| 3,125,000 | Humana, Inc., 2.500%, 12/15/2020 | 3,138,218 | ||||||
|
|
|
|||||||
| 10,038,604 | ||||||||
|
|
|
|||||||
| Healthcare — 0.5% | ||||||||
| 6,065,000 | CVS Health Corp., 3-month LIBOR + 0.720%, 2.605%, 3/09/2021(a)(b) | 6,102,189 | ||||||
|
|
|
|||||||
| Home Construction — 0.4% | ||||||||
| 370,000 | CIFI Holdings Group Co. Ltd., 5.500%, 1/23/2022 | 372,407 | ||||||
| 1,565,000 | Greenland Global Investment Ltd., 5.875%, 7/03/2024 | 1,514,857 | ||||||
| 1,675,000 | Kaisa Group Holding Ltd., 11.950%, 10/22/2022, 144A | 1,746,355 | ||||||
| 740,000 | Shimao Property Holdings Ltd., 4.750%, 7/03/2022 | 754,764 | ||||||
| 1,330,000 | Sunac China Holdings Ltd., 7.250%, 6/14/2022 | 1,364,856 | ||||||
|
|
|
|||||||
| 5,753,239 | ||||||||
|
|
|
|||||||
| Independent Energy — 0.9% | ||||||||
| 872,000 | Bellatrix Exploration Ltd., 8.500%, 9/11/2023(d)(e)(f)(g)(j) | 523,200 | ||||||
| 864,577 | Bellatrix Exploration Ltd., 12.500%, (9.500% PIK, 3.000% Cash), 12/15/2023(d)(e)(f)(g)(j)(k) | — | ||||||
| 4,155,000 | Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A | 2,705,154 | ||||||
| 5,895,000 | California Resources Corp., 8.000%, 12/15/2022, 144A(g)(i) | 2,635,478 | ||||||
| 2,075,000 | Gulfport Energy Corp., 6.000%, 10/15/2024 | 1,473,250 | ||||||
| 3,080,000 | Gulfport Energy Corp., 6.375%, 5/15/2025 | 1,955,800 | ||||||
| 3,465,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A | 1,732,500 | ||||||
|
|
|
|||||||
| 11,025,382 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Industrial Other — 0.1% | ||||||||
| $ | 740,000 | CFLD Cayman Investment Ltd., 6.500%, 12/21/2020 | $ | 739,075 | ||||
|
|
|
|||||||
| Life Insurance — 2.2% | ||||||||
| 4,545,000 | AEGON Funding Co. LLC, 5.750%, 12/15/2020 | 4,705,710 | ||||||
| 2,770,000 | AIA Group Ltd., 3-month LIBOR + 0.520%, 2.428%, 9/20/2021, 144A(b) | 2,770,055 | ||||||
| 7,735,000 | Jackson National Life Global Funding, 3.300%, 2/01/2022, 144A(a) | 7,954,076 | ||||||
| 2,420,000 | MassMutual Global Funding II, 2.500%, 4/13/2022, 144A(a) | 2,454,101 | ||||||
| 4,270,000 | Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A | 4,390,147 | ||||||
| 6,780,000 | New York Life Global Funding, 3-month LIBOR + 0.320%, 2.228%, 8/06/2021, 144A(a)(b) | 6,798,009 | ||||||
|
|
|
|||||||
| 29,072,098 | ||||||||
|
|
|
|||||||
| Local Authorities — 0.2% | ||||||||
| 2,280,000 | Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A | 946,200 | ||||||
| 216,360,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 44.548%, 5/31/2022, (ARS)(b) | 1,649,844 | ||||||
| 67,000,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 53.110%, 4/12/2025, 144A, (ARS)(b) | 490,248 | ||||||
|
|
|
|||||||
| 3,086,292 | ||||||||
|
|
|
|||||||
| Lodging — 0.4% | ||||||||
| 5,145,000 | Marriott International, Inc., 3-month LIBOR + 0.650%, 2.535%, 3/08/2021(b) | 5,163,960 | ||||||
|
|
|
|||||||
| Media Entertainment — 0.8% | ||||||||
| 1,405,000 | Cable Onda S.A., 4.500%, 1/30/2030, 144A | 1,479,465 | ||||||
| 4,710,000 | Fox Corp., 3.666%, 1/25/2022, 144A | 4,864,135 | ||||||
| 2,830,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 2,900,750 | ||||||
| 1,075,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 1,093,812 | ||||||
|
|
|
|||||||
| 10,338,162 | ||||||||
|
|
|
|||||||
| Metals & Mining — 1.0% | ||||||||
| 1,215,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 1,230,188 | ||||||
| 1,460,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,492,850 | ||||||
| 3,665,000 | Minera Mexico S.A. de CV, 4.500%, 1/26/2050, 144A | 3,724,006 | ||||||
| 6,730,000 | POSCO, 2.375%, 11/12/2022, 144A | 6,724,549 | ||||||
|
|
|
|||||||
| 13,171,593 | ||||||||
|
|
|
|||||||
| Midstream — 0.9% | ||||||||
| 5,460,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029, 144A | 5,575,844 | ||||||
| 4,960,000 | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A | 5,078,561 | ||||||
| 800,000 | Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027 | 996,516 | ||||||
|
|
|
|||||||
| 11,650,921 | ||||||||
|
|
|
|||||||
| Non-Agency Commercial Mortgage-Backed Securities — 3.8% | ||||||||
| 4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.089%, 4/15/2044, 144A(a)(c) | 4,719,085 | ||||||
| 140,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.537%, 12/10/2044(c) | 145,372 | ||||||
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Non-Agency Commercial Mortgage-Backed Securities — continued | ||||||||
| $ | 790,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 5.340%, 1/15/2034, 144A(b) | $ | 793,944 | ||||
| 5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 5,340,948 | ||||||
| 750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(c) | 760,837 | ||||||
| 2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.702%, 11/10/2046, 144A(a)(c) | 2,605,860 | ||||||
| 3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(c) | 2,774,570 | ||||||
| 2,170,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.390%, 8/10/2044, 144A(c) | 2,159,262 | ||||||
| 1,825,662 | Hospitality Mortagage Trust, Series 2019-HIT, Class C, 1-month LIBOR + 1.600%, 3.340%, 11/15/2036, 144A(b) | 1,822,208 | ||||||
| 1,570,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.488%, 6/15/2044, 144A(a)(c) | 1,582,084 | ||||||
| 2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.488%, 6/15/2044, 144A(c) | 2,444,992 | ||||||
| 4,628,092 | Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 8.666%, 8/15/2024, 144A(b) | 4,674,699 | ||||||
| 1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 4.490%, 11/15/2027, 144A(b) | 1,049,153 | ||||||
| 4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 5.240%, 11/15/2027, 144A(b)(g)(i) | 3,606,116 | ||||||
| 3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 6.140%, 11/15/2027, 144A(b)(d)(e)(g) | 2,770,066 | ||||||
| 1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.890%, 5/10/2063, 144A(c)(g)(i) | 1,144,131 | ||||||
| 4,885,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(c) | 4,788,255 | ||||||
| 2,987,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.652%, 2/15/2044, 144A(a)(c) | 3,041,364 | ||||||
| 1,809,189 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.683%, 3/15/2044, 144A(c) | 1,382,718 | ||||||
| 605,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.813%, 6/15/2045(c) | 617,669 | ||||||
| 950,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.813%, 6/15/2045, 144A(c) | 814,773 | ||||||
|
|
|
|||||||
| 49,038,106 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 2.6% | ||||||||
| 4,020,000 | Bristol-Myers Squibb Co., 2.250%, 8/15/2021, 144A | 4,045,366 | ||||||
| 8,040,000 | Bristol-Myers Squibb Co., 2.600%, 5/16/2022, 144A | 8,173,941 | ||||||
| 4,010,000 | Bristol-Myers Squibb Co., 2.875%, 8/15/2020, 144A | 4,032,857 | ||||||
| 6,860,000 | Pfizer, Inc., 3.000%, 9/15/2021(a) | 7,005,385 | ||||||
| 1,665,000 | Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, 144A, (EUR) | 1,972,685 | ||||||
| 10,035,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 7,225,200 | ||||||
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Pharmaceuticals — continued | ||||||||
| $ | 1,860,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025, 144A | $ | 1,910,592 | ||||
|
|
|
|||||||
| 34,366,026 | ||||||||
|
|
|
|||||||
| Property & Casualty Insurance — 0.9% | ||||||||
| 6,000,000 | Berkshire Hathaway Finance Corp., 3-month LIBOR + 0.320%, 2.330%, 1/10/2020(a)(b) | 6,000,805 | ||||||
| 5,520,000 | Marsh & McLennan Cos., Inc., 3.500%, 12/29/2020 | 5,601,045 | ||||||
|
|
|
|||||||
| 11,601,850 | ||||||||
|
|
|
|||||||
| Railroads — 0.4% | ||||||||
| 4,675,000 | Union Pacific Corp., 2.950%, 3/01/2022 | 4,777,488 | ||||||
|
|
|
|||||||
| Real Estate Operations/Development — 0.1% | ||||||||
| 1,365,000 | Easy Tactic Ltd., 8.125%, 2/27/2023 | 1,398,956 | ||||||
| 370,000 | Logan Property Holdings Co. Ltd., 5.250%, 2/23/2023 | 369,523 | ||||||
|
|
|
|||||||
| 1,768,479 | ||||||||
|
|
|
|||||||
| Restaurants — 0.4% | ||||||||
| 5,000,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | 5,012,500 | ||||||
|
|
|
|||||||
| Retailers — 1.0% | ||||||||
| 5,955,000 | Home Depot, Inc. (The), 3-month LIBOR + 0.310%, 2.217%, 3/01/2022(b) | 5,968,323 | ||||||
| 6,635,000 | Walmart, Inc., 3-month LIBOR + 0.230%, 2.158%, 6/23/2021(a)(b) | 6,646,346 | ||||||
|
|
|
|||||||
| 12,614,669 | ||||||||
|
|
|
|||||||
| Sovereigns — 0.0% | ||||||||
| 29,460,000 | Argentina Politica Monetaria, Argentina Central Bank 7-day Repo Reference Rate, 54.606%, 6/21/2020, (ARS)(b) | 257,616 | ||||||
|
|
|
|||||||
| Technology — 2.4% | ||||||||
| 2,515,000 | Alliance Data Systems Corp., 4.750%, 12/15/2024, 144A | 2,508,712 | ||||||
| 6,045,000 | Apple, Inc., 3-month LIBOR + 0.070%, 1.971%, 5/11/2020(a)(b) | 6,047,502 | ||||||
| 12,555,000 | Broadcom, Inc., 4.750%, 4/15/2029, 144A(a) | 13,728,679 | ||||||
| 4,075,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 3,830,500 | ||||||
| 230,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 230,260 | ||||||
| 3,250,000 | Hewlett Packard Enterprise Co., 3.600%, 10/15/2020 | 3,286,917 | ||||||
| 1,325,000 | MSCI, Inc., 4.000%, 11/15/2029, 144A | 1,343,219 | ||||||
|
|
|
|||||||
| 30,975,789 | ||||||||
|
|
|
|||||||
| Transportation Services — 1.0% | ||||||||
| 5,050,000 | FedEx Corp., 3.400%, 1/14/2022 | 5,187,141 | ||||||
| 1,645,000 | GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024 | 1,703,298 | ||||||
| 5,805,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.650%, 7/29/2021, 144A | 5,939,025 | ||||||
|
|
|
|||||||
| 12,829,464 | ||||||||
|
|
|
|||||||
| Treasuries — 1.6% | ||||||||
| 338,660,000 | Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR)(a) | 21,409,864 | ||||||
|
|
|
|||||||
| Wireless — 0.6% | ||||||||
| 1,740,000 | Bharti Airtel Ltd., 4.375%, 6/10/2025 | 1,772,031 | ||||||
| 1,985,000 | IHS Netherlands Holdco BV, 7.125%, 3/18/2025, 144A | 2,072,499 | ||||||
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Wireless — continued | ||||||||
| $ | 3,170,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | $ | 3,297,371 | ||||
| 1,130,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 1,184,816 | ||||||
|
|
|
|||||||
| 8,326,717 | ||||||||
|
|
|
|||||||
| Wirelines — 0.9% | ||||||||
| 4,070,000 | AT&T, Inc., 3.000%, 2/15/2022 | 4,151,603 | ||||||
| 1,200,000 | AT&T, Inc., 3.000%, 6/30/2022 | 1,225,859 | ||||||
| 1,245,000 | AT&T, Inc., 3.200%, 3/01/2022 | 1,274,562 | ||||||
| 4,670,000 | AT&T, Inc., 3.800%, 3/15/2022 | 4,847,495 | ||||||
|
|
|
|||||||
| 11,499,519 | ||||||||
|
|
|
|||||||
| Total Non-Convertible Bonds (Identified Cost $1,105,026,213) |
1,076,632,454 | |||||||
|
|
|
|||||||
| Convertible Bonds — 1.1% | ||||||||
| Cable Satellite — 0.6% | ||||||||
| 4,280,000 | DISH Network Corp., 2.375%, 3/15/2024 | 3,908,068 | ||||||
| 3,625,000 | DISH Network Corp., 3.375%, 8/15/2026 | 3,486,887 | ||||||
|
|
|
|||||||
| 7,394,955 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing — 0.0% | ||||||||
| 600,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 | 579,193 | ||||||
|
|
|
|||||||
| Independent Energy — 0.0% | ||||||||
| 1,280,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026 | 609,772 | ||||||
|
|
|
|||||||
| Pharmaceuticals — 0.3% | ||||||||
| 3,460,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 3,655,486 | ||||||
|
|
|
|||||||
| Technology — 0.2% | ||||||||
| 2,590,000 | CalAmp Corp., 2.000%, 8/01/2025 | 2,152,678 | ||||||
|
|
|
|||||||
| Total Convertible Bonds (Identified Cost $15,479,315) |
14,392,084 | |||||||
|
|
|
|||||||
| Total Bonds and Notes (Identified Cost $1,120,505,528) |
1,091,024,538 | |||||||
|
|
|
|||||||
| Senior Loans — 2.4% | ||||||||
| Aerospace & Defense — 0.0% | ||||||||
| 367,609 | Science Applications International Corp., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.549%, 10/31/2025(b) | 368,469 | ||||||
|
|
|
|||||||
| Building Materials — 0.6% | ||||||||
| 2,214,450 | American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1-month LIBOR + 2.000%, 3.799%, 1/15/2027(b) | 2,224,149 | ||||||
| 5,114,692 | Jeld-Wen, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 2.000%, 3.945%, 12/14/2024(b) | 5,116,841 | ||||||
|
|
|
|||||||
| 7,340,990 | ||||||||
|
|
|
|||||||
| Cable Satellite — 0.2% | ||||||||
| 919,529 | CSC Holdings LLC, 2019 Term Loan B5, 1-month LIBOR + 2.500%, 4.240%, 4/15/2027(b) | 922,591 | ||||||
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Cable Satellite — continued | ||||||||
| 1,930,000 | Ziggo BV, 2019 EUR Term Loan H, 3-month EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(b) | $ | 2,163,430 | |||||
|
|
|
|||||||
| 3,086,021 | ||||||||
|
|
|
|||||||
| Chemicals — 0.2% | ||||||||
| 3,347,251 | Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, 3-month LIBOR + 1.750%, 3.695%, 6/01/2024(b) | 3,351,903 | ||||||
|
|
|
|||||||
| Electric — 0.1% | ||||||||
| 193,573 | AES Corp., 2018 Term Loan B, 3-month LIBOR + 1.750%, 3.659%, 5/31/2022(b) | 193,573 | ||||||
| 867,728 | Calpine Corp., Term Loan B5, 1/15/2024(l) | 871,659 | ||||||
|
|
|
|||||||
| 1,065,232 | ||||||||
|
|
|
|||||||
| Food & Beverage — 0.1% | ||||||||
| 650,000 | Aramark Services, Inc., 2019 Term Loan B4, 1/27/2027(l) | 653,048 | ||||||
|
|
|
|||||||
| Healthcare — 0.4% | ||||||||
| 4,672,603 | IQVIA, Inc., 2018 USD Term Loan B3, 3-month LIBOR + 1.750%, 3.695%, 6/11/2025(b) | 4,693,069 | ||||||
|
|
|
|||||||
| Independent Energy — 0.2% | ||||||||
| 811,000 | California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.555%, 12/31/2022(b) | 722,804 | ||||||
| 3,740,000 | Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.799%, 3/01/2024(b) | 1,421,200 | ||||||
|
|
|
|||||||
| 2,144,004 | ||||||||
|
|
|
|||||||
| Restaurants — 0.1% | ||||||||
| 2,050,782 | 1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 3.549%, 11/19/2026(b) | 2,052,813 | ||||||
|
|
|
|||||||
| Technology — 0.3% | ||||||||
| 4,580,943 | Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.549%, 1/02/2026(b) | 4,565,185 | ||||||
|
|
|
|||||||
| Transportation Services — 0.2% | ||||||||
| 2,435,873 | Uber Technologies, Inc., 2018 Incremental Term Loan, 1-month LIBOR + 3.500%, 5.299%, 7/13/2023(b) | 2,428,467 | ||||||
|
|
|
|||||||
| Total Senior Loans (Identified Cost $33,826,561) |
31,749,201 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations — 2.6% | ||||||||
| 480,000 | Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 3.951%, 7/16/2031, 144A(b) | 461,949 | ||||||
| 475,000 | Apidos CLO XXXII, Series 2019-32A, Class D, 3-month LIBOR + 3.500%, 2.946%, 1/20/2033, 144A(b)(e) | 475,000 | ||||||
| 3,275,188 | CVP Cascade CLO Ltd., Series 2014-2A, Class A1R, 3-month LIBOR + 1.200%, 3.203%, 7/18/2026, 144A(a)(b) | 3,275,028 | ||||||
| 875,000 | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 7.851%, 10/15/2030, 144A(b)(g)(i) | 825,942 | ||||||
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Collateralized Loan Obligations — (continued) | ||||||||
| $ | 5,046,148 | Elevation CLO Ltd., Series 2015-4A, Class AR, 3-month LIBOR + 0.990%, 2.993%, 4/18/2027, 144A(a)(b) | $ | 5,045,784 | ||||
| 1,405,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 7.749%, 11/22/2031, 144A(b)(g)(i) | 1,324,590 | ||||||
| 1,998,438 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A, Class A1BR, 3-month LIBOR + 1.180%, 3.116%, 4/28/2025, 144A(a)(b) | 1,998,398 | ||||||
| 3,447,834 | Jamestown CLO VII Ltd., Series 2015-7A, Class A1R, 3-month LIBOR + 0.830%, 2.770%, 7/25/2027, 144A(a)(b) | 3,446,890 | ||||||
| 350,168 | Limerock CLO III LLC, Series 2014-3A, Class A1R, 3-month LIBOR + 1.200%, 3.166%, 10/20/2026, 144A(b) | 349,904 | ||||||
| 1,175,000 | Madison Park Funding XII Ltd., Series 2014-12A, Class B1R, 3-month LIBOR + 1.650%, 3.616%, 7/20/2026, 144A(b) | 1,176,638 | ||||||
| 475,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 4.084%, 1/23/2031, 144A(b) | 459,495 | ||||||
| 300,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 4.934%, 1/23/2031, 144A(b) | 292,949 | ||||||
| 815,000 | Milos CLO Ltd., Series 2017-1A, Class E, 3-month LIBOR + 6.300%, 8.266%, 10/20/2030, 144A(b)(g)(i) | 800,830 | ||||||
| 4,085,000 | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3-month LIBOR + 0.820%, 2.821%, 10/13/2027, 144A(a)(b) | 4,070,477 | ||||||
| 495,000 | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 7.716%, 10/20/2030, 144A(b)(g)(i) | 472,409 | ||||||
| 600,000 | Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class A1R, 3-month LIBOR + 0.850%, 2.851%, 7/15/2027, 144A(b) | 598,672 | ||||||
| 250,000 | OZLM XIII Ltd., Series 2015-13A, Class A1R, 3-month LIBOR + 1.080%, 3.016%, 7/30/2027, 144A(b) | 249,477 | ||||||
| 3,965,000 | Parallel Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.850%, 2.816%, 7/20/2027, 144A(a)(b) | 3,957,825 | ||||||
| 250,000 | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR, 3-month LIBOR + 1.150%, 3.084%, 1/23/2029, 144A(b) | 249,922 | ||||||
| 169,322 | Staniford Street CLO Ltd., Series 2014-1A, Class AR, 3-month LIBOR + 1.180%, 3.074%, 6/15/2025, 144A(b) | 169,288 | ||||||
| 895,000 | TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 7.690%, 7/25/2031, 144A(b)(g)(i) | 858,574 | ||||||
| 194,276 | Venture XII CLO Ltd., Series 2012-12A, Class ARR, 3-month LIBOR + 0.800%, 2.714%, 2/28/2026, 144A(b) | 193,950 | ||||||
| 2,780,876 | West CLO Ltd., Series 2014-1A, Class A1R, 3-month LIBOR + 0.920%, 2.923%, 7/18/2026, 144A(b) | 2,778,278 | ||||||
|
|
|
|||||||
| Total Collateralized Loan Obligations (Identified Cost $33,614,330) |
33,532,269 | |||||||
|
|
|
|||||||
| Loan Participations — 0.4% | ||||||||
| ABS Other — 0.4% | ||||||||
| 4,995,282 | Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037 (Identified Cost $4,984,272) | 5,003,559 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Common Stocks — 1.4% | ||||||||
| Aerospace & Defense — 0.0% | ||||||||
| 518 | Lockheed Martin Corp. | $ | 201,699 | |||||
|
|
|
|||||||
| Airlines — 0.0% | ||||||||
| 927 | Delta Air Lines, Inc. | 54,211 | ||||||
|
|
|
|||||||
| Banks — 0.0% | ||||||||
| 2,534 | Citigroup, Inc. | 202,441 | ||||||
| 3,376 | Popular, Inc. | 198,340 | ||||||
|
|
|
|||||||
| 400,781 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.1% | ||||||||
| 2,228 | AbbVie, Inc. | 197,267 | ||||||
| 821 | Amgen, Inc. | 197,919 | ||||||
| 2,999 | Gilead Sciences, Inc. | 194,875 | ||||||
|
|
|
|||||||
| 590,061 | ||||||||
|
|
|
|||||||
| Capital Markets — 0.0% | ||||||||
| 562 | Apollo Global Management, Inc. | 26,813 | ||||||
| 2,133 | LPL Financial Holdings, Inc. | 196,769 | ||||||
|
|
|
|||||||
| 223,582 | ||||||||
|
|
|
|||||||
| Chemicals — 0.2% | ||||||||
| 4,054 | CF Industries Holdings, Inc. | 193,538 | ||||||
| 138,555 | Hexion Holdings Corp., Class B(h) | 1,766,576 | ||||||
| 331 | LyondellBasell Industries NV, Class A | 31,273 | ||||||
|
|
|
|||||||
| 1,991,387 | ||||||||
|
|
|
|||||||
| Communications Equipment — 0.0% | ||||||||
| 4,253 | Cisco Systems, Inc. | 203,974 | ||||||
|
|
|
|||||||
| Construction Materials — 0.2% | ||||||||
| 673,076 | Cemex SAB de CV, Sponsored ADR | 2,544,227 | ||||||
|
|
|
|||||||
| Diversified Telecommunication Services — 0.0% | ||||||||
| 5,221 | AT&T, Inc. | 204,037 | ||||||
| 3,300 | Verizon Communications, Inc. | 202,620 | ||||||
|
|
|
|||||||
| 406,657 | ||||||||
|
|
|
|||||||
| Electric Utilities — 0.1% | ||||||||
| 1,925 | Duke Energy Corp. | 175,579 | ||||||
| 2,150 | Evergy, Inc. | 139,944 | ||||||
| 4,385 | Exelon Corp. | 199,912 | ||||||
| 2,507 | FirstEnergy Corp. | 121,840 | ||||||
|
|
|
|||||||
| 637,275 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.0% | ||||||||
| 2,095 | Eaton Corp. PLC | 198,438 | ||||||
| 609 | Rockwell Automation, Inc. | 123,426 | ||||||
|
|
|
|||||||
| 321,864 | ||||||||
|
|
|
|||||||
| Food Products — 0.0% | ||||||||
| 2,179 | Tyson Foods, Inc., Class A | 198,376 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Health Care Providers & Services — 0.1% | ||||||||
| 2,235 | AmerisourceBergen Corp. | $ | 190,020 | |||||
| 541 | Humana, Inc. | 198,287 | ||||||
| 669 | UnitedHealth Group, Inc. | 196,673 | ||||||
|
|
|
|||||||
| 584,980 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 0.0% | ||||||||
| 875 | McDonald’s Corp. | 172,909 | ||||||
| 2,295 | Starbucks Corp. | 201,776 | ||||||
| 1,993 | Yum! Brands, Inc. | 200,755 | ||||||
|
|
|
|||||||
| 575,440 | ||||||||
|
|
|
|||||||
| Household Durables — 0.0% | ||||||||
| 2,033 | Garmin Ltd. | 198,340 | ||||||
|
|
|
|||||||
| Household Products — 0.0% | ||||||||
| 1,592 | Procter & Gamble Co. (The) | 198,841 | ||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.0% | ||||||||
| 1,167 | Honeywell International, Inc. | 206,559 | ||||||
|
|
|
|||||||
| Insurance — 0.1% | ||||||||
| 3,903 | MetLife, Inc. | 198,936 | ||||||
| 2,800 | Progressive Corp. (The) | 202,692 | ||||||
| 1,682 | Prudential Financial, Inc. | 157,671 | ||||||
| 6,743 | Unum Group | 196,626 | ||||||
|
|
|
|||||||
| 755,925 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 0.0% | ||||||||
| 1,434 | Expedia Group, Inc. | 155,073 | ||||||
|
|
|
|||||||
| IT Services — 0.1% | ||||||||
| 1,215 | Automatic Data Processing, Inc. | 207,158 | ||||||
| 1,516 | Fidelity National Information Services, Inc. | 210,860 | ||||||
| 2,087 | Leidos Holdings, Inc. | 204,296 | ||||||
| 673 | MasterCard, Inc., Class A | 200,951 | ||||||
| 2,351 | Paychex, Inc. | 199,976 | ||||||
| 345 | Visa, Inc., Class A | 64,826 | ||||||
|
|
|
|||||||
| 1,088,067 | ||||||||
|
|
|
|||||||
| Machinery — 0.1% | ||||||||
| 1,354 | Caterpillar, Inc. | 199,959 | ||||||
| 1,100 | Cummins, Inc. | 196,856 | ||||||
| 1,109 | Illinois Tool Works, Inc. | 199,209 | ||||||
|
|
|
|||||||
| 596,024 | ||||||||
|
|
|
|||||||
| Media — 0.1% | ||||||||
| 4,589 | Comcast Corp., Class A | 206,367 | ||||||
| 2,544 | Omnicom Group, Inc. | 206,115 | ||||||
| 4,429 | ViacomCBS, Inc., Class B | 185,885 | ||||||
|
|
|
|||||||
| 598,367 | ||||||||
|
|
|
|||||||
| Multiline Retail — 0.0% | ||||||||
| 1,548 | Target Corp. | 198,469 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Oil, Gas & Consumable Fuels — 0.1% | ||||||||
| 349,549 | Bellatrix Exploration Ltd.(d)(e)(f)(g)(h) | $ | — | |||||
| 1,884 | Dommo Energia S.A., Sponsored ADR(h) | 8,384 | ||||||
| 7,100 | Enterprise Products Partners LP | 199,936 | ||||||
| 3,171 | Magellan Midstream Partners LP | 199,361 | ||||||
| 1,846 | Phillips 66 | 205,663 | ||||||
| 10,149 | Plains GP Holdings LP, Class A(h) | 192,323 | ||||||
| 73,856 | Whiting Petroleum Corp.(h) | 542,103 | ||||||
|
|
|
|||||||
| 1,347,770 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 0.1% | ||||||||
| 3,152 | Bristol-Myers Squibb Co. | 202,327 | ||||||
| 1,414 | Johnson & Johnson | 206,260 | ||||||
| 2,336 | Merck & Co., Inc. | 212,459 | ||||||
| 5,100 | Pfizer, Inc. | 199,818 | ||||||
|
|
|
|||||||
| 820,864 | ||||||||
|
|
|
|||||||
| REITs – Storage — 0.0% | ||||||||
| 6,125 | Iron Mountain, Inc. | 195,204 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 0.1% | ||||||||
| 3,305 | Applied Materials, Inc. | 201,737 | ||||||
| 608 | Broadcom, Inc. | 192,140 | ||||||
| 3,445 | Intel Corp. | 206,183 | ||||||
| 1,143 | KLA Corp. | 203,648 | ||||||
| 247 | Lam Research Corp. | 72,223 | ||||||
| 2,257 | QUALCOMM, Inc. | 199,135 | ||||||
| 1,512 | Texas Instruments, Inc. | 193,975 | ||||||
| 1,002 | Universal Display Corp. | 206,482 | ||||||
|
|
|
|||||||
| 1,475,523 | ||||||||
|
|
|
|||||||
| Software — 0.0% | ||||||||
| 100 | Intuit, Inc. | 26,193 | ||||||
| 1,282 | Microsoft Corp. | 202,171 | ||||||
| 3,552 | Oracle Corp. | 188,185 | ||||||
|
|
|
|||||||
| 416,549 | ||||||||
|
|
|
|||||||
| Specialty Retail — 0.0% | ||||||||
| 2,264 | Best Buy Co., Inc. | 198,779 | ||||||
| 844 | Home Depot, Inc. (The) | 184,313 | ||||||
|
|
|
|||||||
| 383,092 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 0.0% | ||||||||
| 232 | Apple, Inc. | 68,127 | ||||||
| 5,503 | Hewlett Packard Enterprise Co. | 87,278 | ||||||
| 9,759 | HP, Inc. | 200,547 | ||||||
|
|
|
|||||||
| 355,952 | ||||||||
|
|
|
|||||||
| Tobacco — 0.0% | ||||||||
| 3,848 | Altria Group, Inc. | 192,053 | ||||||
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Shares |
Description | Value (†) | ||||||
| Tobacco — continued | ||||||||
| 2,297 | Philip Morris International, Inc. | $ | 195,452 | |||||
|
|
|
|||||||
| 387,505 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $33,985,382) |
18,312,638 | |||||||
|
|
|
|||||||
| Preferred Stocks — 0.7% | ||||||||
| Convertible Preferred Stocks — 0.4% | ||||||||
| Food & Beverage — 0.4% | ||||||||
| 42,272 | Bunge Ltd., 4.875% | 4,352,925 | ||||||
|
|
|
|||||||
| Midstream — 0.0% | ||||||||
| 1,714 | Chesapeake Energy Corp., 5.750%(e)(g)(i) | 293,900 | ||||||
| 2,329 | El Paso Energy Capital Trust I, 4.750% | 119,850 | ||||||
|
|
|
|||||||
| 413,750 | ||||||||
|
|
|
|||||||
| Total Convertible Preferred Stocks (Identified Cost $5,225,333) |
4,766,675 | |||||||
|
|
|
|||||||
| Non-Convertible Preferred Stocks — 0.3% | ||||||||
| Cable Satellite — 0.3% | ||||||||
| 4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000) |
4,171,300 | ||||||
|
|
|
|||||||
| Total Preferred Stocks (Identified Cost $9,265,333) |
8,937,975 | |||||||
|
|
|
|||||||
| Principal Amount (‡) |
||||||||
| Other Investments — 0.6% | ||||||||
| Aircraft ABS — 0.6% | ||||||||
| 900 | ECAF I Blocker Ltd.(d)(e)(f)(g) (Identified Cost $9,000,000) |
7,776,000 | ||||||
|
|
|
|||||||
| Equity Linked Notes — 0.1% | ||||||||
| 38,287 | Citigroup Global Markets Inc. (HP Inc.), 19.680%, 1/10/2020, 144A(e)(g)(i) (Identified Cost $666,730) |
688,113 | ||||||
|
|
|
|||||||
| Total Purchased Options — 0.0% | ||||||||
| (Identified Cost $286,084) (see detail below) | 264,620 | |||||||
|
|
|
|||||||
| Short-Term Investments — 5.9% | ||||||||
| 44,862,197 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $44,864,440 on 1/02/2020 collateralized by $200,000 U.S. Treasury Bond, 2.875% due 8/15/2045 valued at $222,582; $32,125,000 U.S. Treasury Note, 1.750% due 7/15/2022 valued at $32,501,216; $11,605,000 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2022 valued at $13,040,643 including accrued interest (Note 2 of Notes to Financial Statements) | 44,862,197 | ||||||
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Short-Term Investments — (continued) | ||||||||
| 13,535,000 | U.S. Treasury Bills, 1.519%, 9/10/2020(m) | $ | 13,390,988 | |||||
| 13,550,000 | U.S. Treasury Bills, 1.526%, 10/08/2020(m) | 13,390,599 | ||||||
| 5,755,000 | U.S. Treasury Bills, 1.875%, 6/18/2020(m)(n) | 5,713,636 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $77,345,654) |
77,357,420 | |||||||
|
|
|
|||||||
| Total Investments — 98.0% (Identified Cost $1,323,479,874) |
1,274,646,333 | |||||||
| Other assets less liabilities — 2.0% | 26,076,422 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 1,300,722,755 | ||||||
|
|
|
|||||||
| Purchased Options — 0.0% |
|
|||||||||||||||||||||
| Description | Expiration Date |
Exercise Price |
Shares (††) | Notional Amount |
Cost | Value (†) | ||||||||||||||||
| Options on Securities — 0.0% |
| |||||||||||||||||||||
| iShares® iBoxx $ High Yield Corporate Bond ETF, Put(h) | 3/20/2020 | 86 | 524,000 | $ | 46,080,560 | $ | 286,084 | $ | 264,620 | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| Written Options — (0.0%) |
|
|||||||||||||||||||||
| Description | Expiration Date |
Exercise Price |
Shares (††) | Notional Amount |
Premiums (Received) |
Value (†) | ||||||||||||||||
| Options on Securities — (0.0%) |
| |||||||||||||||||||||
| AbbVie, Inc., Call | 2/21/2020 | 92.50 | (800 | ) | $ | (70,832 | ) | $ | (1,446 | ) | $ | (992 | ) | |||||||||
| AmerisourceBergen Corp., Call | 2/21/2020 | 87.50 | (800 | ) | (68,016 | ) | (2,239 | ) | (2,040 | ) | ||||||||||||
| Applied Materials, Inc., Call | 2/21/2020 | 62.50 | (2,300 | ) | (140,392 | ) | (5,444 | ) | (4,865 | ) | ||||||||||||
| AT&T, Inc., Call | 2/21/2020 | 40.00 | (5,200 | ) | (203,216 | ) | (3,365 | ) | (3,146 | ) | ||||||||||||
| Automatic Data Processing, Inc., Call | 2/21/2020 | 175.00 | (800 | ) | (136,400 | ) | (2,678 | ) | (2,320 | ) | ||||||||||||
| Best Buy Co., Inc., Call | 2/21/2020 | 92.50 | (1,500 | ) | (131,700 | ) | (2,606 | ) | (2,393 | ) | ||||||||||||
| Bristol-Myers Squibb Co., Call | 2/21/2020 | 65.00 | (2,200 | ) | (141,218 | ) | (3,184 | ) | (3,707 | ) | ||||||||||||
| Broadcom, Inc., Call | 2/21/2020 | 340.00 | (200 | ) | (63,204 | ) | (769 | ) | (550 | ) | ||||||||||||
| Caterpillar, Inc., Call | 2/21/2020 | 150.00 | (900 | ) | (132,912 | ) | (3,984 | ) | (3,713 | ) | ||||||||||||
| CF Industries Holdings, Inc., Call | 2/21/2020 | 50.00 | (1,600 | ) | (76,384 | ) | (2,059 | ) | (1,792 | ) | ||||||||||||
| Citigroup, Inc., Call | 2/21/2020 | 80.00 | (1,700 | ) | (135,813 | ) | (3,242 | ) | (4,055 | ) | ||||||||||||
| Comcast Corp., Call | 2/21/2020 | 45.00 | (1,800 | ) | (80,946 | ) | (1,759 | ) | (2,403 | ) | ||||||||||||
| Delta Air Lines, Inc., Call | 2/21/2020 | 62.50 | (700 | ) | (40,936 | ) | (705 | ) | (392 | ) | ||||||||||||
| Exelon Corp., Call | 2/21/2020 | 46.00 | (1,700 | ) | (77,503 | ) | (1,304 | ) | (1,530 | ) | ||||||||||||
| Gilead Sciences, Inc., Call | 2/21/2020 | 70.00 | (2,900 | ) | (188,442 | ) | (4,603 | ) | (2,842 | ) | ||||||||||||
| Hewlett Packard Enterprise Co., Call | 2/21/2020 | 17.00 | (3,800 | ) | (60,268 | ) | (1,053 | ) | (1,007 | ) | ||||||||||||
| HP, Inc., Call | 2/21/2020 | 21.00 | (6,800 | ) | (139,740 | ) | (3,790 | ) | (3,434 | ) | ||||||||||||
| Humana, Inc., Call | 2/21/2020 | 375.00 | (400 | ) | (146,608 | ) | (5,283 | ) | (4,500 | ) | ||||||||||||
| Intel Corp., Call | 2/21/2020 | 60.00 | (2,400 | ) | (143,640 | ) | (4,865 | ) | (5,112 | ) | ||||||||||||
| Johnson & Johnson, Call | 2/21/2020 | 150.00 | (900 | ) | (131,283 | ) | (1,761 | ) | (1,701 | ) | ||||||||||||
| Leidos Holdings, Inc., Call | 2/21/2020 | 100.00 | (2,000 | ) | (195,780 | ) | (5,179 | ) | (5,400 | ) | ||||||||||||
See accompanying notes to financial statements.
39 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| Description | Expiration Date |
Exercise Price |
Shares (††) | Notional Amount |
Premiums (Received) |
Value (†) | ||||||||||||||||||
| Options on Securities — (continued) |
||||||||||||||||||||||||
| Merck & Co., Inc., Call | 2/21/2020 | 92.50 | (900 | ) | $ | (81,855 | ) | $ | (1,896 | ) | $ | (1,552 | ) | |||||||||||
| MetLife, Inc., Call | 2/21/2020 | 52.50 | (2,700 | ) | (137,619 | ) | (2,017 | ) | (1,890 | ) | ||||||||||||||
| Microsoft Corp., Call | 2/21/2020 | 160.00 | (500 | ) | (78,850 | ) | (1,849 | ) | (1,837 | ) | ||||||||||||||
| Phillips 66, Call | 2/21/2020 | 115.00 | (1,400 | ) | (155,974 | ) | (3,370 | ) | (2,345 | ) | ||||||||||||||
| Plains GP Holdings LP, Call | 2/21/2020 | 20.00 | (7,100 | ) | (134,545 | ) | (2,536 | ) | (2,130 | ) | ||||||||||||||
| Procter & Gamble Co. (The), Call | 2/21/2020 | 130.00 | (1,100 | ) | (137,390 | ) | (1,570 | ) | (1,237 | ) | ||||||||||||||
| QUALCOMM, Inc., Call | 2/21/2020 | 95.00 | (1,800 | ) | (158,814 | ) | (3,091 | ) | (2,439 | ) | ||||||||||||||
| Starbucks Corp., Call | 2/21/2020 | 90.00 | (900 | ) | (79,128 | ) | (1,932 | ) | (1,620 | ) | ||||||||||||||
| Target Corp., Call | 2/21/2020 | 130.00 | (1,000 | ) | (128,210 | ) | (3,787 | ) | (3,550 | ) | ||||||||||||||
| Tyson Foods, Inc., Call | 2/21/2020 | 92.50 | (1,700 | ) | (154,768 | ) | (4,738 | ) | (4,888 | ) | ||||||||||||||
| Verizon Communications, Inc., Call | 2/21/2020 | 62.50 | (2,300 | ) | (141,220 | ) | (2,123 | ) | (1,529 | ) | ||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total | $ | (90,227 | ) | $ | (82,911 | ) | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (‡) | Principal Amount/Par Value stated in U.S. dollars unless otherwise noted. | |||
| (†) | See Note 2 of Notes to Financial Statements. | |||
| (††) | Options on securities are expressed as shares. | |||
| (a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |||
| (b) | Variable rate security. Rate as of December 31, 2019 is disclosed. | |||
| (c) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2019 is disclosed. | |||
| (d) | Fair valued by the Fund’s adviser. At December 31, 2019, the value of these securities amounted to $14,208,018 or 1.1% of net assets. See Note 2 of Notes to Financial Statements. | |||
| (e) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |||
| (f) | Securities subject to restriction on resale. At December 31, 2019, the restricted securities held by the Fund are as follows: |
| Acquisition Date |
Acquisition Cost |
Value | % of Net Assets |
|||||||||||||
| Bellatrix Exploration Ltd., 8.500% | 6/04/2019 | $ | 854,560 | $ | 523,200 | Less than 0.1% | ||||||||||
| Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) |
6/04/2019 | 570,621 | — | — | ||||||||||||
| Bellatrix Exploration Ltd. | 6/04/2019 | 439,289 | — | — | ||||||||||||
| ECAF I Blocker Ltd. | 6/18/2015 | 9,000,000 | 7,776,000 | 0.6% | ||||||||||||
| GCA2014 Holdings Ltd., Series 2014-1, Class C | 12/18/2014 | 2,136,024 | 1,779,094 | 0.1% | ||||||||||||
| GCA2014 Holdings Ltd., Series 2014-1, Class D | 12/18/2014 | 942,002 | 558,136 | Less than 0.1% | ||||||||||||
| GCA2014 Holdings Ltd., Series 2014-1, Class E | 12/18/2014 | 2,657,606 | — | — | ||||||||||||
| (g) | Illiquid security. (Unaudited) | |||
| (h) | Non-income producing security. | |||
| (i) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $13,690,988 or 1.1% of net assets. See Note 2 of Notes to Financial Statements. | |||
| (j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
See accompanying notes to financial statements.
| 40
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
| (k) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. | |||
| (l) | Position is unsettled. Contract rate was not determined at December 31, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |||
| (m) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||
| (n) | Security (or a portion thereof) has been pledged as collateral for open derivative 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 December 31, 2019, the value of Rule 144A holdings amounted to $611,638,653 or 47.0% of net assets. | |||
| ABS | Asset-Backed Securities | |||
| 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. | |||
| ARS | Auction Rate Security | |||
| ETF | Exchange-Traded Fund | |||
| EURIBOR | Euro Interbank Offered Rate | |||
| GMTN | Global Medium Term Note | |||
| LIBOR | London Interbank Offered Rate | |||
| MTN | Medium Term Note | |||
| PIK | Payment-in-Kind | |||
| REITs | Real Estate Investment Trusts | |||
| SLM | Sallie Mae | |||
| ARS | Argentine Peso | |||
| AUD | Australian Dollar | |||
| BRL | Brazilian Real | |||
| CAD | Canadian Dollar | |||
| COP | Colombian Peso | |||
| EUR | Euro | |||
| GBP | British Pound | |||
| HUF | Hungarian Forint | |||
| MYR | Malaysian Ringgit | |||
| NOK | Norwegian Krone | |||
| SGD | Singapore Dollar | |||
| THB | Thai Baht | |||
| USD | U.S. Dollar | |||
| ZAR | South African Rand |
See accompanying notes to financial statements.
41 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
At December 31, 2019, the Fund had the following open bilateral credit default swap agreements:
| Buy Protection |
| |||||||||||||||||||||||
| Counterparty | Reference Obligation |
(Pay)/ Receive Fixed Rate1 |
Expiration Date |
Notional Value |
Unamortized Up Front Premium Paid/ (Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| Bank of America, N.A. | Enel SpA | (1.00%) | 6/20/2023 | 550,000 EUR | $ | (221 | ) | $ | (13,563 | ) | $ | (13,342 | ) | |||||||||||
| Morgan Stanley Capital Services, Inc. | Enel SpA | (1.00%) | 12/20/2023 | 6,115,000 EUR | 32,446 | (155,604 | ) | (188,050 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total |
|
$ | (169,167 | ) | $ | (201,392 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 1 | Payments are made quarterly. |
At December 31, 2019, the Fund had the following open forward foreign currency contracts:
| Counterparty | Delivery Date |
Currency Bought/ Sold (B/S) |
Units of Currency |
In Exchange for | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| Bank of America, N.A. | 1/21/2020 | CAD | S | 3,020,000 | $ | 2,286,216 | $ | 2,325,917 | $ | (39,701 | ) | |||||||||||||||
| Bank of America, N.A. | 2/21/2020 | EUR | S | 1,665,000 | 1,855,997 | 1,873,333 | (17,336 | ) | ||||||||||||||||||
| Bank of America, N.A. | 1/15/2020 | NOK | B | 130,790,000 | 14,348,482 | 14,898,455 | 549,973 | |||||||||||||||||||
| Barclays Bank PLC | 1/21/2020 | EUR | S | 1,955,000 | 2,189,214 | 2,195,376 | (6,162 | ) | ||||||||||||||||||
| Barclays Bank PLC | 3/16/2020 | MYR | B | 62,755,000 | 15,077,363 | 15,316,733 | 239,370 | |||||||||||||||||||
| Citibank N.A. | 1/30/2020 | BRL | B | 27,615,000 | 6,897,715 | 6,859,479 | (38,236 | ) | ||||||||||||||||||
| Citibank N.A. | 2/18/2020 | SGD | S | 45,150,000 | 33,158,909 | 33,582,661 | (423,752 | ) | ||||||||||||||||||
| Credit Suisse International | 1/02/2020 | COP | S | 18,400,000,000 | 5,295,574 | 5,597,418 | (301,844 | ) | ||||||||||||||||||
| Deutsche Bank AG | 1/31/2020 | EUR | S | 2,000,000 | 2,233,298 | 2,247,302 | (14,004 | ) | ||||||||||||||||||
| Deutsche Bank AG | 1/31/2020 | GBP | B | 1,375,000 | 1,777,749 | 1,822,791 | 45,042 | |||||||||||||||||||
| Deutsche Bank AG | 1/31/2020 | GBP | S | 5,095,000 | 6,570,130 | 6,754,268 | (184,138 | ) | ||||||||||||||||||
| HSBC Bank USA | 1/22/2020 | AUD | B | 19,130,000 | 13,157,560 | 13,430,981 | 273,421 | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | 1/02/2020 | COP | B | 18,400,000,000 | 5,535,832 | 5,597,417 | 61,585 | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | 4/07/2020 | COP | S | 18,400,000,000 | 5,507,498 | 5,569,177 | (61,679 | ) | ||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | 1/31/2020 | ZAR | S | 315,790,000 | 21,345,094 | 22,463,234 | (1,118,140 | ) | ||||||||||||||||||
| UBS AG | 1/15/2020 | HUF | B | 2,031,865,000 | 6,770,777 | 6,890,346 | 119,569 | |||||||||||||||||||
| UBS AG | 1/22/2020 | THB | S | 471,555,000 | 15,561,074 | 15,750,132 | (189,058 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total |
|
$ | (1,105,090 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
At December 31, 2019, open short futures contracts were as follows:
| Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Ultra Long U.S. Treasury Bond |
3/20/2020 | 175 | $ | 31,786,632 | $ | 31,789,844 | $ | (3,212 | ) | |||||||||||
|
|
|
|||||||||||||||||||
See accompanying notes to financial statements.
| 42
Table of Contents
Portfolio of Investments – as of December 31, 2019
Loomis Sayles Strategic Alpha Fund – (continued)
Industry Summary at December 31, 2019
| ABS Car Loan |
12.1 | % | ||
| ABS Home Equity |
9.2 | |||
| Banking |
6.3 | |||
| ABS Other |
6.0 | |||
| Automotive |
4.3 | |||
| ABS Credit Card |
3.8 | |||
| Non-Agency Commercial Mortgage-Backed Securities |
3.8 | |||
| Pharmaceuticals |
3.0 | |||
| Technology |
2.9 | |||
| ABS Whole Business |
2.6 | |||
| Life Insurance |
2.2 | |||
| Food & Beverage |
2.2 | |||
| Government Owned-No Guarantee |
2.0 | |||
| Other Investments, less than 2% each |
29.0 | |||
| Short-Term Investments |
5.9 | |||
| Collateralized Loan Obligations |
2.6 | |||
| Equity Linked Notes |
0.1 | |||
|
|
|
|||
| Total Investments |
98.0 | |||
| Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) |
2.0 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
43 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis U.S. Equity Opportunities Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 98.3% of Net Assets | ||||||||
| Air Freight & Logistics — 1.9% | ||||||||
| 244,599 | Expeditors International of Washington, Inc. | $ | 19,083,614 | |||||
|
|
|
|||||||
| Airlines — 0.9% | ||||||||
| 298,100 | American Airlines Group, Inc. | 8,549,508 | ||||||
|
|
|
|||||||
| Automobiles — 2.7% | ||||||||
| 923,200 | Fiat Chrysler Automobiles NV | 13,561,808 | ||||||
| 348,600 | General Motors Co. | 12,758,760 | ||||||
|
|
|
|||||||
| 26,320,568 | ||||||||
|
|
|
|||||||
| Banks — 6.0% | ||||||||
| 634,470 | Bank of America Corp. | 22,346,033 | ||||||
| 285,300 | Citigroup, Inc. | 22,792,617 | ||||||
| 255,800 | Wells Fargo & Co. | 13,762,040 | ||||||
|
|
|
|||||||
| 58,900,690 | ||||||||
|
|
|
|||||||
| Beverages — 4.6% | ||||||||
| 153,316 | Coca-Cola Co. (The) | 8,486,041 | ||||||
| 59,400 | Constellation Brands, Inc., Class A | 11,271,150 | ||||||
| 391,977 | Monster Beverage Corp.(a) | 24,910,138 | ||||||
|
|
|
|||||||
| 44,667,329 | ||||||||
|
|
|
|||||||
| Biotechnology — 5.1% | ||||||||
| 26,851 | Amgen, Inc. | 6,472,970 | ||||||
| 97,669 | BioMarin Pharmaceutical, Inc.(a) | 8,257,914 | ||||||
| 93,264 | Regeneron Pharmaceuticals, Inc.(a) | 35,018,767 | ||||||
|
|
|
|||||||
| 49,749,651 | ||||||||
|
|
|
|||||||
| Capital Markets — 8.1% | ||||||||
| 229,700 | Bank of New York Mellon Corp. (The) | 11,560,801 | ||||||
| 345,000 | Charles Schwab Corp. (The) | 16,408,200 | ||||||
| 34,125 | FactSet Research Systems, Inc. | 9,155,738 | ||||||
| 46,044 | MSCI, Inc. | 11,887,640 | ||||||
| 209,930 | SEI Investments Co. | 13,746,216 | ||||||
| 214,600 | State Street Corp. | 16,974,860 | ||||||
|
|
|
|||||||
| 79,733,455 | ||||||||
|
|
|
|||||||
| Communications Equipment — 1.2% | ||||||||
| 244,734 | Cisco Systems, Inc. | 11,737,443 | ||||||
|
|
|
|||||||
| Consumer Finance — 2.0% | ||||||||
| 2,142 | American Express Co. | 266,657 | ||||||
| 186,200 | Capital One Financial Corp. | 19,161,842 | ||||||
|
|
|
|||||||
| 19,428,499 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 1.6% | ||||||||
| 159,100 | TE Connectivity Ltd. | 15,248,144 | ||||||
|
|
|
|||||||
| Energy Equipment & Services — 0.9% | ||||||||
| 229,212 | Schlumberger Ltd. | 9,214,322 | ||||||
|
|
|
|||||||
| Entertainment — 2.0% | ||||||||
| 59,490 | Netflix, Inc.(a) | 19,249,179 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 44
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis U.S. Equity Opportunities Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Food Products — 0.9% | ||||||||
| 541,791 | Danone S.A., Sponsored ADR | $ | 8,934,134 | |||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 0.6% | ||||||||
| 1,016 | Alcon, Inc.(a) | 57,475 | ||||||
| 37,918 | Varian Medical Systems, Inc.(a) | 5,384,735 | ||||||
|
|
|
|||||||
| 5,442,210 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 1.2% | ||||||||
| 158,700 | CVS Health Corp. | 11,789,823 | ||||||
|
|
|
|||||||
| Health Care Technology — 1.3% | ||||||||
| 178,442 | Cerner Corp. | 13,095,858 | ||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 4.9% | ||||||||
| 100,200 | Hilton Worldwide Holdings, Inc. | 11,113,182 | ||||||
| 137,941 | Starbucks Corp. | 12,127,773 | ||||||
| 353,782 | Yum China Holdings, Inc. | 16,985,074 | ||||||
| 74,833 | Yum! Brands, Inc. | 7,537,928 | ||||||
|
|
|
|||||||
| 47,763,957 | ||||||||
|
|
|
|||||||
| Household Products — 1.6% | ||||||||
| 102,885 | Colgate-Palmolive Co. | 7,082,603 | ||||||
| 71,201 | Procter & Gamble Co. (The) | 8,893,005 | ||||||
|
|
|
|||||||
| 15,975,608 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 1.4% | ||||||||
| 1,217,750 | General Electric Co. | 13,590,090 | ||||||
|
|
|
|||||||
| Insurance — 1.3% | ||||||||
| 255,555 | American International Group, Inc. | 13,117,638 | ||||||
|
|
|
|||||||
| Interactive Media & Services — 9.6% | ||||||||
| 27,460 | Alphabet, Inc., Class A(a) | 36,779,650 | ||||||
| 9,311 | Alphabet, Inc., Class C(a) | 12,448,993 | ||||||
| 219,096 | Facebook, Inc., Class A(a) | 44,969,454 | ||||||
|
|
|
|||||||
| 94,198,097 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 8.5% | ||||||||
| 154,130 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 32,690,973 | ||||||
| 18,155 | Amazon.com, Inc.(a) | 33,547,535 | ||||||
| 7,100 | Booking Holdings, Inc.(a) | 14,581,483 | ||||||
| 290,543 | Qurate Retail, Inc., Class A(a) | 2,449,278 | ||||||
|
|
|
|||||||
| 83,269,269 | ||||||||
|
|
|
|||||||
| IT Services — 4.7% | ||||||||
| 31,215 | Automatic Data Processing, Inc. | 5,322,158 | ||||||
| 21,500 | MasterCard, Inc., Class A | 6,419,685 | ||||||
| 185,188 | Visa, Inc., Class A | 34,796,825 | ||||||
|
|
|
|||||||
| 46,538,668 | ||||||||
|
|
|
|||||||
| Machinery — 2.2% | ||||||||
| 63,100 | Caterpillar, Inc. | 9,318,608 | ||||||
| 69,111 | Deere & Co. | 11,974,172 | ||||||
|
|
|
|||||||
| 21,292,780 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
45 |
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis U.S. Equity Opportunities Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Media — 3.2% | ||||||||
| 34,260 | Charter Communications, Inc., Class A(a) | $ | 16,618,841 | |||||
| 328,200 | Comcast Corp., Class A | 14,759,154 | ||||||
|
|
|
|||||||
| 31,377,995 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 2.0% | ||||||||
| 425,400 | Apache Corp. | 10,885,986 | ||||||
| 95,900 | Concho Resources, Inc. | 8,397,963 | ||||||
|
|
|
|||||||
| 19,283,949 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 4.3% | ||||||||
| 43,465 | Merck & Co., Inc. | 3,953,142 | ||||||
| 92,482 | Novartis AG, Sponsored ADR | 8,757,121 | ||||||
| 232,806 | Novo Nordisk AS, Sponsored ADR | 13,474,811 | ||||||
| 387,437 | Roche Holding AG, Sponsored ADR | 15,753,188 | ||||||
|
|
|
|||||||
| 41,938,262 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 4.5% | ||||||||
| 184,230 | Intel Corp. | 11,026,166 | ||||||
| 75,121 | NVIDIA Corp. | 17,675,971 | ||||||
| 173,273 | QUALCOMM, Inc. | 15,287,877 | ||||||
|
|
|
|||||||
| 43,990,014 | ||||||||
|
|
|
|||||||
| Software — 6.4% | ||||||||
| 134,370 | Autodesk, Inc.(a) | 24,651,520 | ||||||
| 91,318 | Microsoft Corp. | 14,400,849 | ||||||
| 451,156 | Oracle Corp. | 23,902,245 | ||||||
|
|
|
|||||||
| 62,954,614 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 1.0% | ||||||||
| 34,190 | Apple, Inc. | 10,039,893 | ||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 1.7% | ||||||||
| 770,615 | Under Armour, Inc., Class A(a) | 16,645,284 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $685,170,165) |
963,120,545 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 1.9% | ||||||||
| $ | 18,184,899 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $18,185,809 on 1/02/2020 collateralized by $16,710,000 U.S. Treasury Note, 2.875% due 10/31/2023 valued at $17,549,042; $905,000 U.S. Treasury Bond, 2.875% due 8/15/2045 valued at $1,007,183 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $18,184,899) | 18,184,899 | |||||
|
|
|
|||||||
| Total Investments — 100.2% (Identified Cost $703,355,064) |
981,305,444 | |||||||
| Other assets less liabilities — (0.2)% | (1,941,049 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 979,364,395 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 46
Table of Contents
Portfolio of Investments – as of December 31, 2019
Natixis U.S. Equity Opportunities Fund – (continued)
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Non-income producing security. | |||||||
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
| ||||||
Industry Summary at December 31, 2019
| Interactive Media & Services |
9.6 | % | ||
| Internet & Direct Marketing Retail |
8.5 | |||
| Capital Markets |
8.1 | |||
| Software |
6.4 | |||
| Banks |
6.0 | |||
| Biotechnology |
5.1 | |||
| Hotels, Restaurants & Leisure |
4.9 | |||
| IT Services |
4.7 | |||
| Beverages |
4.6 | |||
| Semiconductors & Semiconductor Equipment |
4.5 | |||
| Pharmaceuticals |
4.3 | |||
| Media |
3.2 | |||
| Automobiles |
2.7 | |||
| Machinery |
2.2 | |||
| Consumer Finance |
2.0 | |||
| Oil, Gas & Consumable Fuels |
2.0 | |||
| Entertainment |
2.0 | |||
| Other Investments, less than 2% each |
17.5 | |||
| Short-Term Investments |
1.9 | |||
|
|
|
|||
| Total Investments |
100.2 | |||
| Other assets less liabilities |
(0.2 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
47 |
Table of Contents
This Page Intentionally Left Blank
| 48
Table of Contents
Statements of Assets and Liabilities
December 31, 2019
| Loomis Sayles Strategic Alpha Fund |
Natixis U.S. Equity Opportunities Fund |
|||||||
| ASSETS |
||||||||
| Investments at cost |
$ | 1,323,479,874 | $ | 703,355,064 | ||||
| Net unrealized appreciation (depreciation) |
(48,833,541 | ) | 277,950,380 | |||||
|
|
|
|
|
|||||
| Investments at value |
1,274,646,333 | 981,305,444 | ||||||
| Cash |
2,203,496 | 671,465 | ||||||
| Due from brokers (Note 2) |
16,160,000 | — | ||||||
| Foreign currency at value (identified cost $2,836,527 and $0, respectively) |
2,663,704 | — | ||||||
| Receivable for Fund shares sold |
2,252,850 | 497,370 | ||||||
| Receivable for securities sold |
3,057,862 | 2,050,631 | ||||||
| Collateral received for open forward foreign currency contracts (Notes 2 and 4) |
390,000 | — | ||||||
| Dividends and interest receivable |
7,496,111 | 434,304 | ||||||
| Unrealized appreciation on forward foreign currency contracts (Note 2) |
1,288,960 | — | ||||||
| Tax reclaims receivable |
22,411 | 310,370 | ||||||
| Unamortized upfront premiums paid on bilateral swap agreements (Note 2) |
32,446 | — | ||||||
| Prepaid expenses (Note 8) |
67 | 42 | ||||||
|
|
|
|
|
|||||
| TOTAL ASSETS |
1,310,214,240 | 985,269,626 | ||||||
|
|
|
|
|
|||||
| LIABILITIES |
||||||||
| Options written, at value (premiums received $90,227 and $0, respectively) (Note 2) |
82,911 | — | ||||||
| Payable for securities purchased |
4,154,320 | 4,007,997 | ||||||
| Unrealized depreciation on bilateral swap agreements (Note 2) |
201,392 | — | ||||||
| Payable for Fund shares redeemed |
1,128,647 | 671,169 | ||||||
| Unrealized depreciation on forward foreign currency contracts (Note 2) |
2,394,050 | — | ||||||
| Unamortized upfront premiums received on bilateral swap agreements (Note 2) |
221 | — | ||||||
| Due to brokers (Note 2) |
390,000 | — | ||||||
| Payable for variation margin on futures contracts (Note 2) |
63,144 | — | ||||||
| Fees payable on swap agreements (Note 2) |
2,471 | — | ||||||
| Management fees payable (Note 6) |
668,353 | 621,713 | ||||||
| Deferred Trustees’ fees (Note 6) |
164,270 | 411,134 | ||||||
| Administrative fees payable (Note 6) |
47,421 | 36,249 | ||||||
| Payable to distributor (Note 6d) |
7,767 | 6,556 | ||||||
| Other accounts payable and accrued expenses |
186,518 | 150,413 | ||||||
|
|
|
|
|
|||||
| TOTAL LIABILITIES |
9,491,485 | 5,905,231 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
$ | 1,300,722,755 | $ | 979,364,395 | ||||
|
|
|
|
|
|||||
| NET ASSETS CONSIST OF: |
||||||||
| Paid-in capital |
$ | 1,404,274,922 | $ | 682,334,358 | ||||
| Accumulated earnings (loss) |
(103,552,167 | ) | 297,030,037 | |||||
|
|
|
|
|
|||||
| NET ASSETS |
$ | 1,300,722,755 | $ | 979,364,395 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
49 |
Table of Contents
Statements of Assets and Liabilities (continued)
December 31, 2019
| Loomis Sayles Strategic Alpha Fund |
Natixis U.S. Equity Opportunities Fund |
|||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||
| Class A shares: |
||||||||
| Net assets |
$ | 48,814,956 | $ | 616,921,773 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
5,037,207 | 16,887,109 | ||||||
|
|
|
|
|
|||||
| Net asset value and redemption price per share |
$ | 9.69 | $ | 36.53 | ||||
|
|
|
|
|
|||||
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 10.12 | $ | 38.76 | ||||
|
|
|
|
|
|||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||
| Net assets |
$ | 16,336,934 | $ | 77,923,877 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
1,691,200 | 3,440,545 | ||||||
|
|
|
|
|
|||||
| Net asset value and offering price per share |
$ | 9.66 | $ | 22.65 | ||||
|
|
|
|
|
|||||
| Class N shares: |
||||||||
| Net assets |
$ | 297,300,361 | $ | 654,338 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
30,739,683 | 15,005 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering and redemption price per share |
$ | 9.67 | $ | 43.61 | ||||
|
|
|
|
|
|||||
| Class Y shares: |
||||||||
| Net assets |
$ | 938,270,504 | $ | 283,864,407 | ||||
|
|
|
|
|
|||||
| Shares of beneficial interest |
97,056,748 | 6,516,644 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering and redemption price per share |
$ | 9.67 | $ | 43.56 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 50
Table of Contents
Statements of Operations
For the Year Ended December 31, 2019
| Loomis Sayles Strategic Alpha Fund |
Natixis U.S. Equity Opportunities Fund |
|||||||
| INVESTMENT INCOME |
||||||||
| Dividends |
$ | 2,086,720 | $ | 14,706,847 | (a) | |||
| Non-cash dividends (Note 2b) |
— | 816,007 | ||||||
| Interest |
59,005,425 | 239,769 | ||||||
| Less net foreign taxes withheld |
(21,881 | ) | (126,474 | ) | ||||
|
|
|
|
|
|||||
| 61,070,264 | 15,636,149 | |||||||
|
|
|
|
|
|||||
| Expenses |
||||||||
| Management fees (Note 6) |
8,883,753 | 7,358,759 | ||||||
| Service and distribution fees (Note 6) |
353,262 | 2,310,926 | ||||||
| Administrative fees (Note 6) |
661,632 | 432,141 | ||||||
| Trustees’ fees and expenses (Note 6) |
78,066 | 81,830 | ||||||
| Transfer agent fees and expenses (Notes 6 and 7) |
798,150 | 801,193 | ||||||
| Audit and tax services fees |
84,763 | 41,779 | ||||||
| Custodian fees and expenses |
107,057 | 37,663 | ||||||
| Legal fees (Note 8) |
44,310 | 27,577 | ||||||
| Registration fees |
102,827 | 88,473 | ||||||
| Shareholder reporting expenses |
53,060 | 62,869 | ||||||
| Miscellaneous expenses (Note 8) |
61,878 | 51,795 | ||||||
|
|
|
|
|
|||||
| Total expenses |
11,228,758 | 11,295,005 | ||||||
| Less waiver and/or expense reimbursement (Note 6) |
(8,607 | ) | (6,044 | ) | ||||
|
|
|
|
|
|||||
| Net expenses |
11,220,151 | 11,288,961 | ||||||
|
|
|
|
|
|||||
| Net investment income |
49,850,113 | 4,347,188 | ||||||
|
|
|
|
|
|||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||
| Net realized gain (loss) on: |
||||||||
| Investments |
5,038,961 | 90,186,547 | ||||||
| Futures contracts |
(12,532,939 | ) | — | |||||
| Options written |
(754,866 | ) | — | |||||
| Swap agreements |
3,926,446 | — | ||||||
| Forward foreign currency contracts (Note 2d) |
(2,918,485 | ) | — | |||||
| Foreign currency transactions (Note 2c) |
(830,605 | ) | — | |||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investments |
23,392,481 | 167,414,696 | ||||||
| Futures contracts |
(360,158 | ) | — | |||||
| Options written |
(94,539 | ) | — | |||||
| Swap agreements |
(6,019,174 | ) | — | |||||
| Forward foreign currency contracts (Note 2d) |
(979,355 | ) | — | |||||
| Foreign currency translations (Note 2c) |
32,082 | — | ||||||
|
|
|
|
|
|||||
| Net realized and unrealized gain on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions |
7,899,849 | 257,601,243 | ||||||
|
|
|
|
|
|||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 57,749,962 | $ | 261,948,431 | ||||
|
|
|
|
|
|||||
| (a) | Includes a non-recurring dividend of $1,569,910. |
See accompanying notes to financial statements.
51 |
Table of Contents
Statements of Changes in Net Assets
| Loomis Sayles Strategic Alpha Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income |
$ | 49,850,113 | $ | 45,919,105 | ||||
| Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions |
(8,071,488 | ) | 10,761,528 | |||||
| Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations |
15,971,337 | (53,347,336 | ) | |||||
|
|
|
|
|
|||||
| Net increase in net assets resulting from operations |
57,749,962 | 3,333,297 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class A |
(1,581,199 | ) | (974,914 | ) | ||||
| Class C |
(411,487 | ) | (700,709 | ) | ||||
| Class N |
(8,768,965 | ) | (9,315,262 | ) | ||||
| Class Y |
(34,262,581 | ) | (38,722,335 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(45,024,232 | ) | (49,713,220 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
(216,962,192 | ) | 398,742,039 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
(204,236,462 | ) | 352,362,116 | |||||
| NET ASSETS |
||||||||
| Beginning of the year |
1,504,959,217 | 1,152,597,101 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 1,300,722,755 | $ | 1,504,959,217 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 52
Table of Contents
Statements of Changes in Net Assets (continued)
| Natixis U.S. Equity Opportunities Fund |
||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income |
$ | 4,347,188 | $ | 2,195,963 | ||||
| Net realized gain on investments |
90,186,547 | 99,574,323 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
167,414,696 | (167,182,286 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
261,948,431 | (65,412,000 | ) | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class A |
(63,482,836 | ) | (55,296,627 | ) | ||||
| Class C |
(12,360,421 | ) | (12,571,844 | ) | ||||
| Class N |
(44,503 | ) | (100 | ) | ||||
| Class Y |
(26,597,489 | ) | (27,216,994 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(102,485,249 | ) | (95,085,565 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
(78,802,617 | ) | 57,246,243 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
80,660,565 | (103,251,322 | ) | |||||
| NET ASSETS |
||||||||
| Beginning of the year |
898,703,830 | 1,001,955,152 | ||||||
|
|
|
|
|
|||||
| End of the year |
$ | 979,364,395 | $ | 898,703,830 | ||||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
53 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
| Loomis Sayles Strategic Alpha Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.62 | $ | 9.92 | $ | 9.86 | $ | 9.45 | $ | 9.96 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.30 | 0.33 | 0.32 | 0.30 | 0.26 | |||||||||||||||
| Net realized and unrealized gain (loss) |
0.04 | (0.30 | ) | (0.01 | ) | 0.31 | (0.42 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.34 | 0.03 | 0.31 | 0.61 | (0.16 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.27 | ) | (0.33 | ) | (0.25 | ) | (0.20 | ) | (0.35 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 9.69 | $ | 9.62 | $ | 9.92 | $ | 9.86 | $ | 9.45 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(b) |
3.58 | % | 0.39 | % | 3.22 | %(c) | 6.57 | % | (1.68 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 48,815 | $ | 36,528 | $ | 28,020 | $ | 67,746 | $ | 116,055 | ||||||||||
| Net expenses |
0.99 | % | 1.00 | %(d) | 1.05 | %(e)(f) | 1.10 | % | 1.10 | % | ||||||||||
| Gross expenses |
0.99 | % | 1.00 | %(d) | 1.06 | % | 1.10 | % | 1.10 | % | ||||||||||
| Net investment income |
3.10 | % | 3.29 | % | 3.26 | % | 3.14 | % | 2.66 | % | ||||||||||
| Portfolio turnover rate |
414 | %(g) | 379 | %(g) | 178 | %(h) | 72 | % | 72 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | A sales charge for Class A shares is not reflected in total return calculations. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | Includes fee/expense recovery of less than 0.01%. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (f) | Effective July 1, 2017, the expense limit decreased from 1.30% to 1.00%. |
| (g) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund. |
| (h) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
See accompanying notes to financial statements.
| 54
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Loomis Sayles Strategic Alpha Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.58 | $ | 9.88 | $ | 9.82 | $ | 9.42 | $ | 9.93 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.23 | 0.26 | 0.25 | 0.23 | 0.19 | |||||||||||||||
| Net realized and unrealized gain (loss) |
0.04 | (0.31 | ) | 0.00 | (b)(c) | 0.30 | (0.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.27 | (0.05 | ) | 0.25 | 0.53 | (0.24 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.19 | ) | (0.25 | ) | (0.19 | ) | (0.13 | ) | (0.27 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 9.66 | $ | 9.58 | $ | 9.88 | $ | 9.82 | $ | 9.42 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(d) |
2.87 | %(j) | (0.42 | )% | 2.53 | % | 5.70 | % | (2.44 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 16,337 | $ | 26,883 | $ | 33,759 | $ | 45,674 | $ | 62,453 | ||||||||||
| Net expenses |
1.73 | %(e) | 1.75 | %(f) | 1.81 | %(g) | 1.85 | % | 1.85 | % | ||||||||||
| Gross expenses |
1.74 | % | 1.75 | %(f) | 1.81 | % | 1.85 | % | 1.85 | % | ||||||||||
| Net investment income |
2.33 | % | 2.61 | % | 2.52 | % | 2.40 | % | 1.91 | % | ||||||||||
| Portfolio turnover rate |
414 | %(h) | 379 | %(h) | 178 | %(i) | 72 | % | 72 | % | ||||||||||
| (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) | 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. |
| (d) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| (e) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (f) | Includes fee/expense recovery of less than 0.01%. |
| (g) | Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%. |
| (h) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund. |
| (i) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
| (j) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
See accompanying notes to financial statements.
55 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Loomis Sayles Strategic Alpha Fund—Class N | ||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
| Net asset value, beginning of the period |
$ | 9.60 | $ | 9.90 | $ | 9.90 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||
| Net investment income(a) |
0.33 | 0.34 | 0.25 | |||||||||
| Net realized and unrealized gain (loss) |
0.04 | (0.28 | ) | (0.04 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
0.37 | 0.06 | 0.21 | |||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||
| Net investment income |
(0.30 | ) | (0.36 | ) | (0.21 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 9.67 | $ | 9.60 | $ | 9.90 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return |
3.92 | % | 0.68 | % | 2.11 | %(b)(c) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||
| Net assets, end of the period (000’s) |
$ | 297,300 | $ | 255,226 | $ | 59,282 | ||||||
| Net expenses |
0.67 | % | 0.70 | %(d) | 0.70 | %(e)(f)(g) | ||||||
| Gross expenses |
0.67 | % | 0.70 | %(d) | 0.72 | %(e) | ||||||
| Net investment income |
3.39 | % | 3.44 | % | 3.83 | %(e) | ||||||
| Portfolio turnover rate |
414 | %(h) | 379 | %(h) | 178 | %(i) | ||||||
| * | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Periods less than one year are not annualized. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | Includes fee/expense recovery of 0.01%. |
| (e) | 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) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.70%. |
| (h) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund. |
| (i) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 56
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Loomis Sayles Strategic Alpha Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 9.59 | $ | 9.90 | $ | 9.85 | $ | 9.44 | $ | 9.95 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.32 | 0.35 | 0.35 | 0.32 | 0.29 | |||||||||||||||
| Net realized and unrealized gain (loss) |
0.06 | (0.31 | ) | (0.01 | ) | 0.32 | (0.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
0.38 | 0.04 | 0.34 | 0.64 | (0.14 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.30 | ) | (0.35 | ) | (0.29 | ) | (0.23 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 9.67 | $ | 9.59 | $ | 9.90 | $ | 9.85 | $ | 9.44 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
3.96 | % | 0.53 | % | 3.48 | %(b) | 6.86 | % | (1.43 | )% | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 938,271 | $ | 1,186,322 | $ | 1,031,537 | $ | 1,083,527 | $ | 1,183,723 | ||||||||||
| Net expenses |
0.74 | % | 0.75 | %(c) | 0.80 | %(d)(e) | 0.85 | % | 0.85 | % | ||||||||||
| Gross expenses |
0.74 | % | 0.75 | %(c) | 0.81 | % | 0.85 | % | 0.85 | % | ||||||||||
| Net investment income |
3.33 | % | 3.51 | % | 3.53 | % | 3.39 | % | 2.91 | % | ||||||||||
| Portfolio turnover rate |
414 | %(f) | 379 | %(f) | 178 | %(g) | 72 | % | 72 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | Includes fee/expense recovery of less than 0.01%. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%. |
| (f) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund. |
| (g) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
See accompanying notes to financial statements.
57 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 31.00 | $ | 36.90 | $ | 30.27 | $ | 27.60 | $ | 27.40 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.15 | (b) | 0.08 | 0.06 | 0.12 | 0.06 | ||||||||||||||
| Net realized and unrealized gain (loss) |
9.34 | (2.51 | ) | 7.88 | 3.12 | 1.55 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
9.49 | (2.43 | ) | 7.94 | 3.24 | 1.61 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.17 | ) | (0.05 | ) | (0.06 | ) | (0.12 | ) | — | |||||||||||
| Net realized capital gains |
(3.79 | ) | (3.42 | ) | (1.25 | ) | (0.45 | ) | (1.41 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(3.96 | ) | (3.47 | ) | (1.31 | ) | (0.57 | ) | (1.41 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 36.53 | $ | 31.00 | $ | 36.90 | $ | 30.27 | $ | 27.60 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(c) |
31.03 | %(b) | (6.48 | )% | 26.28 | % | 11.86 | % | 5.86 | % | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 616,922 | $ | 523,665 | $ | 604,330 | $ | 472,436 | $ | 422,069 | ||||||||||
| Net expenses |
1.17 | % | 1.16 | % | 1.21 | %(d) | 1.23 | %(e) | 1.25 | %(f) | ||||||||||
| Gross expenses |
1.17 | % | 1.16 | % | 1.21 | % | 1.23 | %(e) | 1.25 | % | ||||||||||
| Net investment income |
0.42 | %(b) | 0.20 | % | 0.16 | % | 0.42 | % | 0.21 | % | ||||||||||
| Portfolio turnover rate |
12 | % | 23 | % | 17 | % | 17 | % | 20 | % | ||||||||||
| (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 income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%. |
| (c) | A sales charge for Class A shares is not reflected in total return calculations. |
| (d) | Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%. |
| (e) | Includes fee/expense recovery of less than 0.01%. |
| (f) | Effective July 1, 2015, the expense limit decreased from 1.30% to 1.25%. |
See accompanying notes to financial statements.
| 58
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 20.42 | $ | 25.73 | $ | 21.54 | $ | 19.86 | $ | 20.24 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment loss(a) |
(0.07 | )(b) | (0.14 | ) | (0.14 | ) | (0.07 | ) | (0.11 | ) | ||||||||||
| Net realized and unrealized gain (loss) |
6.10 | (1.75 | ) | 5.58 | 2.22 | 1.14 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
6.03 | (1.89 | ) | 5.44 | 2.15 | 1.03 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.01 | ) | — | (0.00 | )(c) | (0.02 | ) | — | ||||||||||||
| Net realized capital gains |
(3.79 | ) | (3.42 | ) | (1.25 | ) | (0.45 | ) | (1.41 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(3.80 | ) | (3.42 | ) | (1.25 | ) | (0.47 | ) | (1.41 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 22.65 | $ | 20.42 | $ | 25.73 | $ | 21.54 | $ | 19.86 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return(d) |
30.06 | %(b) | (7.18 | )% | 25.35 | % | 11.02 | % | 5.06 | % | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 77,924 | $ | 78,783 | $ | 112,615 | $ | 72,768 | $ | 61,864 | ||||||||||
| Net expenses |
1.92 | % | 1.91 | % | 1.96 | %(e) | 1.98 | %(f) | 2.00 | %(g) | ||||||||||
| Gross expenses |
1.92 | % | 1.91 | % | 1.96 | % | 1.98 | %(f) | 2.00 | % | ||||||||||
| Net investment loss |
(0.31 | )%(b) | (0.54 | )% | (0.59 | )% | (0.33 | )% | (0.54 | )% | ||||||||||
| Portfolio turnover rate |
12 | % | 23 | % | 17 | % | 17 | % | 20 | % | ||||||||||
| (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 $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%. |
| (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) | Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%. |
| (f) | Includes fee/expense recovery of less than 0.01%. |
| (g) | Effective July 1, 2015, the expense limit decreased from 2.05% to 2.00%. |
See accompanying notes to financial statements.
59 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class N | ||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
| Net asset value, beginning of the period |
$ | 36.37 | $ | 42.63 | $ | 37.62 | ||||||
|
|
|
|
|
|
|
|||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||
| Net investment income(a) |
0.19 | (b) | 0.25 | 0.12 | ||||||||
| Net realized and unrealized gain (loss) |
11.14 | (2.91 | ) | 6.20 | ||||||||
|
|
|
|
|
|
|
|||||||
| Total from Investment Operations |
11.33 | (2.66 | ) | 6.32 | ||||||||
|
|
|
|
|
|
|
|||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||
| Net investment income |
(0.30 | ) | (0.18 | ) | (0.16 | ) | ||||||
| Net realized capital gains |
(3.79 | ) | (3.42 | ) | (1.15 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Total Distributions |
(4.09 | ) | (3.60 | ) | (1.31 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of the period |
$ | 43.61 | $ | 36.37 | $ | 42.63 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return(c) |
31.44 | %(b) | (6.11 | )% | 16.78 | %(d) | ||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||
| Net assets, end of the period (000’s) |
$ | 654 | $ | 1 | $ | 1 | ||||||
| Net expenses(e) |
0.83 | % | 0.76 | % | 0.78 | %(f)(g) | ||||||
| Gross expenses |
1.42 | % | 13.35 | % | 13.41 | %(f) | ||||||
| Net investment income |
0.44 | %(b) | 0.56 | % | 0.44 | %(f) | ||||||
| Portfolio turnover rate |
12 | % | 23 | % | 17 | %(h) | ||||||
| * | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
| (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 income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%. |
| (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) | Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%. |
| (h) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 60
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
| Net asset value, beginning of the period |
$ | 36.33 | $ | 42.61 | $ | 34.77 | $ | 31.61 | $ | 31.18 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||||||
| Net investment income(a) |
0.29 | (b) | 0.20 | 0.16 | 0.21 | 0.15 | ||||||||||||||
| Net realized and unrealized gain (loss) |
10.99 | (2.92 | ) | 9.07 | 3.59 | 1.76 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from Investment Operations |
11.28 | (2.72 | ) | 9.23 | 3.80 | 1.91 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| LESS DISTRIBUTIONS FROM: |
||||||||||||||||||||
| Net investment income |
(0.26 | ) | (0.14 | ) | (0.14 | ) | (0.19 | ) | (0.07 | ) | ||||||||||
| Net realized capital gains |
(3.79 | ) | (3.42 | ) | (1.25 | ) | (0.45 | ) | (1.41 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(4.05 | ) | (3.56 | ) | (1.39 | ) | (0.64 | ) | (1.48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of the period |
$ | 43.56 | $ | 36.33 | $ | 42.61 | $ | 34.77 | $ | 31.61 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
31.36 | %(b)(g) | (6.24 | )% | 26.60 | % | 12.13 | % | 6.11 | % | ||||||||||
| RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||||||
| Net assets, end of the period (000’s) |
$ | 283,864 | $ | 296,255 | $ | 285,008 | $ | 143,231 | $ | 70,643 | ||||||||||
| Net expenses |
0.91 | %(c) | 0.91 | % | 0.95 | %(d) | 0.98 | %(e) | 1.00 | %(f) | ||||||||||
| Gross expenses |
0.92 | % | 0.91 | % | 0.95 | % | 0.98 | %(e) | 1.00 | % | ||||||||||
| Net investment income |
0.69 | %(b) | 0.45 | % | 0.40 | % | 0.63 | % | 0.46 | % | ||||||||||
| Portfolio turnover rate |
12 | % | 23 | % | 17 | % | 17 | % | 20 | % | ||||||||||
| (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 income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%. |
| (c) | The administrator 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) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%. |
| (e) | Includes fee/expense recovery of less than 0.01%. |
| (f) | Effective July 1, 2015, the expense limit decreased from 1.05% to 1.00%. |
| (g) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
See accompanying notes to financial statements.
61 |
Table of Contents
December 31, 2019
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)
Natixis Funds Trust II:
Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)
The U.S. Equity Opportunities Fund is a diversified investment company and the Strategic Alpha Fund is a non-diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y shares.
Class A shares are sold with a maximum front-end sales charge of 4.25% for Strategic Alpha Fund and 5.75% for U.S. Equity Opportunities Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to 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 with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee applicable to Class A and Class C) and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
| 62
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or sub-adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares of 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 as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. 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 as reported by an independent pricing service. 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. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Equity linked notes are valued using broker-dealer bid prices. Broker-dealer bid prices may be used to value debt, unlisted equity securities, senior loans and collateralized loan obligations 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
63 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent 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 clearing house 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. 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. 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. 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.
| 64
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of December 31, 2019, securities and other investments of the funds included in net assets were fair valued as follows:
| Fund |
Securities |
Percentage |
Securities |
Percentage |
||||||||||||
| Strategic Alpha Fund |
$ | 13,690,988 | 1.1 | % | $ | 14,208,018 | 1.1 | % | ||||||||
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 (including income reinvested) and foreign withholding tax, if applicable, is recorded on the 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. Dividends reinvested are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. 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.
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, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
65 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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 Funds’ 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. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
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 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.
For the year ended December 31, 2019, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:
| Strategic Alpha Fund |
$ | 9,741,920 |
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.
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 appreciation (depreciation) 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
| 66
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Option Contracts. The Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
67 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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 instrument or index underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. 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 purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.
When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized
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December 31, 2019
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.
There were no swaptions held by the Funds as of December 31, 2019.
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 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
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December 31, 2019
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 agreement is novated to a central counterparty (the “CCP”) and the Funds face 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, 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 received as collateral for forward foreign currency contracts. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
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December 31, 2019
j. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes 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 the 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, partnership basis adjustments, capital gains taxes, defaulted and/or non-income producing securities, swap adjustments, foreign currency gains and losses, convertible bond adjustments, distribution redesignations 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
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December 31, 2019
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, trust preferred securities, partnership basis adjustments, defaulted and/or non-income producing securities, swap adjustments, wash sales, convertible bond adjustments, forward foreign currency contract mark-to-market, straddle loss deferrals and corporate actions. 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 net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2019 and 2018 were as follows:
| 2019 Distributions Paid From: | 2018 Distributions Paid From: | |||||||||||||||||||||||
| Fund |
Ordinary |
Long-Term |
Total |
Ordinary |
Long-Term |
Total |
||||||||||||||||||
| Strategic Alpha Fund |
$ | 45,024,232 | $ | — | $ | 45,024,232 | $ | 49,713,220 | $ | — | $ | 49,713,220 | ||||||||||||
| U.S. Equity Opportunities Fund |
6,527,175 | 95,958,074 | 102,485,249 | 7,917,360 | 87,168,205 | 95,085,565 | ||||||||||||||||||
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
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December 31, 2019
As of December 31, 2019, the components of distributable earnings on a tax basis were as follows:
| Strategic |
U.S. Equity |
|||||||
| Undistributed ordinary income |
$ | — | $ | 297,964 | ||||
| Undistributed long-term capital gains |
— | 20,787,177 | ||||||
|
|
|
|
|
|||||
| Total undistributed earnings |
— | 21,085,141 | ||||||
|
|
|
|
|
|||||
| Capital loss carryforward: |
| |||||||
| Short-term: |
| |||||||
| No expiration date |
(32,119,936 | ) | — | |||||
| Long-term: |
| |||||||
| No expiration date |
(18,331,675 | ) | — | |||||
|
|
|
|
|
|||||
| Total capital loss carryforward |
(50,451,611 | ) | — | |||||
|
|
|
|
|
|||||
| Late-year ordinary and post-October capital loss deferrals* |
(2,056,475 | ) | — | |||||
|
|
|
|
|
|||||
| Unrealized appreciation (depreciation) |
(50,764,145 | ) | 276,356,031 | |||||
|
|
|
|
|
|||||
| Total accumulated earnings (losses) |
$ | (103,272,231 | ) | $ | 297,441,172 | |||
|
|
|
|
|
|||||
| Capital loss carryforward utilized in the current year |
$ | — | $ | — | ||||
|
|
|
|
|
|||||
| * | Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses. |
As of December 31, 2019, unrealized appreciation (depreciation) as a component of distributable earnings were as follows:
| Strategic Alpha Fund |
U.S. Equity Opportunities Fund |
|||||||
| Unrealized appreciation (depreciation) |
||||||||
| Investments |
$ | (21,483,154 | ) | $ | 276,356,031 | |||
| Foreign currency translations |
(29,280,991 | ) | — | |||||
|
|
|
|
|
|||||
| Total unrealized appreciation (depreciation) |
$ | (50,764,145 | ) | $ | 276,356,031 | |||
|
|
|
|
|
|||||
73 |
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Notes to Financial Statements (continued)
December 31, 2019
As of December 31, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
| Strategic |
U.S. Equity |
|||||||
| Federal tax cost |
$ | 1,324,751,305 | $ | 704,949,413 | ||||
|
|
|
|
|
|||||
| Gross tax appreciation |
$ | 22,166,033 | $ | 309,959,076 | ||||
| Gross tax depreciation |
(72,809,506 | ) | (33,603,045 | ) | ||||
|
|
|
|
|
|||||
| Net tax appreciation (depreciation) |
$ | (50,643,473 | ) | $ | 276,356,031 | |||
|
|
|
|
|
|||||
The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market.
l. Senior Loans. Strategic Alpha Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior 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 senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.
m. Loan Participations. Strategic Alpha Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, are listed in the Fund’s Portfolio of Investments.
n. Collateralized Loan Obligations. Strategic Alpha Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect
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December 31, 2019
the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. The intent of the Funds when investing in CLOs is to purchase only higher level, investment grade level select tranches. CLOs outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.
o. Equity Linked Notes. Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.
p. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2019, 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.
q. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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
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December 31, 2019
recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ 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.
There were no when-issued or delayed delivery securities held by the Funds as of December 31, 2019.
r. Stripped Securities. Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.
s. 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,
| 76
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December 31, 2019
the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended December 31, 2019, the Funds did not loan securities under this agreement.
t. Unfunded Loan Commitments. The Funds may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments.
As of December 31, 2019, the Funds did not have any unfunded loan commitments.
u. 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.
v. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 will be effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. Management has evaluated the impact of the adoption of ASU 2018-13 and will incorporate required disclosure updates in the Funds’ semiannual financial statements as of June 30, 2020.
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December 31, 2019
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical assets or liabilities; |
| • | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ 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 Funds 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. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
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Notes to Financial Statements (continued)
December 31, 2019
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2019, at value:
Strategic Alpha Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Bonds and Notes |
||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||
| ABS Home Equity |
$ | — | $ | 119,048,525 | $ | 801,522 | (b) | $ | 119,850,047 | |||||||
| ABS Other |
— | 70,230,027 | 2,337,230 | (c)(d) | 72,567,257 | |||||||||||
| Independent Energy |
— | 10,502,182 | 523,200 | (b)(d) | 11,025,382 | |||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | 46,268,040 | 2,770,066 | (b) | 49,038,106 | |||||||||||
| All Other Non-Convertible |
— | 824,151,662 | — | 824,151,662 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Non-Convertible Bonds |
— | 1,070,200,436 | 6,432,018 | 1,076,632,454 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Convertible Bonds(a) |
— | 14,392,084 | — | 14,392,084 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Bonds and Notes |
1,084,592,520 | 6,432,018 | 1,091,024,538 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Senior Loans(a) |
— | 31,749,201 | — | 31,749,201 | ||||||||||||
| Collateralized Loan Obligations |
— | 33,057,269 | 475,000 | (e) | 33,532,269 | |||||||||||
| Loan Participations(a) |
— | 5,003,559 | — | 5,003,559 | ||||||||||||
| Common Stocks |
||||||||||||||||
| Chemicals |
224,811 | 1,766,576 | — | 1,991,387 | ||||||||||||
| Oil, Gas & Consumable Fuels |
1,347,770 | — | — | (d) | 1,347,770 | |||||||||||
| All Other Common Stocks(a) |
14,973,481 | — | — | 14,973,481 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
16,546,062 | 1,766,576 | — | 18,312,638 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
79 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Strategic Alpha Fund (continued)
Asset Valuation Inputs (continued)
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Preferred Stocks |
||||||||||||||||
| Convertible Preferred Stocks |
||||||||||||||||
| Food & Beverage |
$ | — | $ | 4,352,925 | $ | — | $ | 4,352,925 | ||||||||
| Midstream |
119,850 | — | 293,900 | (e) | 413,750 | |||||||||||
| Non-Convertible Preferred Stocks |
||||||||||||||||
| Cable Satellite |
— | 4,171,300 | — | 4,171,300 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
119,850 | 8,524,225 | 293,900 | 8,937,975 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Investments(a) |
— | — | 7,776,000 | (b) | 7,776,000 | |||||||||||
| Equity Linked Notes |
— | — | 688,113 | (e) | 688,113 | |||||||||||
| Purchased Options(a) |
264,620 | — | — | 264,620 | ||||||||||||
| Short-Term Investments |
— | 77,357,420 | — | 77,357,420 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
16,930,532 | 1,242,050,770 | 15,665,031 | 1,274,646,333 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 1,288,960 | — | 1,288,960 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 16,930,532 | $ | 1,243,339,730 | $ | 15,665,031 | $ | 1,275,935,293 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Written Options(a) |
$ | (82,911 | ) | $ | — | $ | — | $ | (82,911 | ) | ||||||
| Bilateral Credit Default Swap Agreements (unrealized depreciation) |
— | (201,392 | ) | — | (201,392 | ) | ||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
— | (2,394,050 | ) | — | (2,394,050 | ) | ||||||||||
| Futures Contracts (unrealized depreciation) |
(3,212 | ) | — | — | (3,212 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (86,123 | ) | $ | (2,595,442 | ) | $ | — | $ | (2,681,565 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| (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) | Fair valued by the Fund’s adviser using a broker dealer bid price provided by a single market maker. |
| (d) | Includes securities fair valued at zero by the Fund’s adviser using level 3 inputs. |
| (e) | Valued using broker-dealer bid prices. |
| 80
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
U.S. Equity Opportunities Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks(a) |
$ | 963,120,545 | $ | — | $ | — | $ | 963,120,545 | ||||||||
| Short-Term Investments |
— | 18,184,899 | — | 18,184,899 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 963,120,545 | $ | 18,184,899 | $ | — | $ | 981,305,444 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2019, 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, 2018 and/or December 31, 2019:
Strategic Alpha Fund
Asset Valuation Inputs
| Investments in Securities |
Balance as of |
Accrued |
Realized |
Change in |
Purchases |
|||||||||||||||
| Bonds and Notes |
||||||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||||||
| ABS Home Equity |
$ | 1 | $ | — | $ | 20,814 | $ | (12,565 | ) | $ | — | |||||||||
| ABS Other |
4,468,825 | — | — | 230,731 | 90,268 | |||||||||||||||
| ABS Student Loan |
4,307,138 | — | — | — | — | |||||||||||||||
| Independent Energy |
— | (a) | (80,267 | ) | (58,230 | ) | 10,170,796 | 1,481,560 | ||||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | — | — | 76,723 | — | |||||||||||||||
| Collateralized Loan Obligations |
— | — | — | — | 475,000 | |||||||||||||||
| Loan Participations |
6,733,310 | — | (10,723 | ) | 53,613 | — | ||||||||||||||
| Common Stocks |
||||||||||||||||||||
| Oil, Gas & Consumable Fuels |
— | — | — | (439,289 | ) | 439,289 | ||||||||||||||
| Preferred Stocks |
||||||||||||||||||||
| Midstream |
— | — | — | (590,270 | ) | — | ||||||||||||||
| Other Investments |
||||||||||||||||||||
| Aircraft ABS |
7,790,625 | — | — | (14,625 | ) | — | ||||||||||||||
| Equity Linked Notes |
— | — | — | 21,383 | 666,730 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | 23,299,899 | $ | (80,267 | ) | $ | (48,139 | ) | $ | 9,496,497 | $ | 3,152,847 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
81 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Strategic Alpha Fund (continued)
Asset Valuation Inputs (continued)
| Investments in |
Sales |
Transfers |
Transfers |
Balance as of |
Change
in |
|||||||||||||||
| Bonds and Notes |
||||||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||||||
| ABS Home Equity |
$ | (254,603 | ) | $ | 1,047,875 | $ | — | $ | 801,522 | $ | (12,565 | ) | ||||||||
| ABS Other |
(86,459 | ) | — | (2,366,135 | ) | 2,337,230 | (a) | 218,142 | ||||||||||||
| ABS Student Loan |
— | — | (4,307,138 | ) | — | — | ||||||||||||||
| Independent Energy |
(10,990,659 | ) | — | — | 523,200 | (a) | (926,299 | ) | ||||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | 2,693,343 | — | 2,770,066 | 76,723 | |||||||||||||||
| Collateralized Loan Obligations |
— | — | — | 475,000 | — | |||||||||||||||
| Loan Participations |
(1,429,671 | ) | — | (5,346,529 | ) | — | — | |||||||||||||
| Common Stocks |
||||||||||||||||||||
| Oil, Gas & Consumable Fuels |
— | — | — | — | (a) | (439,289 | ) | |||||||||||||
| Preferred Stocks |
||||||||||||||||||||
| Midstream |
— | 884,170 | — | 293,900 | (590,270 | ) | ||||||||||||||
| Other Investments |
||||||||||||||||||||
| Aircraft ABS |
— | — | — | 7,776,000 | (14,625 | ) | ||||||||||||||
| Equity Linked Notes |
— | — | — | 688,113 | 21,383 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | (12,761,392 | ) | $ | 4,625,388 | $ | (12,019,802 | ) | $ | 15,665,031 | $ | (1,666,800 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | Includes securities fair valued at zero using level 3 inputs. |
| 82
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Debt securities valued at $3,741,218 were transferred from Level 2 to Level 3 during the period ended December 31, 2019. At December 31, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2019, 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 $12,019,802 were transferred from Level 3 to Level 2 during the period ended December 31, 2019. At December 31, 2018, 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 December 31, 2019, 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.
A preferred stock valued at $884,170 was transferred from Level 2 to Level 3 during the period ended December 31, 2019. At December 31, 2018, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2019, 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.
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 Strategic Alpha Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.
Strategic Alpha Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the year ended December 31, 2019, the Fund used futures, forward foreign currency contracts, option contracts, 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 foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2019, the Fund engaged in forward foreign currency and option contracts for hedging purposes.
83 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Strategic Alpha Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the year ended December 31, 2019, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.
Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the year ended December 31, 2019, the Fund engaged in futures and option contracts for hedging purposes.
The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2019, as reflected within the Statements of Assets and Liabilities:
| Assets |
Investments |
Unrealized |
Total |
|||||||||
| Over-the-counter asset derivatives |
||||||||||||
| Foreign exchange contracts |
$ | — | $ | 1,288,960 | $ | 1,288,960 | ||||||
|
|
|
|
|
|
|
|||||||
| Total over-the counter asset derivatives |
$ | — | $ | 1,288,960 | $ | 1,288,960 | ||||||
|
|
|
|
|
|
|
|||||||
| Exchange-traded/cleared asset derivatives |
||||||||||||
| Interest rate contracts |
$ | 264,620 | $ | — | $ | 264,620 | ||||||
|
|
|
|
|
|
|
|||||||
| Total exchange-traded/cleared asset derivatives |
$ | 264,620 | $ | — | $ | 264,620 | ||||||
|
|
|
|
|
|
|
|||||||
| Total asset derivatives |
$ | 264,620 | $ | 1,288,960 | $ | 1,553,580 | ||||||
|
|
|
|
|
|
|
|||||||
| 84
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
| Liabilities |
Options |
Unrealized |
Unrealized |
Swap |
Total |
|||||||||||||||
| Over-the-counter liability derivatives |
||||||||||||||||||||
| Foreign exchange contracts |
$ | — | $ | (2,394,050 | ) | $ | — | $ | — | $ | (2,394,050 | ) | ||||||||
| Credit contracts |
— | — | — | (169,167 | ) | (169,167 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total over-the counter liability derivatives |
$ | — | $ | (2,394,050 | ) | $ | — | $ | (169,167 | ) | $ | (2,563,217 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Exchange-traded/cleared liability derivatives |
||||||||||||||||||||
| Interest rate contracts |
$ | — | $ | — | $ | (3,212 | ) | $ | — | $ | (3,212 | ) | ||||||||
| Equity contracts |
(82,911 | ) | — | — | — | (82,911 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total exchange-traded/cleared liability derivatives |
$ | (82,911 | ) | $ | — | $ | (3,212 | ) | $ | — | $ | (86,123 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total liability derivatives |
$ | (82,911 | ) | $ | (2,394,050 | ) | $ | (3,212 | ) | $ | (169,167 | ) | $ | (2,649,340 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1 | Represents purchased options, 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. |
| 3 | Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. |
85 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2019, as reflected within the Statements of Operations were as follows:
| Net Realized Gain |
Investments4 |
Futures |
Options |
Swap |
Forward |
|||||||||||||||
| Interest rate contracts |
$ | — | $ | (5,894,204 | ) | $ | — | $ | 4,799,353 | $ | — | |||||||||
| Foreign exchange contracts |
(346,401 | ) | — | — | — | (2,918,485 | ) | |||||||||||||
| Credit contracts |
— | — | — | (872,907 | ) | — | ||||||||||||||
| Equity contracts |
(821,890 | ) | (6,638,735 | ) | (754,866 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | (1,168,291 | ) | $ | (12,532,939 | ) | $ | (754,866 | ) | $ | 3,926,446 | $ | (2,918,485 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net Change in |
Investments4 |
Futures |
Options |
Swap |
Forward |
|||||||||||||||
| Interest rate contracts |
$ | — | $ | (32,456 | ) | $ | — | $ | (5,824,977 | ) | $ | — | ||||||||
| Foreign exchange contracts |
276,968 | — | — | — | (979,355 | ) | ||||||||||||||
| Credit contracts |
— | — | — | (194,197 | ) | — | ||||||||||||||
| Equity contracts |
(21,464 | ) | (327,702 | ) | (94,539 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | 255,504 | $ | (360,158 | ) | $ | (94,539 | ) | $ | (6,019,174 | ) | $ | (979,355 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 4 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Strategic Alpha Fund, based on
| 86
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2019:
| Strategic Alpha Fund |
Forwards |
Futures |
Credit Default Swaps |
Interest Rate Swaps |
||||||||||||
| Average Notional Amount Outstanding |
9.30 | % | 9.77 | % | 2.37 | % | 24.99 | % | ||||||||
| Highest Notional Amount Outstanding |
12.54 | % | 17.92 | % | 5.00 | % | 113.28 | % | ||||||||
| Lowest Notional Amount Outstanding |
6.61 | % | 2.44 | % | 0.57 | % | 0.00 | % | ||||||||
| Notional Amount Outstanding as of December 31, 2019 |
12.54 | % | 2.44 | % | 0.57 | % | 0.00 | % | ||||||||
Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.
The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2019:
| Strategic Alpha Fund |
Call Options |
Put Options Purchased* |
Call Options Written* |
Put Options Written* |
||||||||||||
| Average Market Value of Underlying Instruments |
0.06 | % | 0.95 | % | 2.02 | % | 0.71 | % | ||||||||
| Highest Market Value of Underlying Instruments |
0.00 | % | 3.54 | % | 2.92 | % | 2.69 | % | ||||||||
| Lowest Market Value of Underlying Instruments |
0.00 | % | 0.00 | % | 0.30 | % | 0.00 | % | ||||||||
| Market Value of Underlying Instruments as of December 31, 2019 |
0.00 | % | 3.54 | % | 0.30 | % | 0.00 | % | ||||||||
| * | Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate, 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. |
Amounts outstanding at the end of the prior period are included in the average amount outstanding.
Over-the-counter derivatives, including forward foreign currency contracts and swap agreements are entered into pursuant to International Swaps and Derivatives
87 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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 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 received or pledged, on the Statements of Assets and Liabilities.
As of December 31, 2019, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Strategic Alpha Fund
| Counterparty |
Gross Amounts of |
Offset |
Net |
Collateral |
Net |
|||||||||||||||
| Bank of America, N.A. |
$ | 549,973 | $ | (70,600 | ) | $ | 479,373 | $ | (300,000 | ) | $ | 179,373 | ||||||||
| Barclays Bank PLC |
239,370 | (6,162 | ) | 233,208 | (90,000 | ) | 143,208 | |||||||||||||
| Deutsche Bank AG |
45,042 | (45,042 | ) | — | — | — | ||||||||||||||
| HSBC Bank USA |
273,421 | — | 273,421 | — | 273,421 | |||||||||||||||
| Morgan Stanley Capital Services, Inc. |
61,585 | (61,585 | ) | — | — | — | ||||||||||||||
| UBS AG |
119,569 | (119,569 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,288,960 | $ | (302,958 | ) | $ | 986,002 | $ | (390,000 | ) | $ | 596,002 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 88
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
Strategic Alpha Fund (continued)
| Counterparty |
Gross Amounts of |
Offset |
Net |
Collateral |
Net |
|||||||||||||||
| Bank of America, N.A. |
$ | (70,600 | ) | $ | 70,600 | $ | — | $ | — | $ | — | |||||||||
| Barclays Bank PLC |
(6,162 | ) | 6,162 | — | — | — | ||||||||||||||
| Citibank N.A. |
(461,988 | ) | — | (461,988 | ) | 350,000 | (111,988 | ) | ||||||||||||
| Credit Suisse International |
(301,844 | ) | — | (301,844 | ) | 250,000 | (51,844 | ) | ||||||||||||
| Deutsche Bank AG |
(198,142 | ) | 45,042 | (153,100 | ) | — | (153,100 | ) | ||||||||||||
| Morgan Stanley Capital Services, Inc. |
(1,335,423 | ) | 61,585 | (1,273,838 | ) | 1,273,838 | — | |||||||||||||
| UBS AG |
(189,058 | ) | 119,569 | (69,489 | ) | — | (69,489 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | (2,563,217 | ) | $ | 302,958 | $ | (2,260,259 | ) | $ | 1,873,838 | $ | (386,421 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, 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
89 |
Table of Contents
Notes to Financial Statements (continued)
December 31, 2019
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 Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2019:
| Fund |
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
||||||
| Strategic Alpha Fund |
$ | 20,824,523 | $ | 18,257,727 | ||||
Net loss amount reflects cash received as collateral of $390,000, which is recorded on the Statements of Assets and Liabilities.
5. Purchases and Sales of Securities. For the year ended December 31, 2019, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:
| U.S. Government/Agency Securities |
Other Securities | |||||||||||||||
| Fund |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||
| Strategic Alpha Fund |
$ | 4,184,284,850 | $ | 4,185,766,825 | $ | 1,365,915,872 | $ | 1,456,510,423 | ||||||||
| U.S. Equity Opportunities Fund |
— | — | 119,509,918 | 301,756,378 | ||||||||||||
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to U.S. Equity Opportunities Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, 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 0.75% of the Fund’s average daily net assets, calculated daily and payable monthly.
Natixis Advisors has entered into subadvisory agreements for the Fund as listed below.
| U.S. Equity Opportunities Fund |
Harris Associates L.P. (“Harris”) | |
| Loomis, Sayles & Company, L.P. (“Loomis Sayles”) |
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December 31, 2019
Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis. Harris is a wholly-owned subsidiary of Natixis.
Under the terms of the subadvisory agreement, the Fund has agreed to pay its subadvisers a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Segment’s average daily net assets:
| Fund |
Subadviser |
Percentage of |
||||
| U.S. Equity Opportunities Fund |
||||||
| Large Cap Value Segment |
Harris | 0.52 | % | |||
| All Cap Growth Segment |
Loomis Sayles | 0.35 | % | |||
Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.
Loomis Sayles is the investment adviser to Strategic Alpha Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.60% of the first $1.25 billion and 0.55% in excess of $1.25 billion of the Fund’s average daily net assets, calculated daily and payable monthly.
Natixis Advisors 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, 2020, 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. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended December 31, 2019, 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 |
||||||||||||
| Strategic Alpha Fund |
1.00 | % | 1.75 | % | 0.70 | % | 0.75 | % | ||||||||
| U.S. Equity Opportunities Fund |
1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % | ||||||||
Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees
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December 31, 2019
or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the year ended December 31, 2019, the management fees for each Fund were as follows:
| Fund |
Gross |
Percentage of |
||||||
| Strategic Alpha Fund |
$ | 8,883,753 | 0.59 | % | ||||
| U.S. Equity Opportunities Fund |
7,358,759 | 0.75 | % | |||||
No expenses were recovered for either Fund during the year ended December 31, 2019 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis 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 Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
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December 31, 2019
For the year ended December 31, 2019, the service and distribution fees for each Fund were as follows:
| Service Fees | Distribution Fees | |||||||||||
| Fund |
Class A |
Class C |
Class C |
|||||||||
| Strategic Alpha Fund |
$ | 138,896 | $ | 53,592 | $ | 160,774 | ||||||
| U.S. Equity Opportunities Fund |
1,487,223 | 205,926 | 617,777 | |||||||||
c. Administrative Fees. Natixis 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, Natixis ETF Trust and Natixis Advisors, effective July 1, 2019, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Prior to July 1, 2019, each Fund paid Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving as sub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction in sub-administrative fees discussed above. The waiver was in effect through June 30, 2019.
For the year ended December 31, 2019, the administrative fees for each Fund were as follows:
| Fund |
Gross Administrative |
Waiver of |
Net |
|||||||||
| Strategic Alpha Fund |
$ | 661,632 | $ | 8,402 | $ | 653,230 | ||||||
| U.S. Equity Opportunities Fund |
432,141 | 5,237 | 426,904 | |||||||||
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping,
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December 31, 2019
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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended December 31, 2019, 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 |
|||
| Strategic Alpha Fund |
$ | 766,962 | ||
| U.S. Equity Opportunities Fund |
490,344 | |||
As of December 31, 2019, the Funds owe Natixis 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 |
|||
| Strategic Alpha Fund |
$ | 7,767 | ||
| U.S. Equity Opportunities Fund |
6,556 | |||
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 Natixis Distribution during the year ended December 31, 2019 were as follows:
| Fund |
Commissions |
|||
| Strategic Alpha Fund |
$ | 1,673 | ||
| U.S. Equity Opportunities Fund |
27,750 | |||
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 Natixis Advisors,
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December 31, 2019
Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. 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 Natixis ETF 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.
Effective January 1, 2020, the Chairperson of the Board will receive a retainer fee at the annual rate of $369,000, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $199,000, and the chairperson of the Governance Committee will receive an additional retainer fee at the annual rate of $20,000. All other Trustee fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the U.S. Equity Opportunities Fund to reimburse
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December 31, 2019
any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2020 and is not subject to recovery under the expense limitation agreement described above. Natixis Advisors had given a binding contractual undertaking to the Strategic Alpha Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through April 30, 2019 and is not subject to recovery under the expense limitation agreement described above.
For the year ended December 31, 2019, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
| Reimbursement of |
||||
| Fund |
Class N |
|||
| Strategic Alpha Fund |
$ | 205 | ||
| U.S. Equity Opportunities Fund |
807 | |||
h. Affiliated Ownership. As of December 31, 2019, the Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Strategic Alpha Fund representing 0.20% of the Fund’s net assets.
Investment activities of affiliated shareholders could have material impacts on the Fund.
7. Class-Specific Transfer Agent Fees and Expenses. 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.
For the year ended December 31, 2019, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| Transfer Agent Fees and Expenses | ||||||||||||||||
| Fund |
Class A |
Class C |
Class N |
Class Y |
||||||||||||
| Strategic Alpha Fund |
$ | 36,332 | $ | 13,936 | $ | 1,270 | $ | 746,612 | ||||||||
| U.S. Equity Opportunities Fund |
485,415 | 67,258 | 807 | 247,713 | ||||||||||||
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject
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Notes to Financial Statements (continued)
December 31, 2019
to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. 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. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the year ended December 31, 2019, neither Fund had borrowings under this agreement.
9. Concentration of Risk. Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
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.
10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2019, 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% |
Percentage of |
||||||
| Strategic Alpha Fund |
2 | 12.43 | % | |||||
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
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December 31, 2019
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| Strategic Alpha Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
4,057,576 | $ | 39,431,401 | 1,902,859 | $ | 18,643,184 | ||||||||||
| Issued in connection with the reinvestment of distributions |
153,689 | 1,492,303 | 87,934 | 860,102 | ||||||||||||
| Redeemed |
(2,971,674 | ) | (28,966,949 | ) | (1,018,074 | ) | (10,074,904 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1,239,591 | $ | 11,956,755 | 972,719 | $ | 9,428,382 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
166,733 | $ | 1,611,447 | 632,600 | $ | 6,161,447 | ||||||||||
| Issued in connection with the reinvestment of distributions |
26,221 | 253,548 | 51,094 | 498,519 | ||||||||||||
| Redeemed |
(1,308,080 | ) | (12,656,029 | ) | (1,295,865 | ) | (12,777,946 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,115,126 | ) | $ | (10,791,034 | ) | (612,171 | ) | $ | (6,117,980 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
3,995,830 | $ | 38,781,677 | 22,029,860 | $ | 218,736,227 | ||||||||||
| Issued in connection with the reinvestment of distributions |
905,302 | 8,768,965 | 952,881 | 9,315,262 | ||||||||||||
| Redeemed |
(750,043 | ) | (7,281,454 | ) | (2,385,120 | ) | (23,546,282 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
4,151,089 | $ | 40,269,188 | 20,597,621 | $ | 204,505,207 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
33,476,137 | $ | 325,247,908 | 60,785,713 | $ | 599,944,907 | ||||||||||
| Issued in connection with the reinvestment of distributions |
2,397,834 | 23,222,284 | 2,375,280 | 23,181,067 | ||||||||||||
| Redeemed |
(62,461,312 | ) | (606,867,293 | ) | (43,762,727 | ) | (432,199,544 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(26,587,341 | ) | $ | (258,397,101 | ) | 19,398,266 | $ | 190,926,430 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(22,311,787 | ) | $ | (216,962,192 | ) | 40,356,435 | $ | 398,742,039 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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Notes to Financial Statements (continued)
December 31, 2019
11. Capital Shares (continued).
| |
Year Ended December 31, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
| U.S. Equity Opportunities Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
| Issued from the sale of shares |
1,147,417 | $ | 39,768,929 | 2,296,546 | $ | 86,556,990 | ||||||||||
| Issued in connection with the reinvestment of distributions |
1,642,521 | 59,555,999 | 1,653,093 | 51,341,261 | ||||||||||||
| Redeemed |
(2,797,920 | ) | (100,075,167 | ) | (3,432,504 | ) | (126,242,869 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(7,982 | ) | $ | (750,239 | ) | 517,135 | $ | 11,655,382 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued from the sale of shares |
409,399 | $ | 9,361,060 | 1,030,778 | $ | 25,786,943 | ||||||||||
| Issued in connection with the reinvestment of distributions |
443,035 | 10,083,593 | 503,353 | 10,537,724 | ||||||||||||
| Redeemed |
(1,269,592 | ) | (29,351,029 | ) | (2,053,605 | ) | (52,913,322 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(417,158 | ) | $ | (9,906,376 | ) | (519,474 | ) | $ | (16,588,655 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class N |
| |||||||||||||||
| Issued from the sale of shares |
14,461 | $ | 605,261 | — | $ | — | ||||||||||
| Issued in connection with the reinvestment of distributions |
1,020 | 44,503 | 3 | 100 | ||||||||||||
| Redeemed |
(506 | ) | (22,193 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
14,975 | $ | 627,571 | 3 | $ | 100 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y |
| |||||||||||||||
| Issued from the sale of shares |
1,739,715 | $ | 72,112,902 | 3,676,417 | $ | 160,325,492 | ||||||||||
| Issued in connection with the reinvestment of distributions |
514,088 | 22,126,509 | 628,147 | 22,760,558 | ||||||||||||
| Redeemed |
(3,890,590 | ) | (163,012,984 | ) | (2,840,359 | ) | (120,906,634 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,636,787 | ) | $ | (68,773,573 | ) | 1,464,205 | $ | 62,179,416 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(2,046,952 | ) | $ | (78,802,617 | ) | 1,461,869 | $ | 57,246,243 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Natixis U.S. Equity Opportunities Fund and Loomis Sayles Strategic Alpha Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Natixis U.S. Equity Opportunities Fund (one of the funds constituting the Natixis Funds Trust I), and Loomis Sayles Strategic Alpha Fund (one of the funds constituting the Natixis Funds II) (hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, and brokers; when replies
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were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 21, 2020
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
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2019 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2019, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
| Fund |
Qualifying Percentage |
|||
| Strategic Alpha Fund |
2.66 | % | ||
| U.S. Equity Opportunities Fund |
100.00 | % | ||
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2019.
| Fund |
Amount |
|||
| U.S. Equity Opportunities Fund |
$ | 95,958,074 | ||
Qualified Dividend Income. For the fiscal year ended December 31, 2019, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2019, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:
| Fund |
Qualifying Percentage |
|||
| Strategic Alpha Fund |
3.39 | % | ||
| U.S. Equity Opportunities Fund |
100.00 | % | ||
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Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES | ||||||||
| Kenneth A. Drucker (1945) |
Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee |
Retired | 51 None |
Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation) | ||||
| Edmond J. English (1953) | Trustee since 2013 Chairperson of Governance Committee and Audit Committee Member |
Executive Chairman of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail) |
Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Richard A. Goglia (1951) |
Trustee since 2015 Contract Review Committee Member and Governance Committee Member |
Retired; formerly Vice President and Treasurer of Raytheon Company (defense) | 51 None |
Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
| Wendell J. Knox (1948) |
Trustee since 2009 Chairperson of Contract Review Committee |
Director of Abt Associates Inc. (research and consulting) | 51 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) |
Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Martin T. Meehan (1956) |
Trustee since 2012 Audit Committee Member |
President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell | 51 None |
Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
| Maureen B. Mitchell (1951) |
Trustee since 2017 Contract Review Committee Member and Governance Committee Member |
Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services) | 51 Director, Sterling Bancorp (bank) |
Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| James P. Palermo (1955) |
Trustee since 2016 Contract Review Committee Member |
Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 51 Director, FutureFuel.io (chemicals and biofuels) |
Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
| Erik R. Sirri (1958) |
Trustee since 2009 Chairperson of the Audit Committee |
Professor of Finance at Babson College | 51 None |
Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
| Peter J. Smail (1952) |
Trustee since 2009 Audit Committee Member and Governance Committee Member |
Retired | 51 None |
Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INDEPENDENT TRUSTEES continued | ||||||||
| Kirk A. Sykes (1958) |
Trustee since 2019 Contract Review Committee Member |
Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance); formerly, President of Urban Strategy America Fund (real estate fund manager) | 51 Trustee, Eastern Bank (bank); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) |
Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
| Cynthia L. Walker (1956) |
Trustee since 2005 Audit Committee Member and Governance Committee Member |
Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None |
Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held of Office1 |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, Membership | ||||
| INTERESTED TRUSTEES | ||||||||
| Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 |
Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. | 51 None |
Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
| David L. Giunta4 (1965) |
Trustee since 2011 President and Chief Executive Officer |
President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | 51 None |
Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | ||||
| 1 | Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Mr. Drucker was appointed to serve an additional one year term as the Chairperson of the Board on June 12, 2019. |
| 2 | The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Trusts, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II and Natixis ETF Trust (collectively, the “Fund Complex”). |
| 3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| 4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
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Trustee and Officer Information
| Name and Year of Birth |
Position(s) Held |
Term of Office1 and |
Principal Occupation(s) | |||
| OFFICERS OF THE TRUSTS | ||||||
| Russell L. Kane (1969) |
Secretary, Clerk and Chief Legal Officer | Since 2016 | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
| Michael C. Kardok (1959) |
Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
| Kirk Johnson (1981) |
Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2018 | Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Associate General Counsel, Natixis Distribution, L.P., Vice President and Counsel, Natixis Investment Managers, LLC. | |||
| 1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
| 2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, L.P., Natixis Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
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Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Edmond J. English, Mr. Martin T. Meehan, Mr. Erik R. Sirri, Mr. Peter J. Smail and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.
| Audit fees | Audit-related fees1 |
Tax fees2 | All other fees | |||||||||||||||||||||||||||||
| 1/1/18- 12/31/18 |
1/1/19- 12/31/19 |
1/1/18- 12/31/18 |
1/1/19- 12/31/19 |
1/1/18- 12/31/18 |
1/1/19- 12/31/19 |
1/1/18- 12/31/18 |
1/1/19- 12/31/19 |
|||||||||||||||||||||||||
| Natixis Funds Trust II |
$ | 391,761 | $ | 384,766 | $ | 1,250 | $ | 1,237 | $ | 84,610 | $ | 124,109 | $ | — | $ | — | ||||||||||||||||
| 1. | Audit-related fees consist of: |
2018 & 2019 – performance of agreed-upon procedures related to the Registrant’s deferred compensation.
| 2. | Tax fees consist of: |
2018 & 2019 – review of Registrant’s tax returns.
Aggregate fees billed to the Registrant for non-audit services during 2018 and 2019 were $85,860 and $97,846 respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex Group, LLC (“ASG”), Loomis, Sayles & Company, L.P. (“Loomis”), Natixis Advisors, L.P. (“Natixis Advisors”), and entities controlling, controlled by or under common control with ASG, Loomis, and Natixis Advisors (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
| Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
| 1/1/18- | 1/1/19- | 1/1/18- | 1/1/19- | 1/1/18- | 1/1/19- | |||||||||||||||||||
| 12/31/18 | 12/31/19 | 12/31/18 | 12/31/19 | 12/31/18 | 12/31/19 | |||||||||||||||||||
| Control Affiliates |
$ | — | $ | — | $ | — | $ | 26,750 | $ | — | $ | — | ||||||||||||
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The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to ASG, Loomis, Natixis Advisors and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
| Aggregate Non-Audit Fees | ||||||||
| 1/1/18- | 1/1/19- | |||||||
| 12/31/18 | 12/31/19 | |||||||
| Control Affiliates |
$ | 237,200 | $ | 302,257 | ||||
None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
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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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| (a) | (1) | Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1). | ||
| (a) | (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1)and (a)(2)(2), respectively. | ||
| (a) | (3) | Not applicable. | ||
| (b) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 filed herewith as Exhibit (b). | |||
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Natixis Funds Trust II | ||
| By: | /s/ David L. Giunta | |
| Name: | David L. Giunta | |
| Title: | President and Chief Executive Officer | |
| Date: | February 21, 2020 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ David L. Giunta | |
| Name: | David L. Giunta | |
| Title: | President and Chief Executive Officer | |
| Date: | February 21, 2020 | |
| By: | /s/ Michael C. Kardok | |
| Name: | Michael C. Kardok | |
| Title: | Treasurer | |
| Date: | February 21, 2020 | |