N-CSR 1 d897087dncsr.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II
Table of Contents

 

 

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

 

 

 

Table of Contents

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:

Table of Contents

LOGO

 

LOGO

 

Annual Report

December 31, 2019

ASG Dynamic Allocation Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

 

Table of Contents

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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ASG DYNAMIC ALLOCATION FUND

 

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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ASG DYNAMIC ALLOCATION FUND

 

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

LOGO

See notes to chart on page 5.

 

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ASG DYNAMIC ALLOCATION FUND

 

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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ASG GLOBAL ALTERNATIVES FUND

 

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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ASG GLOBAL ALTERNATIVES FUND

 

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

LOGO

 

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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

LOGO

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

LOGO

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

Notes to Financial Statements

 

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.

 

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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
Value

     

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

 

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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

 

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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.

 

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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.

 

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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
Income

    

Long-Term
Capital
Gains

    

Total

    

Ordinary
Income

    

Long-Term
Capital
Gains

    

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.

 

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December 31, 2019

 

As of December 31, 2019, the components of distributable earnings on a tax basis were as follows:

 

   

Dynamic
Allocation
Fund

    

Global
Alternatives
Fund

    

Managed
Futures
Strategy
Fund

    

Tactical
U.S. Market
Fund

  

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
Allocation
Fund

    

Global
Alternatives
Fund

    

Managed
Futures
Strategy
Fund

    

Tactical
U.S. Market
Fund

  

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  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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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.

 

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

 

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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  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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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.

 

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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.

 

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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
appreciation on
futures contracts

  

Exchange-traded asset derivatives

   

Foreign exchange contracts

    $ 126,581  

Equity contracts

      566,303  
  

 

 

  

Total exchange-traded asset derivatives

    $ 692,884  
  

 

 

  

Liabilities

   

Unrealized
depreciation on
futures contracts

  

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
Appreciation (Depreciation) on:

   

Futures contracts

  

Interest rate contracts

    $ (316,774 ) 

Foreign exchange contracts

      34,781  

Equity contracts

      703,637  
  

 

 

  

Total

    $ 421,644  
  

 

 

  

 

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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
appreciation on
forward foreign
currency contracts

     

Unrealized
appreciation on
futures contracts

  

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
depreciation on
forward foreign
currency contracts

    

Unrealized
depreciation on
futures contracts

    

Swap
agreements
at value1

  

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
contracts

    

Forward foreign
currency
transactions

    

Swap
agreements

  

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
Appreciation (Depreciation) on:

   

Futures
contracts

    

Forward foreign
currency
transactions

  

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
appreciation on
forward foreign
currency contracts

     

Unrealized
appreciation on
futures contracts

  

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

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Notes to Financial Statements (continued)

 

December 31, 2019

 

Liabilities

   

Unrealized
depreciation on
forward foreign
currency contracts

    

Unrealized
depreciation on
futures contracts

  

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
currency
transactions

  

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
Appreciation (Depreciation) on:

   

Futures
contracts

    

Forward foreign
currency
transactions

  

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
appreciation on
futures contracts

  

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
Appreciation (Depreciation) on:

   

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
Return
Swaps

  

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

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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
Assets

    

Offset
Amount

    

Net
Asset
Balance

    

Collateral
(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ 462,456     $ (462,456 )    $ —     $   —      $   —  

Counterparty

   

Gross Amounts of
Liabilities

    

Offset
Amount

    

Net
Liability
Balance

    

Collateral

(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ (1,719,946 )    $ 462,456     $ (1,257,490 )    $ 1,257,490      $ —  

 

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Notes to Financial Statements (continued)

 

December 31, 2019

 

Managed Futures Strategy Fund

                     

Counterparty

   

Gross Amounts of
Assets

    

Offset
Amount

    

Net
Asset
Balance

    

Collateral
(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ 13,560,186     $ (13,560,186 )    $ —     $ —      $   —  

Counterparty

   

Gross Amounts of
Liabilities

    

Offset
Amount

    

Net
Liability
Balance

    

Collateral
(Received)/
Pledged

     

Net
Amount

  

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
Amount of
Collateral

    

Increase
(Decrease)
For Change
in Value

    

Required
Collateral

    

Collateral
Pledged

    

Excess/
(Shortfall)

  

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

 

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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  |

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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 % 

 

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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.

 

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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
Management
Fees

    

Contractual
Waivers of
Management
Fees1

    

Net
Management
Fees

    

Percentage of
Average
Daily Net Assets

  
 

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.

 

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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

 

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$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
Fees

     

Waiver of
Administrative
Fees

     

Net
Administrative
Fees

  

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.

 

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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
Agent Fees

  

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
of Sub-Transfer
Agent Fees

  

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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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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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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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%
Account Holders

     

Total
Percentage of
Ownership

  

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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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  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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
 

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 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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
 

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 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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
 

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  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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

 

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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.

 

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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
Percentage

  

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.

 

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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
with the Trust,
Length of Time
Served and Term

of  Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES      

Kenneth A. Drucker

(1945)

  

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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Table of Contents

Trustee and Officer Information

 

Name and Year of

Birth

  

Position(s) Held
with the Trust,
Length of Time
Served and Term

of  Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

Richard A. Goglia

(1951)

  

Trustee since 2015

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
with the Trust,
Length of Time
Served and Term

of  Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      
Martin T. Meehan (1956)  

Trustee since 2012

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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Table of Contents

Trustee and Officer Information

 

Name and Year of

Birth

  

Position(s) Held
with the Trust,
Length of Time
Served and Term

of  Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

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
with the Trust,
Length of Time
Served and Term

of  Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

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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Table of Contents

Trustee and Officer Information

 

Name and Year of

Birth

  

Position(s) Held
with the Trust,
Length of Time
Served and Term

of  Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INTERESTED TRUSTEES      

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
with the Trust

  

Term of Office1 and
Length of Time Served

  

Principal Occupation(s)
During Past 5 Years2

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.

 

|  122

Table of Contents

LOGO

 

LOGO

 

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

 

Table of Contents

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.

Table of Contents

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

 

1  |

Table of Contents

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

 

LOGO

See notes to chart on page 3.

 

 

|  2

Table of Contents

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

 

LOGO

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

 

LOGO

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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VAUGHAN NELSON SMALL CAP VALUE FUND

 

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

 

LOGO

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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VAUGHAN NELSON VALUE OPPORTUNITY FUND

 

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

 

LOGO

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

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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.

 

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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 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.

 

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UNDERSTANDING FUND EXPENSES

 

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 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).

 

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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).

 

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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).

 

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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.

 

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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.

 

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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

Notes to Financial Statements

 

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

 

81  |

Table of Contents

Notes to Financial Statements (continued)

 

December 31, 2019

 

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
Net Assets

$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
Income

     

Tax Exempt
Income

     

Long-Term
Capital Gains

     

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
Income

     

Tax Exempt
Income

     

Long-Term
Capital Gains

     

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
Municipal
Bond Fund

    

Natixis
Oakmark
Fund

    

Natixis
Oakmark
International
Fund

    

Small Cap
Value Fund

    

Value
Opportunity
Fund

  

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
Municipal
Bond Fund

    

Natixis
Oakmark
Fund

    

Natixis
Oakmark
International
Fund

    

Small Cap
Value Fund

    

Value
Opportunity
Fund

  

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
Municipal
Bond Fund

    

Natixis
Oakmark
Fund

    

Natixis
Oakmark
International
Fund

    

Small Cap
Value Fund

    

Value
Opportunity
Fund

  

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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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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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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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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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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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
depreciation on
forward foreign
currency contracts

  

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
currency
contracts

Foreign exchange contracts    $826,022

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Forward foreign
currency
contracts

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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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
Liabilities

    

Offset
Amount

     

Net
Amount

  

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
of Loss - Gross

     

Maximum Amount
of Loss - Net

  

Natixis Oakmark International Fund

    $   —      $   —  

 

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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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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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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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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
Management
Fees

     

Contractual
Waivers of
Management
Fees1

     

Net
Management
Fees

     

Percentage of
Average Daily
Net Assets

  
  

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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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
Fees

     

Waiver of
Administrative
Fees

     

Net
Administrative
Fees

  

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
Agent Fees

  

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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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 Sub-Transfer
Agent Fees

  

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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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
Transfer Agency
Expenses

  

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

 

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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%
Account Holders

     

Percentage of
Ownership

  

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.

 

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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  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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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 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

 

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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.

 

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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

  

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
Percentage

  

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
Credit Pass-Through

     

Foreign Source
Income

  

Natixis Oakmark International Fund

    $ 2,276,940      $ 28,882,341  

 

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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.

 

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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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES      

Kenneth A. Drucker

(1945)

  

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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Table of Contents

Trustee and Officer Information

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
Richard A. Goglia (1951)  

Trustee since 2015

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
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
Martin T. Meehan (1956)  

Trustee since 2012

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
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
Erik R. Sirri
(1958)		  

Trustee since 2009

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
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
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
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INTERESTED TRUSTEES      

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
with the Trusts

  

Term of Office1 and
Length of Time Served

  

Principal Occupation(s)
During Past 5 Years2

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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LOGO

 

LOGO

 

Annual Report

December 31, 2019

Loomis Sayles Strategic Alpha Fund

Natixis U.S. Equity Opportunities Fund

 

Table of Contents

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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LOOMIS SAYLES STRATEGIC ALPHA FUND

 

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

 

LOGO

 

3  |

Table of Contents

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

 

|  6

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

 

$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

 

7  |

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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

 

LOGO

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.

 

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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.

 

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Table of Contents
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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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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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.

 

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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 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.

 

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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 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.

 

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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.

 

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|  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.

 

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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.

 

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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.

 

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Notes to Financial Statements

 

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.

 

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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

 

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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.

 

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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
classified
as fair
valued

     

Percentage
of Net
Assets

    

Securities
fair
valued by
the Fund’s
adviser

     

Percentage
of Net
Assets

  

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.

 

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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

 

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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.

 

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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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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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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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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
Income

    

Long-Term
Capital
Gains

    

Total

    

Ordinary
Income

    

Long-Term
Capital
Gains

    

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
Alpha Fund

    

U.S. Equity
Opportunities
Fund

  

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  
  

 

 

    

 

 

  

 

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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
Alpha Fund

    

U.S. Equity
Opportunities
Fund

  

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,

 

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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
Bonds(a)

     —       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  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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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.

 

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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
December 31,
2018

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

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  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to Financial Statements (continued)

 

December 31, 2019

 

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)

 

Investments in
Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance as of
December 31,
2019

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
December 31,
2019

  

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.

 

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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.

 

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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
at value1

    

Unrealized
appreciation
on forward
foreign
currency
contracts

    

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  
 

 

 

    

 

 

    

 

 

  

 

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Liabilities

  

Options
written
at value

    

Unrealized
depreciation
on forward
foreign
currency
contracts

    

Unrealized
depreciation
on futures
contracts2

    

Swap
agreements
at value3

    

Total

  

Over-the-counter liability derivatives

          

Foreign exchange contracts

   $ —     $ (2,394,050 )    $ —     $ —     $ (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.

 

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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
(Loss) on:

  

Investments4

    

Futures
contracts

    

Options
written

    

Swap
agreements

    

Forward
foreign
currency
contracts

  

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
Unrealized Appreciation
(Depreciation) on:

  

Investments4

    

Futures
contracts

    

Options
written

    

Swap
agreements

    

Forward
foreign
currency
contracts

  

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

 

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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
Purchased*

    

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

 

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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
Assets

    

Offset
Amount

    

Net
Asset
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

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  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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Strategic Alpha Fund (continued)

 

Counterparty

  

Gross Amounts of
Liabilities

    

Offset
Amount

    

Net
Liability
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

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

 

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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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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
Average
Daily Net Assets

  

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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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
Management
Fees

     

Percentage of
Average
Daily Net Assets

  

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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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
Fees

     

Waiver of
Administrative
Fees

     

Net
Administrative
Fees

  

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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Notes to Financial Statements (continued)

 

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
Agent Fees

  

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
Sub-Transfer
Agent Fees

  

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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Notes to Financial Statements (continued)

 

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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Notes to Financial Statements (continued)

 

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
Transfer Agency
Expenses

  

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%
Account Holders

     

Percentage of
Ownership

  

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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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
 

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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Report of Independent Registered Public Accounting Firm

 

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 % 

 

|  102

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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES      

Kenneth A. Drucker

(1945)

  

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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

Richard A. Goglia

(1951)

  

Trustee since 2015

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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

Martin T. Meehan

(1956)

  

Trustee since 2012

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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES continued      

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
with the Trusts,
Length of Time
Served and Term

of Office1

  

Principal
Occupation(s)
During Past

5 Years

  

Number of
Portfolios in

Fund Complex
Overseen2

and Other
Directorships Held
During Past

5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INTERESTED TRUSTEES      

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
with the Trusts

  

Term of Office1 and
Length of Time Served

  

Principal Occupation(s)
During Past 5 Years2

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