N-CSR 1 dncsr.htm NATIXIS FUNDS TRUST I Natixis Funds Trust I
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04323

 

Natixis Funds Trust I

(Exact name of Registrant as specified in charter)

 

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

Coleen Downs Dinneen, Esq.

Natixis Distributors, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2010

 

 

 

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Item 1. Reports to Stockholders.

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

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ANNUAL REPORT

December 31, 2010

 

LOGO

 

CGM Advisor Targeted Equity Fund

Capital Growth Management Limited Partnership

Harris Associates Large Cap Value Fund

Harris Associates L.P.

Natixis Income Diversified Portfolio

AEW Capital Management, L.P.

Loomis, Sayles & Company, L.P.

Natixis U.S. Diversified Portfolio

BlackRock Investment Management, LLC

Harris Associates L.P.

Loomis, Sayles & Company, L.P.

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Investment Management, L.P.

Vaughan Nelson Value Opportunity Fund

Vaughan Nelson Investment Management, L.P.

Westpeak ActiveBeta® Equity Fund

Westpeak Global Advisors, L.P.

 

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Management Discussion and Performance page 1

Portfolio of Investments page 40

Financial Statements page 87

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CGM ADVISOR TARGETED EQUITY FUND

Management Discussion

 

 

 

Manager:

G. Kenneth Heebner, CFA

Capital Growth Management Limited Partnership

 

 

Objective:

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

 

 

Strategy:

Generally invests in a focused portfolio of common stocks of large-cap companies

 

 

Fund Inception:

November 27, 1968

 

 

 

Symbols:

 

Class A   NEFGX
Class B   NEBGX
Class C   NEGCX
Class Y   NEGYX

 

 

Market Conditions

The economy remained unsettled throughout 2010, as bouts of optimism alternated with periods of doubt for investors. An economic rebound, albeit a fragile one, was underway early in the year and stock prices rose. However, on the heels of a sputtering recovery, stock markets around the world fell as fears of slowing economic growth worldwide and a possible double-dip recession in the United States sparked substantial selling. At midyear, we entered a time of lackluster growth and uncertainty in the financial markets. However, improving global economic data in the second half of the period helped bolster equity market returns, with U.S. stocks posting positive results for the year.

Performance Results

Boosted by strong fourth quarter performance, CGM Advisor Targeted Equity Fund delivered healthy gains for the year. For the 12 months ended December 31, 2010, Class A shares returned 17.14%, at net asset value. The fund outperformed its benchmark, the S&P 500 Index, which returned 15.06%. It also outperformed the 15.53% average return of funds in Morningstar’s Large Growth category.

Explanation of Fund Performance

The fund was positioned throughout 2010 to benefit from global economic recovery. It remained fully invested over the 12 months, with significant concentrations in automobiles, transportation, technology, banking and mining.

The top contributors to performance during the year included Ford Motor Company, Marriott International and Peabody Energy. One of the biggest gainers, Ford also remained the fund’s largest position throughout the period. The company continues to add market share because of its innovative products and consolidation by competitors. In addition, the company has posted significant and growing earnings at the bottom of the worst recession in 30 years. Hotel giant Marriott witnessed a cyclical recovery in its global hotel operations, aiding fund results. The hotel industry, which suffered


 

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a major decline in 2009 due to the global recession, is now rebounding. Marriott is benefiting from its leadership position in this industry. Peabody Energy, a large private-sector coal company, was also a key contributor to fund performance. The company, which was added to the portfolio during the second half of the year, has a major presence in Australia, Venezuela and the United States with significant holdings in the Powder River Basin, a geologic region in southeast Montana and northeast Wyoming known for its coal deposits. Peabody Energy is benefiting from rising metallurgical and steam coal prices, which are being elevated by the strength of the global economy.

Detractors for the year included Bank of America, Goldman Sachs and Vale. Bank of America disappointed because of problems with its substantial mortgage portfolio, and we sold the stock in the third quarter. In addition, an investment in Goldman Sachs, a full-service global investment banking and securities firm, hindered performance. The company’s stock declined sharply with the announcement of Securities and Exchange Commission (SEC) fraud allegations, as well as initiation of a criminal investigation by the Department of Justice. We sold the stock because of uncertainties created by these events. Vale, the second largest mining company in the world and a leading Brazilian iron ore producer, also hampered results. The company was sold at a loss when the price of iron ore declined contrary to our expectations.

Outlook

We believe that the global economy will continue to expand in 2011, creating attractive opportunities in individual securities. Major investments include automobiles, transportation, mining and banks. As always, we will emphasize those stocks we believe offer significant potential for price appreciation.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

 

 

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CGM ADVISOR TARGETED EQUITY FUND

Investment Results through December 31, 2010

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares

December 31, 2000 through December 31, 2010

LOGO

Average Annual Returns — December 31, 2010

 

       
      1 Year      5 Years      10 Years  
   
Class A (Inception 11/27/68)           
Net Asset Value1      17.14 %       5.69 %       3.78 % 
With Maximum Sales Charge2      10.42         4.45         3.17   
   
Class B (Inception 2/28/97)           
Net Asset Value1      16.26         4.92         3.00   
With CDSC3      11.26         4.59         3.00   
   
Class C (Inception 9/1/98)           
Net Asset Value1      16.22         4.92         3.00   
With CDSC3      15.22         4.92         3.00   
   
Class Y (Inception 6/30/99)           
Net Asset Value1      17.39         6.00         4.15   
   
Comparative Performance           
S&P 500 Index4      15.06 %       2.29 %       1.41 % 
Morningstar Large Growth Fund Avg.5      15.53         2.77         0.30   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those noted. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition   % of Net
Assets as of
12/31/10		  
Common Stocks     98.3   
Short-Term Investments and Other     1.7   
Ten Largest Holdings   % of Net
Assets as of
12/31/10		  
Ford Motor Co.     12.3   
Freeport-McMoRan Copper & Gold, Inc.     6.7   
FedEx Corp.     6.0   
Deere & Co.     5.7   
Peabody Energy Corp.     5.5   
Marriott International, Inc., Class A     5.4   
Oracle Corp.     5.0   

Itau Unibanco Holding SA,

Preference ADR

     5.0   
United Parcel Service, Inc., Class B     5.0   
BHP Billiton Ltd., Sponsored ADR     4.9   
Five Largest Industries   % of Net
Assets as of
12/31/10		  
Metals & Mining     14.6   
Automobiles     12.3   
Air Freight & Logistics     10.9   
Machinery     10.6   
Commercial Banks     9.3   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense Ratio     Net Expense Ratio  
A     1.19 %      1.19 % 
B     1.94        1.94   
C     1.95        1.95   
Y     0.94        0.94   

 

 

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

4 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.

 

5 Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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HARRIS ASSOCIATES LARGE CAP VALUE FUND

Management Discussion

 

 

Managers:

Edward S. Loeb, CFA

Michael J. Mangan, CFA

Diane L. Mustain, CFA

Harris Associates L.P.

 

 

Objective:

Seeks opportunities for long-term capital growth and income

 

 

Strategy:

Invests primarily in common stock of large- and mid-cap companies in any industry

 

 

Fund Inception:

May 6, 1931

 

 

Symbols:

 

Class A   NEFOX
Class B   NEGBX
Class C   NECOX
Class Y   NEOYX

 

 

Market Conditions

After starting 2010 with a strong first quarter, markets moved erratically for several months. Europe’s sovereign debt crisis, the Gulf oil spill and fears of a second economic downturn unsettled investors. Money flowed heavily out of stocks and into bonds despite historically low yields. But aggressive action by the Federal Reserve Board and signs of renewed economic growth helped restore confidence, propelling stocks to a vigorous second-half rally.

Performance Results

For the 12 months ended December 31, 2010, Class A shares of Harris Associates Large Cap Value Fund returned 13.08% at net asset value. The fund underperformed its benchmark, the Russell 1000 Value Index, which returned 15.51%, and the 14.01% average return of funds in its peer group, Morningstar’s Large Blend category.

Explanation of Fund Performance

Stock selection in technology and an extreme overweight in the sector, which generated sub-par returns, were the primary sources of the fund’s shortfall relative to the benchmark. Hewlett-Packard was the period’s biggest disappointment as shares fell amid turmoil in the executive suite. Microsoft lagged, while Intel and Texas Instruments were gainers. We continue to favor technology and took a position in Cisco when shares faltered.

A substantial overweight versus the benchmark made the consumer discretionary sector the fund’s performance leader for the period. Standouts included cruise line operator Carnival, hotel franchiser Marriott and Starwood Hotels. All responded to unexpected gains in business and leisure travel, which brought better occupancy rates and allowed for price increases. The hotel and cruise industries have limited plans for capacity additions, improving long-term prospects. Comcast also rose, based on the potential benefits of its pending merger with NBC Universal.

Boeing and Rockwell Automation fueled good results in the industrials sector. The commercial aircraft business


 

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has recovered, bolstering Boeing’s outlook despite problems with its 787 jetliner. Rebounding manufacturing activity boosted demand for Rockwell’s automation and control systems, which help run major production line equipment. We trimmed holdings of Caterpillar as shares moved up sharply in response to a recovery in mining, which was fueled by rising commodity prices.

The energy sector detracted from relative results due to the sharp decline in Transocean Ltd., which owned the drilling platform at the core of the Gulf oil disaster. Gains in National Oilwell, Apache Corp. and Williams Companies were not enough to offset that impact. Transocean’s shares have rebounded considerably and we continue to favor the company's prospects.

In healthcare, we sold Abbott Labs, Johnson & Johnson and Boston Scientific, which freed assets for adding to medical device maker Medtronic and pharmaceutical company Baxter International when their stocks sank. Both bounced back from earlier lows. Disappointing earnings led us to eliminate retailer Best Buy. We sold supermarket companies Kroger and Safeway, whose subpar earnings reflect the competitive threat of grocery operations at Walmart and Target. (Neither is in the portfolio). We eliminated Lockheed Martin in favor of defense contractor Northrop Grumman and took profits in cereal maker General Mills.

Within the portfolio, we took profits and reduced positions among some more cyclical issues, such as Caterpillar and the hotel stocks, and built exposure to natural gas and finance, areas that have lagged or been beset by skepticism for various reasons.

Outlook

With better economic data quieting fears of a double-dip recession, our expectations for stocks remain positive. Corporate earnings are still growing. Investable funds continue to pile up on the sidelines as fear of rising interest rates and lower bond prices prompts fixed-income investors to seek alternatives. Overall, stock valuations are still quite attractive relative to our assessment of future values and stand at a level from which good returns should be possible.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

 

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HARRIS ASSOCIATES LARGE CAP VALUE FUND

Investment Results through December 31, 2010

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares6

December 31, 2000 through December 31, 2010

LOGO

Average Annual Returns — December 31, 20106

 

       
      1 Year      5 Years      10 Years  
   
Class A (Inception 5/6/31)           
Net Asset Value1      13.08 %       1.86 %       0.60 % 
With Maximum Sales Charge2      6.56         0.67         0.00   
   
Class B (Inception 9/13/93)           
Net Asset Value1      12.31         1.11         -0.15   
With CDSC3      7.31         0.72         -0.15   
   
Class C (Inception 5/1/95)           
Net Asset Value1      12.26         1.10         -0.15   
With CDSC3      11.26         1.10         -0.15   
   
Class Y (Inception 11/18/98)           
Net Asset Value1      13.47         2.23         1.01   
   
Comparative Performance           
Russell 1000 Value Index4      15.51 %       1.28 %       3.26 % 
Morningstar Large Blend Fund Avg.5      14.01         1.98         1.64   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition   % of Net
Assets as of
12/31/10		  
Common Stocks     94.1   
Short-Term Investments and Other     5.9   
Ten Largest Holdings   % of Net
Assets as of
12/31/10		  
Intel Corp.     5.4   
Carnival Corp.     5.3   
JPMorgan Chase & Co.     4.0   
Applied Materials, Inc.     3.7   
Bank of New York Mellon Corp.     3.5   
Baxter International, Inc.     3.5   
Williams Cos., Inc. (The)     3.4   
Boeing Co. (The)     3.1   
Illinois Tool Works, Inc.     3.1   
Franklin Resources, Inc.     3.0   
Five Largest Industries   % of Net
Assets as of
12/31/10		  

Semiconductors & Semiconductor Equipment

     11.2   
Hotels, Restaurants & Leisure     10.1   
Oil, Gas & Consumable Fuels     9.0   
Media     6.9   
Capital Markets     6.5   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio7     Net Expense  Ratio8  
A     1.50 %      1.30 % 
B     2.25        2.05   
C     2.25        2.05   
Y     1.25        1.05   
 

 

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

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

 

5 Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

7 Before fee waivers and/or expense reimbursements.

 

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/11. Contracts are reevaluated on an annual basis.

 

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NATIXIS INCOME DIVERSIFIED PORTFOLIO

Management Discussion

 

Subadvisors:

AEW Capital Management, L.P.

Loomis, Sayles & Company, L.P.

 

 

Objective:

Seeks current income with a secondary objective of capital appreciation

 

 

Strategy:

Focuses on fixed-income and equity securities through a diversified portfolio of complementary income-producing investment disciplines from specialized money managers

 

 

Inception Date:

November 17, 2005

 

 

Symbols:

 

Class A   IIDPX
Class C   CIDPX

 

 

Market Conditions

After a mixed first half that favored lower-risk markets, stock performance surprised many market observers with a show of strength in the face of ongoing economic weakness, most notably during the closing months of the year. In this environment, real estate investment trusts (REITs) delivered strong returns as did dividend-paying equity securities. In general, fixed-income markets, including inflation-protected securities, also turned in favorable results.

Performance Results

For the 12 months ended December 31, 2010, Class A shares of Natixis Income Diversified Portfolio returned 16.73% at net asset value. The portfolio outperformed its primary benchmark, the Barclays Capital U.S. Aggregate Bond Index, which returned 6.54%. The portfolio’s secondary benchmark returned 14.53% for the year. This benchmark is a blended, unmanaged index composed of 40% Barclays Capital U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones Select Dividend Index and 15% Barclays Capital U.S. TIPS Index. The fund’s Morningstar peer group, the Conservative Allocation category, had an average return of 10.03% for the year.

Explanation of Fund Performance

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

 

·  

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

 

·  

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

 

 

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·  

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

 

·  

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

Active Dividend Equity Segment

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

The Active Dividend Equity segment delivered a solid return for 2010. Performance was led by industrials, which represented just under 15% of the segment at the end of the year, and by utilities and financials.

Healthcare, consumer staples and utilities, which accounted for approximately 52% of the segment at the end of the year, lagged the index average but still made a positive contribution to performance.

In May, Zenith National Insurance was acquired by Fairfax Financial and was replaced in the index and the portfolio with H.J. Heinz. Five other changes occurred during the annual rebalance of the index in December.

AEW Diversified REIT Segment

REITs were strong performers for the second year in a row, in part because interest rates remained low, which drew in yield-hungry investors and those anticipating a recovery in the real estate market. Good security selection in the office, storage and hotel sectors drove this segment’s performance. Among the strongest contributors were apartment REITs Equity Residential and AvalonBay Communities as well as regional mall REIT Simon Property Group. Coresite Realty and Hudson Pacific Properties detracted from performance.

 

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

 

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AEW believes expectations for the REITs market should be tempered for the near term. These securities have been performing well despite the ailing economy and a climate of discouragingly slow job growth. Broader macroeconomic developments are likely to continue to play a role in the market’s direction, which could result in additional bouts of volatility, particularly if economic indicators remain mixed. However, as long as interest rates remain low and the economy continues to improve, REITs have the potential to continue to attract investors with a combination of generous income and relative cash flow stability.

Loomis Sayles Inflation Protected Securities Segment

Interest rates generally oscillated throughout the year. Midway through the year, an increasing perception that economic recovery was proceeding more slowly than expected aided longer-duration TIPS, which contributed the most to the segment’s performance during the period. However, during the second half of the year, TIPS with shorter durations were the performance leaders, as nominal interest rates (rates not adjusted for inflation) began to rise.

A small position in assets held in Temporary Liquidity Guarantee Program (TLGP) bonds and mortgage-backed securities was a minor detractor from performance. (TLGP bonds were created in 2008 when the FDIC increased its insurance coverage for depository accounts held at certain financial institutions and also lent its guarantee to bonds issued by financial institutions of no more than three years.)

Loomis Sayles Multi-Sector Bond Segment

When global markets began to rally on optimism over economic prospects, strong security selection within corporate bonds aided performance. The best performers included high-yielding bonds with Moody’s ratings between BB and B – notably those in the transportation, consumer cyclical, technology and communications industries. Foreign non-dollar-denominated bonds met with some headwinds during the year, but the issues Loomis Sayles selected held up well because they emphasized countries with economies linked to commodities.

In general, the segment featured investment grade bonds, which offer better quality than lower-rated bonds and higher yields than Treasuries and other top-grade securities.

Allocations to commercial mortgage-backed securities and equity-sensitive convertible bonds also added to performance. A near zero allocation to mortgage-backed securities detracted from performance toward the end of the year.

 

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NATIXIS INCOME DIVERSIFIED PORTFOLIO

Investment Results through December 31, 2010

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A shares7

November 17, 2005 (inception) to December 31, 2010

LOGO

Average Annual Total Returns — December 31, 20107

 

       
      1 Year      5 Year      Since Inception8  
   
Class A (Inception 11/17/05)           
Net Asset Value1      16.73 %       5.25 %       5.36 % 
With Maximum Sales Charge2      11.53         4.30         4.42   
   
Class C (Inception 11/17/05)           
Net Asset Value1      15.90         4.46         4.58   
With CDSC3      14.90         4.46         4.58   
   
Comparative Performance           
Barclays Capital U.S. Aggregate Bond Index4      6.54 %       5.80 %       5.90 % 
Blended Index5      14.53         5.12         5.13   
Morningstar Conservative Allocation Fund Avg.6      10.03         3.88         4.07   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those noted. For performance current to the most recent month-end, visit ga.natixis.com. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition    % of Net
Assets as of
12/31/10		  
Bonds and Notes      48.1   
Common Stocks      44.7   
Preferred Stocks      0.5   
Short-Term Investments and Other      6.7   
Largest Holdings    % of Net
Assets as of
12/31/10		  
Equities   
Simon Property Group, Inc.      2.6   
Equity Residential      1.8   
AvalonBay Communities, Inc.      1.2   
Public Storage      1.2   
Boston Properties, Inc.      1.2   
Fixed-Income   

UAL Pass Through Trust, Series

2007-1, Class A, 6.636%, 1/02/2024

      1.5   
U.S. Treasury Bond, 3.375%, 4/15/2032      1.3   
U.S. Treasury Note, 1.625%, 1/15/2015      1.3   
Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      1.2   
Toys R Us, Inc., 7.375%, 10/15/2018      1.1   
Five Largest Industries    % of Net
Assets as of
12/31/10		  
Treasuries      14.3   
REITs—Apartments      4.2   
REITs—Regional Malls      3.6   
Technology      3.3   
REITs—Diversified      3.0   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio9     Net Expense  Ratio10  
A     1.21 %      1.21 % 
C     1.96        1.96   
 

 

NOTES TO CHARTS

 

  1 Does not include a sales charge.

 

  2 Includes the maximum sales charge of 4.50%.

 

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

 

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

 

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

 

  6 Morningstar Conservative Allocation Fund Average is the average performance without sales charges of funds with similar current investment objectives, as calculated by Morningstar, Inc.

 

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

 

  8 The since-inception comparative performance figures shown were calculated from 12/1/05.

 

  9 Before fee waivers and/or expense reimbursements.

 

10 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/11. Contracts are reevaluated on an annual basis.

 

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NATIXIS U.S. DIVERSIFIED PORTFOLIO

Management Discussion

 

Subadvisors:

BlackRock Investment     Management, LLC

Harris Associates L.P.

Loomis, Sayles & Company, L.P.

 

 

Objective:

Seeks long-term growth of capital

 

 

Strategy:

Features growth and value investments through a diversified portfolio of complementary equity investment disciplines provided by specialized money managers

 

 

Inception Date:

July 7, 1994

 

 

 

Symbols:

 

Class A   NEFSX
Class B   NESBX
Class C   NECCX
Class Y   NESYX

 

 

 

Market Conditions

A recovery in U.S. equity prices that began in March of 2009 continued through the first part of 2010, although the market struggled in the summer months on concerns of a double-dip recession in the United States. However, September brought a market rally that continued into the end of the year, driven by improving economic data and several market-friendly developments, including a commitment by the Federal Reserve Board to further loosen monetary policy and a bi-partisan tax agreement reached in December. The equity market rally was led by small-cap stocks.

Performance Results

For the 12 months ended December 31, 2010, Class A shares of Natixis U.S. Diversified Portfolio returned 21.90% at net asset value. For the same period, the S&P 500 Index returned 15.06%, the S&P MidCap 400 Index returned 26.64% and the Wilshire 4500 Index returned 28.43%. The portfolio outperformed the 15.53% average return of funds in Morningstar’s Large Growth category.

Explanation of Performance

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

 

·  

BlackRock Segment seeks long-term growth of capital from companies of any size, with an emphasis on those with capitalizations greater than $2 billion.

 

·  

Harris Associates Segment invests primarily in common stocks of large- and mid-cap companies that they believe are trading at a substantial discount to their “true business value.”

 

·  

Loomis Sayles manages two segments. One invests in mid-cap growth stocks and the other focuses on small/mid-cap core stocks.

BlackRock Segment

Throughout 2010, BlackRock maintained an emphasis on capital growth from the information technology, industrials and consumer discretionary sectors. Among

 

 

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What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

consumer discretionary stocks, Las Vegas Sands was one of the segment’s top performers as the company opened successful new gaming properties in Macau and Singapore. Within industrials, China’s dominant search engine provider, Baidu, also appreciated sharply as its competitive position improved in the rapidly growing Chinese market. Salesforce.com, a pioneer in cloud computing, also surged higher on rising demand.

Mobile phone chipmaker QUALCOMM traded lower following a disappointing earnings release late in January. BlackRock sold the stock but added it back later in the year when the company appeared to have resolved some short-term issues. Palm fell sharply on poor sales expectations for its new smartphones and the stock was sold. Healthcare provider Covance was the most notable detractor after it missed analyst earnings estimates in July, although it remains in the portfolio because BlackRock believes the company is taking appropriate strategic actions to generate future growth.

Harris Associates Segment

Most of the segment’s technology holdings and several consumer discretionary and industrial stocks performed well. Standouts included cruise-ship operator Carnival, which continues to exceed analyst earnings expectations. Industrial equipment manufacturer Caterpillar benefited from strong demand, reporting better-than-expected cash generation, balance sheet improvement and good expense controls. Hotel giant Marriott International also displayed strong operating momentum. Harris Associates expects further benefits from its wide range of brands.

An exception to solid performance in the technology sector was Hewlett-Packard, which declined primarily in the second quarter over investor concerns about growth in the global technology market and a changeover in the firm’s top management. Transocean also fell in the second quarter on mounting liabilities pertaining to the oil spill associated with its Deepwater Horizon rig. Harris Associates continues to monitor the situation closely and are encouraged by strength the company exhibited in the latter half of the year, particularly

 

 

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in international areas. Medtronic’s stock lagged for the year on weaker-than-expected third-quarter results. However, unlike other medical and pharmaceutical firms, Medtronic has a diverse product base with no competition from generics, and Harris Associates expects the company to continue to lead in cardiovascular technology.

Loomis Sayles Mid Cap Growth Segment

Strong stock selection and an emphasis on technology (communications equipment, software and services) and consumer cyclicals (e-commerce and specialty retail) aided the Mid Cap Growth segment’s performance in 2010. In technology, Loomis Sayles focused on leading franchises in areas of secular growth, such as cloud computing, virtualization, e-commerce, mobility and software. Top consumer cyclical performers included online movie company Netflix, clothing companies Lululemon Athletica and Fossil and Chipotle Mexican Grill restaurants. Several machinery stocks with exposure to faster growing, emerging markets also forged ahead, including Cummins, a power equipment company, and mining equipment manufacturer Joy Global, as well as Stericycle, an international medical waste treatment company.

Materials, consumer staples and financial services detracted from performance on a sector basis. Stock-specific disappointments for the fund included Brigham Exploration, Varian Semiconductor and Alpha Natural Resources. Oil explorer Brigham was hurt by a correction in oil prices in the spring, and Loomis Sayles’ stop-loss discipline forced the sale of the stock. Varian was sold early in the year when this semiconductor processing equipment maker’s bookings decelerated. One of the largest producers of thermal coal in the United States, Alpha Natural Resources stock was sold in May on lower commodity prices.

Derivatives were employed to hedge several large positions that had experienced significant price gains. In most cases, these stocks continued to appreciate. As a result, the hedges were a drag on performance during the period.

Loomis Sayles Small/Mid Cap Core Segment

The Small/Mid Cap Core segment delivered a positive return for the period. The consumer discretionary, utilities and producer durables sectors were the best contributors. Top individual stocks included clothing designer and manufacturer Fossil, hotel franchisor and time-share operator Wyndham Worldwide and hair-care products retailer Sally Beauty Holdings. Each of these companies benefited from strong earnings growth as company-specific improvements more than offset a weak overall consumer environment for most of the year. U.S.-based electric motor manufacturer Baldor Electric received an acquisition offer from ABB and was a stand out performer. The stock was sold before the end of the period.

Weak sectors included technology and financial services, both of which were hurt by poor stock selection. Disappointments included SuperMedia, which provides advertising services to small businesses through online and yellow page directories. The stock declined despite strong results that followed its recent emergence from a major debt restructuring. Lender Processing Services, which provides technology and outsourced services to the mortgage industry, succumbed to pressure caused by concerns over its role in the mortgage foreclosure crisis. Forestar Group also proved disappointing. The stock was strong in the second half of 2009, but flat for most of 2010 due to weakness in the new home market. Lender Processing Services and Forestar were sold.

 

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NATIXIS U.S. DIVERSIFIED PORTFOLIO

Investment Results through December 31, 2010

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares8

December 31, 2000 through December 31, 2010

LOGO

Average Annual Returns — December 31, 20108

 

       
      1 Year      5 Years      10 Years  
   
Class A (Inception 7/7/94)           
Net Asset Value1      21.90 %       5.20 %       4.01 % 
With Maximum Sales Charge2      14.90         3.96         3.39   
   
Class B (Inception 7/7/94)           
Net Asset Value1      21.01         4.42         3.22   
With CDSC3      16.01         4.08         3.22   
   
Class C (Inception 7/7/94)           
Net Asset Value1      21.00         4.41         3.22   
With CDSC3      20.00         4.41         3.22   
   
Class Y (Inception 11/15/94)           
Net Asset Value1      22.21         5.51         4.45   
   
Comparative Performance           

S&P 500 Index4

      15.06 %       2.29 %       1.41 % 
S&P MidCap 400 Index5      26.64         5.74         7.16   
Wilshire 4500 Index6      28.43         5.44         6.14   
Morningstar Large Growth Fund Avg.7      15.53         2.77         0.30   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition  

% of Net

Assets as of

12/31/10

  
Common Stocks     97.2   
Short-Term Investments and Other     2.8   
Ten Largest Holdings  

% of Net

Assets as of
12/31/10

  
Intel Corp.     1.6   
Carnival Corp.     1.5   
Discover Financial Services     1.2   
JPMorgan Chase & Co.     1.2   
Boeing Co. (The)     1.1   
Applied Materials, Inc.     1.1   
Bank of New York Mellon Corp.     1.0   
Williams Cos., Inc. (The)     1.0   
Apple, Inc.     1.0   
Baxter International, Inc.     1.0   
Five Largest Industries  

% of Net

Assets as of
12/31/10

  
Machinery     6.7   
Hotels, Restaurants & Leisure     5.9   
Oil, Gas & Consumable Fuels     5.6   

Semiconductors & Semiconductor Equipment

     5.5   
Software     4.7   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio9     Net Expense  Ratio10  
A     1.56 %      1.40 % 
B     2.31        2.15   
C     2.31        2.15   
Y     1.22        1.15   
 

NOTES TO CHARTS

 

  1 Does not include a sales charge.

 

  2 Includes the maximum sales charge of 5.75%.

 

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

 

  4 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.

 

  5 S&P MidCap 400 Index is an unmanaged index that measures the performance of the mid-cap segment of the U.S. equities market.

 

  6 Wilshire 4500 Index is an unmanaged index that measures the performance of U.S. small- and mid-cap stocks.

 

  7 Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

  9 Before fee waivers and/or expense reimbursements.

 

10 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/11. Contracts are reevaluated on an annual basis.

 

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VAUGHAN NELSON SMALL CAP VALUE FUND

Management Discussion

 

 

Managers:

Chris D. Wallis, CFA

Scott J. Weber, CFA

Vaughan Nelson Investment Management, L.P.

 

 

Objective:

Seeks capital appreciation

 

 

Strategy:

Invests in small-cap companies with a focus on absolute return, using a bottom-up value-oriented investment process

 

 

Fund Inception

December 31, 1996

 

 

Symbols:

 

Class A   NEFJX
Class B   NEJBX

Class C

Class Y

   NEJCX

NEJYX

 

 

Market Conditions

After a healthy first quarter, stocks retreated in the spring of 2010 as an oil spill in the Gulf of Mexico and a euro zone debt crisis put investors in risk-avoidance mode. Confidence sank further over the summer when the economy appeared to be weakening, bringing fears of a “double-dip” recession. The Federal Reserve Board intervened by injecting huge amounts of liquidity into the monetary system, boosting investor confidence. More positive data eventually confirmed that the economy was regaining its footing, setting up a significant stock market rally later in the year.

Performance Results

For the 12 months ended December 31, 2010, Class A shares of Vaughan Nelson Small Cap Value Fund returned 23.67% at net asset value. The fund’s return was modestly lower than the 24.50% return of its benchmark, the Russell 2000 Value Index, and the 25.61% average return of the funds in its peer group, the Morningstar Small Blend category.

Explanation of Fund Performance

All sectors of the portfolio except healthcare delivered positive absolute returns, with overweight positions and strong selection among energy, industrials and materials issues aiding performance. However, the fund’s emphasis on better quality companies detracted from performance early in the year when lower quality issues drew more attention. On a sector basis, stock selection in the financials sector, combined with an underrepresentation among real estate investment trusts (REITs), held back relative performance. The fund did not participate fully when REITs rallied early in the year because we were still cautious about business conditions in the industry. We expanded holdings during the period, but the portfolio weight is still below that of the benchmark. Also in financials, we took losses in credit guarantee company Assured Guaranty amid disappointing earnings and rising credit costs. Kansas-based thrift Capitol Federal Financial also pressured performance while in the process of converting from mutual to public ownership. We eliminated this holding

 

 

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when the conversion was postponed amid deteriorating valuation and narrowing margins. Gleacher, a small investment bank, did not achieve the expected benefits of new management and consolidating and rebranding of affiliated companies. Revenues fell as costs were rising, and we moved out of the position. In healthcare, Mednax, a multi-state network of pediatric practices, held back results as new health care legislation raised questions about possible pricing pressure. We sold this holding, realizing gains over the period.

On the positive side, Wesco International, a major distributor of industrial parts and supplies, rose as sales and market share grew despite the weak economy. In energy, Brigham Exploration moved higher as it added to proven reserves in the Bakken shale oil field in the Rocky Mountains. In telecommunication services, Syniverse Technologies, whose services to telecom companies allow cell phone users to connect across networks, benefited from strong growth in mobile communications and an agreement to be purchased by private investors. The acquisition of fund holding Sybase by SAP, a leader in business management software, also boosted returns.

Outlook

Historically, investors have been willing to pay more for growth when it is hard to come by, as in the current slow recovery. Such an environment should reward strong stock selection. We continue to seek companies with solid balance sheets, the ability to raise prices and capture market share and managements that deploy capital effectively. The portfolio is slightly more biased toward cyclical trends than it was a year ago, with greater weights in industrial, materials and energy shares, both through added investment and price appreciation. After the sharp rises we have seen, stretches of volatility next year would not be surprising. Although major concerns remain unresolved, we do not expect severe pullbacks, barring unforeseeable developments.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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

 

 

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Table of Contents

VAUGHAN NELSON SMALL CAP VALUE FUND

Investment Results through December 31, 2010

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares6

December 31, 2000 through December 31, 2010

LOGO

Average Annual Returns — December 31, 20106

 

         
      1 Year      5 Years      10 Years     

Since

Inception7

  
   
Class A (Inception 12/31/96)              
Net Asset Value1      23.67 %       9.37 %       5.30 %       —   
With Maximum Sales Charge2      16.57         8.08         4.68         —   
Class B (Inception 12/31/96)              
Net Asset Value1      22.78         8.56         4.52         —   
With CDSC3      17.87         8.27         4.52         —   
Class C (Inception 12/31/96)              
Net Asset Value1      22.78         8.56         4.52         —   
With CDSC3      21.80         8.56         4.52         —   
Class Y (Inception 8/31/06)              
Net Asset Value1      24.00         —         —         9.36 % 
Comparative Performance              
Russell 2000 Value Index4      24.50 %       3.52 %       8.42 %       1.35 % 
Morningstar Small Blend Fund Avg.5      25.61         3.86         7.18         3.30   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition    % of Net
Assets as of
12/31/10		  
Common Stocks      95.0   
Exchange Traded Funds      2.8   
Short-Term Investments and Other      2.2   
Ten Largest Holdings    % of Net
Assets as of
12/31/10		  
iShares Russell 2000 Value Index Fund      2.8   
WESCO International, Inc.      2.7   
Oil States International, Inc.      2.4   
Unit Corp.      2.3   
Brigham Exploration Co.      2.3   
Silgan Holdings, Inc.      2.2   
Scotts Miracle-Gro Co. (The), Class A      2.2   
Actuant Corp., Class A      2.1   
Hanover Insurance Group, Inc. (The)      2.1   
HCC Insurance Holdings, Inc.      2.0   
Five Largest Industries    % of Net
Assets as of
12/31/10		  
Insurance      8.3   
Capital Markets      7.6   
Commercial Banks      5.7   
Oil, Gas & Consumable Fuels      5.2   
Machinery      5.2   

Portfolio holdings and asset allocations will vary.

 

 

 

Expense Ratios

as stated in the most recent prospectus

 

 

Share Class   Gross Expense  Ratio8     Net Expense  Ratio9  
A     1.51 %      1.47 % 
B     2.26        2.22   
C     2.26        2.22   
Y     1.20        1.20   
 

 

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

4 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.

 

5 Morningstar Small Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

7 The since-inception comparative performance figures shown are calculated from 9/1/06.

 

8 Before fee waivers and/or expense reimbursements.

 

9 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/11. Contracts are reevaluated on an annual basis.

 

|  22

Table of Contents

 

 

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Management Discussion

 

 

 

Managers:

Dennis G. Alff, CFA

Chris D. Wallis, CFA

Scott J. Weber, CFA

Vaughan Nelson Investment

Management, L.P.

 

 

Objective:

Seeks long-term capital appreciation

 

 

Strategy:

Invests in medium capitalization companies with a focus on absolute return, using a bottom-up, value-oriented investment process

 

 

Fund Inception:

October 31, 2008

 

 

Symbols:

 

Class A   VNVAX

Class C

Class Y

   VNVCX

VNVYX

 

 

Market Conditions

Equity markets began the year by extending 2009’s gains. However, by late spring 2010, a debt crisis in the euro zone, the Gulf oil spill and China’s efforts to restrain its growth had sent stocks lower. Anxiety grew further over the summer when the economy appeared to weaken, bringing fears of a double-dip recession. The Federal Reserve Board intervened by injecting liquidity into the economy, boosting investor confidence. When economic data began to brighten, a vigorous rally carried the stock market into the new year.

Performance Results

For the 12 months ended December 31, 2010, Class A shares of Vaughan Nelson Value Opportunity Fund returned 19.64% at net asset value. The fund underperformed both its benchmark, the Russell Midcap Value Index, which returned 24.75%, and the 22.52% average return of funds in its peer group, Morningstar’s Mid-Cap Blend category.

Explanation of Fund Performance

Disappointing stock selection in the financial sector held back results compared to the benchmark, as did the fund’s emphasis on higher quality issues when lower quality companies were market leaders early in the year. In financials, our cautious approach to real estate investment trusts (REITs) hurt comparative results. The portfolio was underexposed when REITs rallied early in 2010. We are now more comfortable with the industry’s financial outlook and have increased the fund’s weight in the group, although it remains below that of the index. We eliminated Assured Guaranty based on continuing losses and failure to gain share from weakened competitors in the municipal bond insurance market. We also sold Capitol Federal Financial, a Kansas thrift, when results were pressured by weak pricing and the company postponed its conversion from mutual to shareholder ownership. Two brokerages, MF Global and TD Ameritrade, declined with disappointing trading volumes. Both felt pressure from low rates on their net interest income, a significant revenue source. Both issues were sold. On the positive


 

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side, our purchase of Fifth Third Bancorp at a depressed valuation during 2009 was rewarded when we took substantial profits early this year.

Within the technology sector, Seagate Technology disappointed as excess inventories of disk drives put pressure on prices. We sold Seagate in favor of other opportunities. Similarly, we sold shares of Bally Technologies, choosing not to await a much-delayed replacement cycle for casino gaming machines and systems. Within the energy sector, we sold Range Resources, another exploration and production firm, whose recent acquisitions and projected increases in capital outlays were not additive to shareholder value.

With the exception of healthcare, all portfolio sectors delivered positive absolute returns. The fund benefited from owning Syniverse Holdings, which provides wireless communications services. Shares reached our target price in anticipation of the company being taken private, and we sold the stock. Industrial parts distributor Wesco International rose, thanks to growing sales and expanded market share. We added Massey Energy, the nation’s largest coal exporter, following significant price weakness over the summer. The stock rebounded with growing demand for coal. Concho Resources benefited from new production in the Permian Basin and from strategic acquisitions that appear likely to add to earnings.

Outlook

Historically, investors have been willing to pay more for growth when it is hard to come by, as in the current slow recovery. Such an environment should favor strong stock selection. We continue to seek companies with solid balance sheets, the ability to raise prices and capture market share and managements that deploy capital effectively. The portfolio is now slightly more biased toward cyclical trends, with greater weights in industrial and energy shares, both through added investment and price appreciation. After the sharp price rises we have seen, stretches of volatility next year would not be surprising. Although major concerns remain unresolved, we do not expect severe pullbacks, barring unforeseeable developments.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

 

|  24

Table of Contents

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Investment Results through December 31, 2010

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares6

October 31, 2008 (inception) through December 31, 2010

LOGO

Average Annual Returns — December 31, 20106

 

     
      1 Year      Since Inception7  
   
Class A (Inception 10/31/08)        
Net Asset Value1      19.64 %       20.88 % 
With Maximum Sales Charge2      12.76         17.62   
   
Class C (Inception 10/31/08)        
Net Asset Value1      18.85         20.01   
With CDSC3      17.85         20.01   
   
Class Y (Inception 10/31/08)        
Net Asset Value1      19.96         21.20   
   
Comparative Performance        
Russell Midcap Value Index4      24.75 %       23.44 % 
Morningstar Mid-Cap Blend Fund Avg.5      22.52         23.69   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition   % of Net
Assets as of
12/31/10		  
Common Stocks     92.3   
Exchange Traded Funds     2.4   

Short-Term Investment and Other

     5.3   
Ten Largest Holdings  

% of Net

Assets as of
12/31/10

  
Valeant Pharmaceuticals International, Inc.     2.5   

iShares Russell Midcap Value Index Fund

    2.4   

Pioneer Natural Resources Co.

     2.1   

Reinsurance Group of America, Inc., Class A

     2.1   

WESCO International, Inc.

     2.1   

Crown Holdings, Inc.

     2.1   

CBS Corp., Class B

     2.1   

XL Group PLC

     2.0   

Celanese Corp., Series A

     2.0   

Fluor Corp.

    2.0   
Five Largest Industries  

% of Net

Assets as of
12/31/10

  

Oil, Gas & Consumable Fuels

    9.3   

Machinery

     8.1   

Insurance

     7.3   

Capital Markets

     6.4   

Chemicals

    4.7   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio8     Net Expense  Ratio9  
A     4.69 %      1.40 % 
C     5.44        2.15   
Y     4.44        1.15   

 

 

 

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

4 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.

 

5 Morningstar Mid-Cap Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

7 The since-inception comparative performance figures shown are calculated from 11/1/08.

 

8 Before fee waivers and/or expense reimbursements.

 

9 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/11. Contracts are reevaluated on an annual basis.

 

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WESTPEAK ACTIVEBETA® EQUITY FUND

Management Discussion

 

 

 

Manager:

Khalid Ghayur, CFA

Stephen C. Platt, CFA

Stephen A. Komon*

Westpeak Global Advisors, L.P.

 

 

Objective:

Seeks long-term growth of capital.

 

 

Strategy:

Invests primarily in equity securities of large- and mid-cap U.S. companies.

 

 

Fund Inception:

July 30, 2010

 

 

Symbols:

Class A WABAX

Class C WABCX

Class Y WABYX

 

 

* As of January 1, 2011 Stephen A. Komon is no longer a manager of the fund.

Market Conditions

After generally breaking even during the first seven months of 2010, the U.S. stock market staged a significant rally beginning in September. The market’s strong performance was aided by a number of favorable macroeconomic factors. The Federal Reserve Board’s large-scale purchase of Treasury bonds, its so-called “quantitative easing program,” fueled the economy with liquidity, helping to produce better-than-expected results in corporate earnings. Consumer spending was robust, considering the prevailing high levels of unemployment, and retailers enjoyed strong sales volume during the holiday season. Throughout the year, investor fears of a double dip in housing prices and an upward move in inflation were unrealized.

Performance Results

For the period from the fund’s inception on July 30, 2010 through December 31, 2010, Class A shares of Westpeak ActiveBeta® Equity Fund returned 14.28% at net asset value. The fund underperformed both its benchmark, the S&P 500 Index, which returned 15.19%, and the 14.97% return of the average fund in its peer group, the Morningstar Large Blend category.

Explanation of Fund Performance

The fund is equally divided between a value-based portfolio and a momentum-based portfolio. As a result, performance for any given period depends on the relative contributions of these two market segments. Shortly after the fund was launched, both the value and momentum portfolios underperformed. In the months that followed, momentum outperformed value. Although the value component finished the year on a positive note, it could not make up the ground it lost earlier in the period.

The fund’s overweight in technology made a positive contribution to performance. Individual stock weights within the technology sector were especially helpful. For example, the fund was overweight relative to its benchmark in LSI Corporation, which outperformed. It was underweight in Cisco and Hewlett-Packard,


 

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both of which experienced earnings difficulties. The fund also benefited from its underweight position in health care stocks.

The biggest detractor from performance came from the fund’s overweight position in financial stocks. These stocks were well-represented in the value portfolio because of their inexpensive valuations relative to revenues, cash flow and book value. However, as a group, they underperformed the market during the period. The fund was also hurt by an underweight in energy stocks, especially within the momentum portfolio. Energy stocks had performed poorly during the first half of 2010, but they outperformed the broader market during the second half of the year as oil prices surged higher.

Outlook

We remain cautiously optimistic that the economy’s positive momentum will carry over into 2011. However, we are also mindful of the risks that could potentially disrupt the economic recovery. Commodity prices have already started to rise, a reminder that the liquidity that helped fuel the market’s advance in 2010 could eventually add to core inflation. Should signs of inflation cause interest rates to move higher, the housing market could be adversely affected and the stock market could come under some selling pressure. In addition, the government’s efforts to jump-start the economy have produced record levels of debt, a circumstance that now weighs on the minds of investors and legislators alike. Finally, although unemployment figures came down slightly toward the end of 2010, true progress has been elusive, and the unemployment outlook continues to present a cloudy picture for the year ahead.

Independent of the precise trajectory of the economy, the fund’s strategy will be to add incremental returns through a balance of value and momentum strategies. Both strategies are capable of providing superior returns over the long-term, but, because value and momentum stocks tend to be negatively correlated, we believe that a 50-50 combination provides the investor with diversification and a cushion of protection should either strategy fall out of investor favor in the short term.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

 

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WESTPEAK ACTIVEBETA® EQUITY FUND

Investment Results through December 31, 2010

The table comparing the fund’s performance to an index provides a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Total Returns — December 31, 20106

 

   
      Since Inception7  
   
Class A (Inception 7/30/10)     
Net Asset Value1      14.28 % 
With Maximum Sales Charge2      7.71   
   
Class C (Inception 7/30/10)     
Net Asset Value1      13.94   
With CDSC3      12.94   
   
Class Y (Inception 7/30/10)     
Net Asset Value1      14.39   
   
Comparative Performance     
S&P 500 Index4      15.19 % 
Morningstar Large Blend Fund Avg.5      14.97   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

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Fund Composition  

% of Net
Assets as of

12/31/10

  
Common Stocks     100.3   
Short-Term Investments and Other     (0.3 ) 
Ten Largest Holdings  

% of Net
Assets as of

12/31/10

  
Exxon Mobil Corp     2.8   
Apple, Inc.     2.4   
General Electric Co.     1.7   
Chevron Corp.     1.5   
Microsoft Corp.     1.4   
International Business Machines Corp.     1.3   
JPMorgan Chase & Co.     1.2   
AT&T, Inc.     1.1   
Wells Fargo & Co.     1.0   
ConocoPhillips     1.0   
Five Largest Industries   % of Net
Assets as of
12/31/10		  
Oil, Gas & Consumable Fuels     8.3   
Computers & Peripherals     5.6   
Software     4.9   
Media     3.7   
IT Services     3.4   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio8     Net Expense  Ratio9  
A     2.86 %      1.20 % 
C     3.61        1.95   
Y     2.61        0.95   

 

 

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

4 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.

 

5 Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

6 Fund performance has been increased by fee waivers and/or expense reimbursements, without which performance would have been lower.
7 The since-inception comparative performance figures shown are calculated from 8/1/10.

 

8 Before fee waivers and/or expense reimbursements.

 

9 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

 

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ADDITIONAL INFORMATION

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

Before investing, consider the fund’s investment objectives, risks, charges and other expenses. Visit ga.natixis.com or call 800-225-5478 for a prospectus and/or a summary prospectus, both of which contain this and other information. Read it carefully.

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ga.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2010 is available from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. In addition, each fund may assess a minimum balance fee of $20 on an annual basis for accounts that fall below the required minimum to establish an account. 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, 2010 through December 31, 2010. 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 the 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 or exchange fees. 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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CGM ADVISOR TARGETED EQUITY FUND   BEGINNING
ACCOUNT
VALUE
7/1/2010		     ENDING
ACCOUNT
VALUE
12/31/2010		    

EXPENSES

PAID
DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,308.50        $6.81   

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.31        $5.96   

Class B

                        

Actual

     $1,000.00        $1,303.40        $11.15   

Hypothetical (5% return before expenses)

     $1,000.00        $1,015.53        $9.75   

Class C

                        

Actual

     $1,000.00        $1,303.70        $11.15   

Hypothetical (5% return before expenses)

     $1,000.00        $1,015.53        $9.75   

Class Y

                        

Actual

     $1,000.00        $1,310.50        $5.36   

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.57        $4.69   

 

* Expenses are equal to the Fund’s annualized expense ratio: 1.17%, 1.92%, 1.92% and 0.92% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

HARRIS ASSOCIATES LARGE CAP VALUE FUND  

BEGINNING

ACCOUNT

VALUE
7/1/2010

    

ENDING
ACCOUNT

VALUE
12/31/2010

    

EXPENSES

PAID
DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,233.70        $7.32   

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.65        $6.61   

Class B

                        

Actual

     $1,000.00        $1,229.50        $11.52   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.87        $10.41   

Class C

                        

Actual

     $1,000.00        $1,228.30        $11.51   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.87        $10.41   

Class Y

                        

Actual

     $1,000.00        $1,236.40        $5.92   

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.91        $5.35   

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

 

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NATIXIS INCOME DIVERSIFIED PORTFOLIO  

BEGINNING
ACCOUNT

VALUE
7/1/2010

    

ENDING
ACCOUNT

VALUE
12/31/2010

    

EXPENSES

PAID

DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,117.50        $6.40   

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.16        $6.11   

Class C

                        

Actual

     $1,000.00        $1,113.60        $10.44   

Hypothetical (5% return before expenses)

     $1,000.00        $1,015.32        $9.96   

 

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

 

NATIXIS U.S. DIVERSIFIED PORTFOLIO  

BEGINNING
ACCOUNT

VALUE
7/1/2010

    

ENDING
ACCOUNT

VALUE
12/31/2010

    

EXPENSES

PAID

DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,290.10        $8.08   

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.15        $7.12   

Class B

                        

Actual

     $1,000.00        $1,284.90        $12.38   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.37        $10.92   

Class C

                        

Actual

     $1,000.00        $1,284.80        $12.38   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.37        $10.92   

Class Y

                        

Actual

     $1,000.00        $1,291.70        $6.64   

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.41        $5.85   

 

* Expenses are equal to the Portfolio’s annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15%, 2.15% and 1.15% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

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VAUGHAN NELSON SMALL CAP VALUE FUND  

BEGINNING
ACCOUNT

VALUE
7/1/2010

    

ENDING
ACCOUNT

VALUE
12/31/2010

    

EXPENSES

PAID
DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,268.20        $8.18   

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.00        $7.27   

Class B

                        

Actual

     $1,000.00        $1,264.00        $12.44   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.22        $11.07   

Class C

                        

Actual

     $1,000.00        $1,264.00        $12.44   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.22        $11.07   

Class Y

                        

Actual

     $1,000.00        $1,270.30        $6.75   

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.26        $6.01   

 

* Expenses are equal to the Fund’s annualized expense ratio: 1.43%, 2.18%, 2.18% and 1.18% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

VAUGHAN NELSON VALUE OPPORTUNITY FUND  

BEGINNING
ACCOUNT

VALUE
7/1/2010

    

ENDING
ACCOUNT

VALUE
12/31/2010

    

EXPENSES

PAID
DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,288.30        $8.07   

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.15        $7.12   

Class C

                        

Actual

     $1,000.00        $1,283.80        $12.38   

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.37        $10.92   

Class Y

                        

Actual

     $1,000.00        $1,289.30        $6.64   

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.41        $5.85   

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15% and 1.15%, for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

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WESTPEAK ACTIVEBETA® EQUITY FUND  

BEGINNING
ACCOUNT

VALUE
7/1/20101

    

ENDING
ACCOUNT

VALUE
12/31/2010

    

EXPENSES PAID
DURING

PERIOD
7/1/20101 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,142.80        $5.42 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.16        $6.11 * 

Class C

                        

Actual

     $1,000.00        $1,139.40        $8.80 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,015.38        $9.91 * 

Class Y

                        

Actual

     $1,000.00        $1,143.90        $4.30 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.42        $4.84 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

 

1

Fund commenced operations on July 30, 2010. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (154), divided by 365 (to reflect the partial period).

 

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BOARD APPROVAL OF THE ADVISORY AND SUB-ADVISORY AGREEMENTS FOR WESTPEAK ACTIVEBETA® EQUITY FUND

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including a newly formed fund such as the Westpeak ActiveBeta® Equity Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory and sub-advisory agreements (together, the “Agreements”) for the Fund at an in-person meeting held on June 4, 2010.

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

In considering whether to initially approve the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the following:

The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Advisers and their respective affiliates to the Fund, and the resources to be dedicated to the Fund by the Advisers and their respective affiliates. The Trustees considered the fact that both Advisers at the time were affiliates of Natixis Global Asset Management, L.P. (“Natixis US”). In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Advisers to the Fund, but also the

 

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monitoring and administrative services proposed to be provided by Natixis Advisors and its affiliates to the Fund.

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

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

Investment performance of the Fund and the Advisers. Because the Fund had not yet commenced operations, performance information for the Fund was not considered, although the Board considered the performance of other funds and accounts managed by the Advisers, and also reviewed simulated performance of an account managed in accordance with the Fund’s proposed strategies. Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the Advisers’ performance record and/or other relevant factors supported approval of the Agreements.

The costs of the services to be provided by the Advisers and their affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Fund’s share classes with the fees and expenses of comparable share classes of comparable funds identified by the Advisers and information about the advisory fees charged by Westpeak to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In evaluating the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets. In evaluating the Fund’s proposed advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund. The Trustees also noted that the Fund would have an expense cap in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by the Fund to the Advisers’ affiliates.

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the advisory and sub-advisory

 

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fees proposed to be charged to the Fund were fair and reasonable, and supported the approval of the Agreements.

Economies of scale. The Trustees considered the extent to which the Advisers may realize economies of scale or other efficiencies in managing the Fund, and whether those economies could be shared with the Fund through breakpoints in the advisory and sub-advisory fees or other means. The Trustees noted that the Fund was subject to an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreements.

The Trustees also considered other factors, including but not limited to the compliance-related resources the Advisers and their respective affiliates would provide to the Fund and the potential so-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Fund and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company would benefit from the retention of affiliated advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

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

Board Approval of Subsequent Sub-Advisory Agreement With Westpeak

Effective on January 1, 2011, a group of executives from Westpeak purchased a controlling interest in Westpeak from Natixis US (the “Transaction”). Upon completion of the Transaction and as a result of the change of control of Westpeak, the Sub-Advisory Agreement discussed above for the Fund (the “Original Sub-Advisory Agreement”) terminated. The Trustees, including the Independent Trustees, unanimously approved a new sub-advisory agreement (the “New Sub-Advisory Agreement”) for the Fund at an in-person meeting held on November 19, 2010. The New Sub-Advisory Agreement was also approved by the Fund’s sole shareholder. The New Sub-Advisory Agreement became effective upon finalization of the Transaction.

The parties and terms of the New Sub-Advisory Agreement, including the fees to be paid to Westpeak, are identical to those of the Original Sub-Advisory Agreement. The Fund’s investment objective and strategies did not change as a result of the Transaction. In approving the New Sub-Advisory Agreement, the Trustees undertook an analysis substantially similar to the analysis described above in connection with the approval of the Original Sub-Advisory Agreement and considered both the information that had been provided to them in connection with that approval as well as certain updated information. Based on their evaluation of all factors that they deemed to be material, including the factors described above in connection with the approval of the Original Sub-Advisory Agreement, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the New Sub-Advisory Agreement should be approved.

 

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Portfolio of Investments – as of December 31, 2010

CGM Advisor Targeted Equity Fund

 

    
Shares		      Description    Value (†)  
     
  Common Stocks — 98.3% of Net Assets   
   Air Freight & Logistics — 10.9%   
  630,000       FedEx Corp.    $ 58,596,300   
  675,000       United Parcel Service, Inc., Class B      48,991,500   
           
        107,587,800   
           
   Automobiles — 12.3%   
  7,200,000       Ford Motor Co.(b)      120,888,000   
           
   Chemicals — 4.8%   
  305,000       Potash Corp. of Saskatchewan, Inc.      47,223,150   
           
   Commercial Banks — 9.3%   
  2,068,768       Banco Bradesco SA, Sponsored Preference ADR      41,975,302   
  2,056,705       Itau Unibanco Holding SA, Preference ADR      49,381,487   
           
        91,356,789   
           
   Computers & Peripherals — 2.0%   
  60,000       Apple, Inc.(b)      19,353,600   
           
   Energy Equipment & Services — 4.6%   
  540,000       Schlumberger Ltd.      45,090,000   
           
   Hotels, Restaurants & Leisure — 5.4%   
  1,268,110       Marriott International, Inc., Class A      52,677,289   
           
   Machinery — 10.6%   
  680,000       Deere & Co.      56,474,000   
  1,635,000       Tata Motors Ltd., Sponsored ADR      47,970,900   
           
        104,444,900   
           
   Media — 3.6%   
  1,850,000       CBS Corp., Class B      35,242,500   
           
   Metals & Mining — 14.6%   
  520,000       BHP Billiton Ltd., Sponsored ADR      48,318,400   
  550,000       Freeport-McMoRan Copper & Gold, Inc.      66,049,500   
  400,000       Rio Tinto PLC, Sponsored ADR      28,664,000   
           
        143,031,900   
           
   Oil, Gas & Consumable Fuels — 8.9%   
  760,000       BP PLC, Sponsored ADR      33,569,200   
  840,000       Peabody Energy Corp.      53,743,200   
           
        87,312,400   
           
   Road & Rail — 2.9%   
  450,000       CSX Corp.      29,074,500   
           
   Software — 5.0%   
  1,580,000       Oracle Corp.      49,454,000   
           
   Textiles, Apparel & Luxury Goods — 3.4%   
  390,000       NIKE, Inc., Class B      33,313,800   
           
   Total Common Stocks
(Identified Cost $707,708,987)		      966,050,628   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

CGM Advisor Targeted Equity Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
     
  Short-Term Investments — 1.8%   
$ 16,500,000       American Express Credit Corp., Commercial Paper, 0.030%, 1/03/2011    $ 16,500,000   
  731,083       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $731,083 on 1/03/2011 collateralized by $695,000 Federal Home Loan Bank, 4.625% due 8/15/2012 valued at $748,863 including accrued interest (Note 2 of Notes to Financial Statements)      731,083   
           
   Total Short-Term Investments
(Identified Cost $17,231,083)		      17,231,083   
           
     
   Total Investments — 100.1%
(Identified Cost $724,940,070)(a)		      983,281,711   
   Other assets less liabilities — (0.1)%      (908,551 ) 
           
   Net Assets — 100.0%    $ 982,373,160   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $725,440,018 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 259,950,284   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (2,108,591 ) 
           
   Net unrealized appreciation    $ 257,841,693   
           
     
  (b)       Non-income producing security.   
     
  ADR       An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.     

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

CGM Advisor Targeted Equity Fund – (continued)

 

Industry Summary at December 31, 2010 (Unaudited)

 

Metals & Mining      14.6 % 
Automobiles      12.3   
Air Freight & Logistics      10.9   
Machinery      10.6   
Commercial Banks      9.3   
Oil, Gas & Consumable Fuels      8.9   
Hotels, Restaurants & Leisure      5.4   
Software      5.0   
Chemicals      4.8   
Energy Equipment & Services      4.6   
Media      3.6   
Textiles, Apparel & Luxury Goods      3.4   
Road & Rail      2.9   
Computers & Peripherals      2.0   
Short-Term Investments      1.8   
        
Total Investments      100.1   
Other assets less liabilities      (0.1 ) 
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Harris Associates Large Cap Value Fund

 

Shares      Description    Value (†)  
     
  Common Stocks — 94.1% of Net Assets   
   Aerospace & Defense — 4.9%   
  67,200       Boeing Co. (The)    $ 4,385,472   
  16,500       General Dynamics Corp.      1,170,840   
  22,000       Northrop Grumman Corp.      1,425,160   
           
        6,981,472   
           
   Air Freight & Logistics — 0.8%   
  11,700       FedEx Corp.      1,088,217   
           
   Capital Markets — 6.5%   
  163,900       Bank of New York Mellon Corp.      4,949,780   
  38,400       Franklin Resources, Inc.      4,270,464   
           
        9,220,244   
           
   Commercial Banks — 1.6%   
  73,500       Wells Fargo & Co.      2,277,765   
           
   Commercial Services & Supplies — 1.0%   
  46,700       Republic Services, Inc.      1,394,462   
           
   Communications Equipment — 1.0%   
  72,000       Cisco Systems, Inc.(b)      1,456,560   
           
   Computers & Peripherals — 2.9%   
  96,300       Hewlett-Packard Co.      4,054,230   
           
   Consumer Finance — 2.3%   
  178,850       Discover Financial Services      3,314,090   
           
   Diversified Financial Services — 5.6%   
  6,800       CME Group, Inc., Class A      2,187,900   
  134,400       JPMorgan Chase & Co.      5,701,248   
           
        7,889,148   
           
   Electrical Equipment — 2.0%   
  38,700       Rockwell Automation, Inc.      2,775,177   
           
   Energy Equipment & Services — 4.9%   
  55,900       National-Oilwell Varco, Inc.      3,759,275   
  45,200       Transocean Ltd.(b)      3,141,852   
           
        6,901,127   
           
   Food & Staples Retailing — 1.5%   
  54,700       Walgreen Co.      2,131,112   
           
   Health Care Equipment & Supplies — 5.9%   
  96,800       Baxter International, Inc.      4,900,016   
  92,000       Medtronic, Inc.      3,412,280   
           
        8,312,296   
           
   Hotels, Restaurants & Leisure — 10.1%   
  161,800       Carnival Corp.      7,460,598   
  76,300       Marriott International, Inc., Class A      3,169,502   
  19,300       McDonald’s Corp.      1,481,468   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Harris Associates Large Cap Value Fund – (continued)

 

    
Shares		      Description    Value (†)  
     
   Hotels, Restaurants & Leisure — continued   
  35,100       Starwood Hotels & Resorts Worldwide, Inc.    $ 2,133,378   
           
        14,244,946   
           
   Household Products — 1.6%   
  27,900       Colgate-Palmolive Co.      2,242,323   
           
   Independent Power Producers & Energy Traders — 0.7%   
  75,500       Calpine Corp.(b)      1,007,170   
           
   Insurance — 2.6%   
  113,500       Allstate Corp. (The)      3,618,380   
           
   IT Services — 2.7%   
  17,100       MasterCard, Inc., Class A      3,832,281   
           
   Machinery — 5.7%   
  40,500       Caterpillar, Inc.      3,793,230   
  80,900       Illinois Tool Works, Inc.      4,320,060   
           
        8,113,290   
           
   Media — 6.9%   
  200,800       Comcast Corp., Special Class A      4,178,648   
  90,000       Omnicom Group, Inc.      4,122,000   
  38,900       Walt Disney Co. (The)      1,459,139   
           
        9,759,787   
           
   Oil, Gas & Consumable Fuels — 9.0%   
  33,400       Apache Corp.      3,982,282   
  16,500       Range Resources Corp.      742,170   
  67,200       Ultra Petroleum Corp.(b)      3,210,144   
  197,200       Williams Cos., Inc. (The)      4,874,784   
           
        12,809,380   
           
   Semiconductors & Semiconductor Equipment — 11.2%   
  376,800       Applied Materials, Inc.      5,294,040   
  363,100       Intel Corp.      7,635,993   
  89,200       Texas Instruments, Inc.      2,899,000   
           
        15,829,033   
           
   Software — 1.9%   
  98,900       Microsoft Corp.      2,761,288   
           
   Textiles, Apparel & Luxury Goods — 0.8%   
  13,500       NIKE, Inc., Class B      1,153,170   
           
   Total Common Stocks
(Identified Cost $122,530,262)		      133,166,948   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Harris Associates Large Cap Value Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
     
  Short-Term Investments — 6.6%   
$ 9,372,781       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $9,372,781 on 1/03/2011, collateralized by $8,775,000 Federal National Mortgage Association, 5.250% due 8/01/2012 valued at $9,564,750 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $9,372,781)		    $ 9,372,781   
           
     
   Total Investments — 100.7%
(Identified Cost $131,903,043)(a)		      142,539,729   
   Other assets less liabilities — (0.7)%      (1,002,376 ) 
           
   Net Assets — 100.0%    $ 141,537,353   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $133,087,342 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 13,070,428   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (3,618,041 ) 
           
   Net unrealized appreciation    $ 9,452,387   
           
     
  (b)       Non-income producing security.   

Industry Summary at December 31, 2010 (Unaudited)

 

Semiconductors & Semiconductor Equipment      11.2 % 
Hotels, Restaurants & Leisure      10.1   
Oil, Gas & Consumable Fuels      9.0   
Media      6.9   
Capital Markets      6.5   
Health Care Equipment & Supplies      5.9   
Machinery      5.7   
Diversified Financial Services      5.6   
Aerospace & Defense      4.9   
Energy Equipment & Services      4.9   
Computers & Peripherals      2.9   
IT Services      2.7   
Insurance      2.6   
Consumer Finance      2.3   
Electrical Equipment      2.0   
Other Investments, less than 2% each      10.9   
Short-Term Investments      6.6   
        
Total Investments      100.7   
Other assets less liabilities      (0.7 ) 
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio

 

Principal
Amount (‡)		      Description    Value (†)  
     
  Bonds and Notes — 48.1% of Net Assets   
  Non-Convertible Bonds — 46.9%   
   ABS Home Equity — 0.2%   
$ 25,000       Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035    $ 20,819   
  50,000       JP Morgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M2, 0.731%, 6/25/2035(b)      34,730   
  25,000       Merrill Lynch Mortgage Investors, Inc., Series 2005-HE1, Class M1, 0.691%, 2/25/2036(b)      19,015   
  50,000       Option One Mortgage Loan Trust, Series 2004-3, Class M2, 0.831%, 11/25/2034(b)      38,860   
           
        113,424   
           
   ABS Other — 0.1%   
  38,191       Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A      39,318   
           
   Airlines — 1.6%   
  34,519       American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021      40,732   
  41,517       Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022      46,915   
  14,469       Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023      15,265   
  916,632       UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024      918,923   
           
        1,021,835   
           
   Automotive — 1.1%   
  115,000       Cummins, Inc., 7.125%, 3/01/2028      125,485   
  40,000       Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      37,800   
  480,000       Harley-Davidson Funding Corp., 6.800%, 6/15/2018, 144A      505,614   
           
        668,899   
           
   Banking — 2.7%   
  325,000       Bank of America Corp., 5.420%, 3/15/2017      322,059   
  200,000,000       Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)      173,280   
  105,000       Citigroup, Inc., 5.875%, 2/22/2033      97,609   
  25,000       Citigroup, Inc., 6.000%, 10/31/2033      23,404   
  20,000       Citigroup, Inc., 6.125%, 8/25/2036      19,164   
  437,254       HSBC Bank USA, Zero Coupon, 11/28/2011, 144A      413,336   
  3,339,258,780       JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)      347,231   
  100,000       Merrill Lynch & Co., Inc., 6.110%, 1/29/2037      90,267   
  100,000       Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034      93,323   
  110,000       Morgan Stanley, 5.500%, 7/24/2020      111,130   
  25,000       National Australia Bank Ltd., 6.500%, 11/05/2015, (AUD)      25,059   
           
        1,715,862   
           
   Building Materials — 1.0%   
  170,000       Masco Corp., 5.850%, 3/15/2017      169,414   
  525,000       USG Corp., 6.300%, 11/15/2016      459,375   
  10,000       USG Corp., 9.750%, 1/15/2018      9,700   
           
        638,489   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
     
   Chemicals — 0.3%   
$ 200,000       Hercules, Inc., 6.500%, 6/30/2029    $ 155,000   
  55,000       Methanex Corp., Senior Note, 6.000%, 8/15/2015      52,920   
           
        207,920   
           
   Collateralized Mortgage Obligations — 0.3%   
  46,944       Banc of America Funding Corp., Series 2005-5, Class 1A11, 5.500%, 9/25/2035      43,589   
  90,030       Master Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.971%, 12/25/2034(b)      79,753   
  47,679       Master Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.696%, 3/25/2035(b)      41,848   
  20,000       NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020      19,445   
           
        184,635   
           
   Commercial Mortgage-Backed Securities — 1.7%   
  265,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040      272,079   
  200,000       Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A      208,664   
  115,000       JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4, 5.745%, 2/12/2049(b)      122,174   
  225,000       JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049      234,014   
  115,000       LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045      121,006   
  100,000       Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.808%, 8/12/2045, 144A(b)      99,369   
           
        1,057,306   
           
   Construction Machinery — 0.6%   
  400,000       Joy Global, Inc., 6.625%, 11/15/2036      394,842   
           
   Consumer Products — 0.1%   
  75,000       Fortune Brands, Inc., 5.875%, 1/15/2036      65,737   
  20,000       Hasbro, Inc., 6.600%, 7/15/2028      20,502   
           
        86,239   
           
   Electric — 0.4%   
  120,000       Calpine Corp., 7.500%, 2/15/2021, 144A      118,200   
  100,000       EDP Finance BV, 4.900%, 10/01/2019, 144A      85,244   
  20,000       NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)      8,000   
  135,000       TXU Corp., Series Q, 6.500%, 11/15/2024      49,950   
           
        261,394   
           
   Government Guaranteed — 0.3%   
  170,000       Citigroup Funding, Inc., (FDIC insured), 1.875%, 10/22/2012      173,405   
           
   Government Owned — No Guarantee — 0.5%   
  320,000       DP World Ltd., 6.850%, 7/02/2037, 144A      294,254   
           
   Healthcare — 2.1%   
  25,000       HCA, Inc., 7.050%, 12/01/2027      21,812   
  5,000       HCA, Inc., 7.500%, 12/15/2023      4,588   
  460,000       HCA, Inc., 7.500%, 11/06/2033      423,200   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
     
   Healthcare — continued   
$ 310,000       HCA, Inc., 7.690%, 6/15/2025    $ 297,600   
  20,000       HCA, Inc., 8.360%, 4/15/2024      19,650   
  135,000       HCA, Inc., MTN, 7.580%, 9/15/2025      123,862   
  30,000       HCA, Inc., MTN, 7.750%, 7/15/2036      27,675   
  345,000       Owens & Minor, Inc., 6.350%, 4/15/2016(c)      351,241   
  60,000       Quintiles Transnational Corp., 9.500%, 12/30/2014, 144A(d)      61,500   
           
        1,331,128   
           
   Home Construction — 1.0%   
  125,000       KB Home, 6.250%, 6/15/2015      123,750   
  105,000       KB Home, 7.250%, 6/15/2018      99,750   
  80,000       Pulte Group, Inc., 6.000%, 2/15/2035      59,200   
  470,000       Pulte Group, Inc., 6.375%, 5/15/2033      354,850   
           
        637,550   
           
   Independent Energy — 0.4%   
  142,000       Pioneer Natural Resources Co., 7.200%, 1/15/2028      148,391   
  75,000       SandRidge Energy, Inc., 8.000%, 6/01/2018, 144A      76,125   
           
        224,516   
           
   Life Insurance — 0.1%   
  65,000       American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068      69,213   
           
   Local Authorities — 1.8%   
  30,000       New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)      30,700   
  235,000       New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)      242,757   
  205,000       New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)      206,333   
  375,000       Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)      396,875   
  140,000       Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)      115,314   
  165,000       Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)      137,339   
           
        1,129,318   
           
   Lodging — 0.3%   
  35,000       Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027      34,344   
  25,000       Wyndham Worldwide Corp., 5.750%, 2/01/2018      25,421   
  60,000       Wyndham Worldwide Corp., 6.000%, 12/01/2016      62,786   
  50,000       Wyndham Worldwide Corp., 7.375%, 3/01/2020      54,967   
           
        177,518   
           
   Non-Captive Consumer — 1.1%   
  505,000       American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017      407,787   
  90,000       SLM Corp., Series A, MTN, 5.000%, 4/15/2015      86,702   
  25,000       SLM Corp., Series A, MTN, 5.000%, 6/15/2018      21,249   
  87,000       SLM Corp., Series A, MTN, 5.625%, 8/01/2033      68,265   
  115,000       SLM Corp., Series A, MTN, 8.450%, 6/15/2018      119,527   
           
        703,530   
           
   Non-Captive Diversified — 1.3%   
  64,000       Ally Financial, Inc., 8.000%, 11/01/2031      68,960   
  45,000       CIT Group, Inc., 7.000%, 5/01/2017      45,113   

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
     
   Non-Captive Diversified — continued   
  800,000       General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)    $ 633,171   
   15,000       General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)      12,438   
  45,000       International Lease Finance Corp., 8.250%, 12/15/2020      46,350   
           
        806,032   
           
   Paper — 0.3%   
  205,000       Weyerhaeuser Co., 6.875%, 12/15/2033      192,342   
  5,000       Weyerhaeuser Co., 6.950%, 10/01/2027      4,910   
  5,000       Weyerhaeuser Co., 7.375%, 3/15/2032      5,054   
           
        202,306   
           
   Property & Casualty Insurance — 0.8%   
  520,000       White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A      504,983   
           
   REITs — Warehouse/Industrials — 0.1%   
  20,000       ProLogis, 6.625%, 5/15/2018      21,236   
  30,000       ProLogis, 6.875%, 3/15/2020      31,852   
           
        53,088   
           
   Retailers — 2.9%   
  226,380       CVS Pass-Through Trust, 7.507%, 1/10/2032, 144A      257,222   
  400,000       Dillard’s, Inc., 6.625%, 1/15/2018      390,000   
  205,000       Dillard’s, Inc., 7.000%, 12/01/2028      177,325   
  10,000       Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037      9,800   
  100,000       Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027      95,000   
  225,000       Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029      221,063   
  725,000       Toys R Us, Inc., 7.375%, 10/15/2018      710,500   
           
        1,860,910   
           
   Sovereigns — 1.0%   
  6,000(††)       Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)      52,013   
  500,000       Republic of Brazil, 10.250%, 1/10/2028, (BRL)      312,801   
  400,000       Republic of Brazil, 12.500%, 1/05/2016, (BRL)      279,036   
           
        643,850   
           
   Supermarket — 0.4%   
  320,000       New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      224,000   
           
   Supranational — 1.3%   
  921,000,000       European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)      89,340   
  23,000,000       Inter-American Development Bank, EMTN, 2.500%, 3/11/2013, (INR)      484,998   
  300,000,000       International Bank for Reconstruction & Development, EMTN, 2.300%, 2/26/2013, (KRW)      268,676   
           
        843,014   
           
   Technology — 2.2%   
  920,000       Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      726,800   
  390,000       Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028      310,050   
  115,000       BMC Software, Inc., 7.250%, 6/01/2018(c)      133,045   
  155,000       Corning, Inc., 5.750%, 8/15/2040      155,428   
  35,000       Motorola, Inc., 6.500%, 11/15/2028      34,449   

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
     
   Technology — continued   
$ 24,000       Motorola, Inc., 6.625%, 11/15/2037    $ 23,771   
  40,000       Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)      27,200   
  25,000       Nortel Networks Ltd., 6.875%, 9/01/2023(e)      5,500   
           
        1,416,243   
           
   Transportation Services — 0.5%   
  10,000       Erac USA Finance Co., 6.700%, 6/01/2034, 144A      10,362   
  275,000       Erac USA Finance Co., 7.000%, 10/15/2037, 144A      296,127   
           
        306,489   
           
   Treasuries — 14.3%   
  600,000       Canadian Government, 3.000%, 12/01/2015, (CAD)      619,612   
  180,000       Canadian Government, 3.500%, 6/01/2013, (CAD)(f)      188,224   
  25,000       Ireland Government Bond, 4.500%, 10/18/2018, (EUR)      25,194   
  25,000       Ireland Government Bond, 5.400%, 3/13/2025, (EUR)      23,591   
  220,000       New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)      176,817   
  446,270       U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026(g)      473,848   
  177,076       U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040(g)      187,423   
  545,313       U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025(g)      606,831   
  260,278       U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027(g)      289,254   
  653,029       U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(g)      843,989   
  225,637       U.S. Treasury Inflation Indexed Note, 1.250%, 7/15/2020(g)      231,031   
  778,852       U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015(g)      830,511   
  344,500       U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018(g)      368,642   
  285,785       U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013(g)      304,740   
  472,240       U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015(g)      511,568   
  497,120       U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014(g)      533,705   
  377,078       U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014(g)      407,568   
  292,004       U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016(g)      317,964   
  477,176       U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017(g)      531,753   
  617,276       U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016(g)      692,796   
  474,854       U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017(g)      540,406   
  237,190       U.S. Treasury Inflation Indexed Note, 3.000%, 7/15/2012(g)      251,941   
  230,000       U.S. Treasury STRIPS, Zero Coupon, 5/15/2040      59,664   
           
        9,017,072   
           
   Wireless — 1.6%   
  4,000,000       America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      298,551   
  368,000       Nextel Communications, Inc., Series C, 5.950%, 3/15/2014      361,560   
  75,000       Nextel Communications, Inc., Series D, 7.375%, 8/01/2015      75,094   
  195,000       Sprint Capital Corp., 6.875%, 11/15/2028      170,625   
  78,000       Sprint Nextel Corp., 6.000%, 12/01/2016      75,367   
           
        981,197   
           
   Wirelines — 2.5%   
  40,000       CenturyLink, Inc., Series G, 6.875%, 1/15/2028      38,541   
  95,000       CenturyLink, Inc., Series P, 7.600%, 9/15/2039      95,750   
  300,000       Embarq Corp., 7.995%, 6/01/2036      327,564   
  225,000       Frontier Communications Corp., 7.125%, 3/15/2019      231,188   

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
     
   Wirelines — continued   
$ 135,000       Level 3 Financing, Inc., 8.750%, 2/15/2017    $ 124,200   
  70,000       Level 3 Financing, Inc., 9.250%, 11/01/2014      69,475   
  160,000       Qwest Capital Funding, Inc., 6.875%, 7/15/2028      149,600   
  15,000       Qwest Capital Funding, Inc., 7.625%, 8/03/2021      14,850   
  315,000       Qwest Corp., 7.250%, 10/15/2035      308,700   
  59,000       Telecom Italia Capital SA, 6.000%, 9/30/2034      48,959   
  172,000       Telecom Italia Capital SA, 6.375%, 11/15/2033      147,627   
  30,000       Telecom Italia Capital SA, 7.200%, 7/18/2036      28,172   
  25,000       Telecom Italia Capital SA, 7.721%, 6/04/2038      24,773   
           
        1,609,399   
           
   Total Non-Convertible Bonds
(Identified Cost $28,473,022)		      29,599,178   
           
  Convertible Bonds — 1.1%   
   Technology — 1.1%   
  20,000       Ciena Corp., 0.875%, 6/15/2017      16,400   
  40,000       Ciena Corp., 3.750%, 10/15/2018, 144A      49,900   
  555,000       Intel Corp., 2.950%, 12/15/2035      552,919   
  10,000,000       Toshiba Corp., Zero Coupon, 7/21/2011, (JPY)      122,477   
           
   Total Convertible Bonds
(Identified Cost $715,937)		      741,696   
           
  Municipals — 0.1%   
   Michigan — 0.1%   
  50,000       Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)
(Identified Cost $49,997)		      35,593   
           
   Total Bonds and Notes
(Identified Cost $29,238,956)		      30,376,467   
           
     
Shares                
  Common Stocks — 44.7%   
   Aerospace & Defense — 0.7%   
  2,132       General Dynamics Corp.      151,287   
  2,072       Honeywell International, Inc.      110,148   
  2,589       Northrop Grumman Corp.      167,715   
           
        429,150   
           
   Beverages — 0.2%   
  2,378       Coca-Cola Co. (The)      156,401   
           
   Building Products — 0.0%   
  1,966       Masco Corp.      24,890   
           
   Chemicals — 1.0%   
  1,890       Eastman Chemical Co.      158,911   
  1,723       International Flavors & Fragrances, Inc.      95,782   
  2,402       PPG Industries, Inc.      201,936   

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Shares

      Description    Value (†)  
     
   Chemicals — continued   
  3,573       RPM International, Inc.    $ 78,963   
  1,978       Sensient Technologies Corp.      72,652   
           
        608,244   
           
   Commercial Banks — 1.0%   
   5,246       BancorpSouth, Inc.      83,674   
  3,392       Bank of Hawaii Corp.      160,136   
  1,946       BB&T Corp.      51,160   
  4,321       F.N.B. Corp.      42,432   
  2,979       FirstMerit Corp.      58,955   
  3,332       Trustmark Corp.      82,767   
  3,804       United Bankshares, Inc.      111,077   
  4,580       Valley National Bancorp      65,494   
           
        655,695   
           
   Commercial Services & Supplies — 0.9%   
  1,696       Avery Dennison Corp.      71,809   
  3,942       Deluxe Corp.      90,745   
  5,517       Pitney Bowes, Inc.      133,401   
  5,237       R. R. Donnelley & Sons Co.      91,490   
  2,374       Republic Services, Inc.      70,888   
  3,134       Waste Management, Inc.      115,550   
           
        573,883   
           
   Containers & Packaging — 0.2%   
  2,981       Sonoco Products Co.      100,370   
           
   Distributors — 0.2%   
  2,846       Genuine Parts Co.      146,114   
           
   Diversified Telecommunication Services — 0.7%   
  5,108       AT&T, Inc.      150,073   
  5,779       CenturyLink, Inc.      266,816   
           
        416,889   
           
   Electric Utilities — 3.0%   
  4,533       American Electric Power Co., Inc.      163,098   
  2,910       Cleco Corp.      89,512   
  4,179       DPL, Inc.      107,442   
  2,922       Edison International      112,789   
  4,157       Entergy Corp.      294,440   
  4,663       Exelon Corp.      194,167   
  5,402       FirstEnergy Corp.      199,982   
  3,422       NextEra Energy, Inc.      177,910   
  2,867       Northeast Utilities      91,400   
  4,516       Pinnacle West Capital Corp.      187,188   
  4,888       PPL Corp.      128,652   
  3,797       Unisource Energy Corp.      136,085   
           
        1,882,665   
           

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Shares

      Description    Value (†)  
     
   Electrical Equipment — 0.4%   
  2,137       Emerson Electric Co.    $ 122,172   
  2,097       Hubbell, Inc., Class B      126,093   
           
        248,265   
           
   Food & Staples Retailing — 0.1%   
   3,106       Sysco Corp.      91,316   
           
   Food Products — 0.6%   
  2,737       General Mills, Inc.      97,410   
  3,188       H.J. Heinz Co.      157,679   
  3,281       Kraft Foods, Inc., Class A      103,384   
  2,553       Sara Lee Corp.      44,703   
           
        403,176   
           
   Gas Utilities — 1.0%   
  4,302       AGL Resources, Inc.      154,227   
  2,967       New Jersey Resources Corp.      127,907   
  3,268       Nicor, Inc.      163,139   
  3,117       Oneok, Inc.      172,900   
           
        618,173   
           
   Hotels, Restaurants & Leisure — 0.9%   
  2,268       Darden Restaurants, Inc.      105,326   
  2,765       McDonald’s Corp.      212,241   
  4,000       Starwood Hotels & Resorts Worldwide, Inc.      243,120   
           
        560,687   
           
   Household Durables — 0.5%   
  4,397       Garmin Ltd.      136,263   
  375       KB Home      5,059   
  4,291       Leggett & Platt, Inc.      97,663   
  2,227       Tupperware Brands Corp.      106,161   
           
        345,146   
           
   Household Products — 0.7%   
  3,087       Clorox Co. (The)      195,345   
  3,723       Kimberly-Clark Corp.      234,698   
           
        430,043   
           
   Industrial Conglomerates — 0.1%   
  2,463       General Electric Co.      45,048   
           
   Insurance — 0.8%   
  2,284       Allstate Corp. (The)      72,814   
  3,836       Arthur J. Gallagher & Co.      111,551   
  4,424       Cincinnati Financial Corp.      140,196   
  4,757       Mercury General Corp.      204,599   
           
        529,160   
           
   Leisure Equipment & Products — 0.1%   
  2,865       Mattel, Inc.      72,857   
           

 

See accompanying notes to financial statements.

 

53  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Shares

      Description    Value (†)  
     
   Machinery — 0.7%   
  1,983       Briggs & Stratton Corp.    $ 39,045   
  1,726       Caterpillar, Inc.      161,657   
  2,053       Eaton Corp.      208,400   
           
        409,102   
           
   Media — 0.1%   
   2,276       McGraw-Hill Cos., Inc. (The)      82,869   
           
   Metals & Mining — 0.1%   
  2,467       Commercial Metals Co.      40,928   
           
   Multi Utilities — 2.9%   
  3,795       Alliant Energy Corp.      139,542   
  4,071       Black Hills Corp.      122,130   
  4,354       CenterPoint Energy, Inc.      68,445   
  3,853       Dominion Resources, Inc.      164,600   
  4,287       DTE Energy Co.      194,287   
  4,931       Integrys Energy Group, Inc.      239,203   
  4,691       NiSource, Inc.      82,655   
  2,839       OGE Energy Corp.      129,288   
  3,417       PG&E Corp.      163,469   
  3,850       Public Service Enterprise Group, Inc.      122,468   
  4,133       SCANA Corp.      167,800   
  2,672       Sempra Energy      140,227   
  4,231       TECO Energy, Inc.      75,312   
           
        1,809,426   
           
   Oil, Gas & Consumable Fuels — 0.4%   
  2,905       Chevron Corp.      265,081   
           
   Paper & Forest Products — 0.1%   
  3,405       MeadWestvaco Corp.      89,075   
           
   Personal Products — 0.1%   
  2,643       Avon Products, Inc.      76,806   
           
   Pharmaceuticals — 0.8%   
  4,346       Bristol-Myers Squibb Co.      115,082   
  4,941       Eli Lilly & Co.      173,133   
  3,747       Merck & Co., Inc.      135,042   
  3,777       Pfizer, Inc.      66,135   
           
        489,392   
           
   Real Estate Operations/Development — 0.2%   
  8,800       Brookfield Properties Corp.      154,264   
           
   REITs — Apartments — 4.2%   
  2,200       American Campus Communities, Inc.      69,872   
  6,700       AvalonBay Communities, Inc.      754,085   
  8,000       Camden Property Trust      431,840   
  6,200       Campus Crest Communities, Inc.      86,924   
  22,200       Equity Residential      1,153,290   
  1,200       Essex Property Trust, Inc.      137,064   
           
        2,633,075   
           

 

See accompanying notes to financial statements.

 

|  54

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Shares

      Description    Value (†)  
     
   REITs — Diversified — 3.0%   
  3,600       Coresite Realty Corp.    $ 49,104   
  3,000       Digital Realty Trust, Inc.      154,620   
  13,700       DuPont Fabros Technology, Inc.      291,399   
  6,100       Entertainment Properties Trust      282,125   
   13,500       Liberty Property Trust      430,920   
  8,500       Vornado Realty Trust      708,305   
           
        1,916,473   
           
   REITs — Healthcare — 2.7%   
  18,700       HCP, Inc.      687,973   
  2,800       Health Care REIT, Inc.      133,392   
  14,600       Nationwide Health Properties, Inc.      531,148   
  14,400       Omega Healthcare Investors, Inc.      323,136   
           
        1,675,649   
           
   REITs — Hotels — 1.2%   
  33,300       Host Hotels & Resorts, Inc.      595,071   
  7,600       Pebblebrook Hotel Trust      154,432   
           
        749,503   
           
   REITs — Manufactured Homes — 0.3%   
  3,000       Equity Lifestyle Properties, Inc.      167,790   
           
   REITs — Office Property — 3.0%   
  2,900       Alexandria Real Estate Equities, Inc.      212,454   
  14,600       BioMed Realty Trust, Inc.      272,290   
  8,700       Boston Properties, Inc.      749,070   
  1,500       Corporate Office Properties Trust      52,425   
  2,800       Hudson Pacific Properties, Inc.      42,140   
  11,200       Kilroy Realty Corp.      408,464   
  6,600       Piedmont Office Realty Trust, Inc., Class A      132,924   
           
        1,869,767   
           
   REITs — Regional Malls — 3.6%   
  1,100       General Growth Properties, Inc.      17,028   
  11,700       Macerich Co. (The)      554,229   
  16,600       Simon Property Group, Inc.      1,651,534   
  1,200       Taubman Centers, Inc.      60,576   
           
        2,283,367   
           
   REITs — Shopping Centers — 2.4%   
  17,200       Developers Diversified Realty Corp.      242,348   
  3,000       Excel Trust, Inc.      36,300   
  5,900       Federal Realty Investment Trust      459,787   
  23,900       Kite Realty Group Trust      129,299   
  9,400       Ramco-Gershenson Properties Trust      117,030   
  10,300       Regency Centers Corp.      435,072   
  11,800       Retail Opportunity Investments Corp.      116,938   
           
        1,536,774   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Shares

      Description    Value (†)  
     
   REITs — Single Tenant — 0.4%   
  6,600       National Retail Properties, Inc.    $ 174,900   
  1,600       Realty Income Corp.      54,720   
           
        229,620   
           
   REITs — Storage — 1.8%   
   23,000       Extra Space Storage, Inc.      400,200   
  7,400       Public Storage      750,508   
           
        1,150,708   
           
   REITs — Warehouse/Industrials — 1.2%   
  10,100       AMB Property Corp.      320,271   
  34,600       DCT Industrial Trust, Inc.      183,726   
  14,700       First Potomac Realty Trust      247,254   
           
        751,251   
           
   Specialty Retail — 0.1%   
  2,421       Home Depot, Inc. (The)      84,880   
           
   Textiles, Apparel & Luxury Goods — 0.4%   
  2,573       VF Corp.      221,741   
           
   Thrifts & Mortgage Finance — 0.5%   
  3,322       Astoria Financial Corp.      46,209   
  3,985       First Niagara Financial Group, Inc.      55,710   
  4,269       Hudson City Bancorp, Inc.      54,387   
  4,985       New York Community Bancorp, Inc.      93,967   
  4,068       People’s United Financial, Inc.      56,993   
           
        307,266   
           
   Tobacco — 1.1%   
  5,404       Altria Group, Inc.      133,046   
  4,860       Lorillard, Inc.      398,812   
  4,248       Universal Corp.      172,894   
           
        704,752   
           
   Trading Companies & Distributors — 0.3%   
  2,913       Watsco, Inc.      183,752   
           
   Total Common Stocks
(Identified Cost $29,074,504)		      28,221,483   
           
  Preferred Stocks — 0.5%   
  Non-Convertible Preferred Stocks — 0.4%   
   Banking — 0.2%   
  129       Ally Financial, Inc., Series G, 7.000%, 144A      121,917   
           
   Thrifts & Mortgage Finance — 0.2%   
  4,125       Countrywide Capital IV, 6.750%      97,763   
           
   Total Non-Convertible Preferred Stocks
(Identified Cost $105,662)		      219,680   
           

 

See accompanying notes to financial statements.

 

|  56

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

Shares

      Description    Value (†)  
  Convertible Preferred Stocks — 0.1%   
     
   Automotive — 0.1%   
  750       General Motors Co., Series B, 4.750%    $ 40,582   
           
   Capital Markets — 0.0%   
  625       Newell Financial Trust I, 5.250%      26,250   
           
   Diversified Financial Services — 0.0%   
  275       Sovereign Capital Trust IV, 4.375%      11,275   
           
   Total Convertible Preferred Stocks
(Identified Cost $72,899)		      78,107   
           
   Total Preferred Stocks
(Identified Cost $178,561)		      297,787   
           
     
Principal
Amount (‡)		                
  Short-Term Investments — 5.7%   
$ 3,608,249       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $3,608,249 on 1/03/2011 collateralized by $3,705,000 Federal National Mortgage Association, 2.000% due 9/21/2015 valued at $3,686,475 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $3,608,249)		      3,608,249   
           
     
   Total Investments — 99.0%
(Identified Cost $62,100,270)(a)		      62,503,986   
   Other assets less liabilities — 1.0%      637,936   
           
   Net Assets — 100.0%    $ 63,141,922   
           
     
  (‡)       Principal amount stated in U.S. dollars unless otherwise noted.   
  (†)       See Note 2 of Notes to Financial Statements.   
  (††)       Amount shown represents units. One unit represents a principal amount of 100.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $62,421,696 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 4,314,080   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (4,231,790 ) 
           
   Net unrealized appreciation    $ 82,290   
           
     
  (b)       Variable rate security. Rate as of December 31, 2010 is disclosed.   
  (c)       Illiquid security. At December 31, 2010, the value of these securities amounted to $527,879 or 0.8% of net assets.    
  (d)       All or a portion of interest payment is paid-in-kind.   
  (e)       The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.    

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio – (continued)

 

  (f)       All or a portion of this security is held as collateral for forward foreign currency contracts.   
  (g)       Treasury Inflation Protected Security (TIPS).   
     
  144A       Securities 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, 2010, the total value of these securities amounted to $3,716,045 or 5.9% of net assets.     
  ABS       Asset-Backed Securities   
  EMTN       Euro Medium Term Note   
  FDIC       Federal Deposit Insurance Corporation   
  GMTN       Global Medium Term Note   
  MTN       Medium Term Note   
  REITs       Real Estate Investment Trusts   
  STRIPS       Separate Trading of Registered Interest and Principal of Securities   
     
  AUD       Australian Dollar   
  BRL       Brazilian Real   
  CAD       Canadian Dollar   
  EUR       Euro   
  IDR       Indonesian Rupiah   
  INR       Indian Rupee   
  JPY       Japanese Yen   
  KRW       South Korean Won   
  MXN       Mexican Peso   
  NZD       New Zealand Dollar   
  SGD       Singapore Dollar   

At December 31, 2010, the Portfolio had the following open forward foreign currency contracts:

 

Contract

to

Buy/Sell(1)

    Delivery
Date		      Currency    Units      Notional
Value		      Unrealized
Depreciation		  
Sell      01/11/2011       Japanese Yen      8,000,000       $ 98,541       $ (2,059 ) 

(1) Counterparty is Barclays Bank PLC.

 

See accompanying notes to financial statements.

 

|  58

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Income Diversified Portfolio –(continued)

 

Industry Summary at December 31, 2010 (Unaudited)

 

Treasuries      14.3 % 
REITs - Apartments      4.2   
REITs - Regional Malls      3.6   
Technology      3.3   
REITs - Diversified      3.0   
Electric Utilities      3.0   
REITs - Office Property      3.0   
Retailers      2.9   
Banking      2.9   
Multi Utilities      2.9   
REITs - Healthcare      2.7   
Wirelines      2.5   
REITs - Shopping Centers      2.4   
Healthcare      2.1   
Other Investments, less than 2% each      40.5   
Short-Term Investments      5.7   
        
Total Investments      99.0   
Other assets less liabilities (including open forward foreign currency contracts)      1.0   
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio

 

Shares      Description    Value (†)  
     
  Common Stocks — 97.2% of Net Assets   
   Aerospace & Defense — 2.2%   
  63,040       Boeing Co. (The)    $ 4,113,991   
  24,640       General Dynamics Corp.      1,748,454   
  33,190       GeoEye, Inc.(b)      1,406,924   
  17,000       Northrop Grumman Corp.      1,101,260   
           
        8,370,629   
           
   Air Freight & Logistics — 0.6%   
  9,000       FedEx Corp.      837,090   
  19,180       United Parcel Service, Inc., Class B      1,392,084   
           
        2,229,174   
           
   Airlines — 0.5%   
  98,110       Delta Air Lines, Inc.(b)      1,236,186   
  20,130       United Continental Holdings, Inc.(b)      479,497   
           
        1,715,683   
           
   Auto Components — 1.3%   
  26,427       BorgWarner, Inc.(b)      1,912,258   
  10,680       Johnson Controls, Inc.      407,976   
  27,602       Lear Corp.(b)      2,724,593   
           
        5,044,827   
           
   Automobiles — 0.4%   
  39,660       Ford Motor Co.(b)      665,891   
  18,780       General Motors Co.(b)      692,231   
           
        1,358,122   
           
   Beverages — 0.7%   
  23,890       Coca-Cola Co. (The)      1,571,245   
  43,561       Coca-Cola Enterprises, Inc.      1,090,332   
           
        2,661,577   
           
   Biotechnology — 0.7%   
  26,206       Alexion Pharmaceuticals, Inc.(b)      2,110,893   
  16,000       Dendreon Corp.(b)      558,720   
           
        2,669,613   
           
   Building Products — 0.3%   
  22,585       Armstrong World Industries, Inc.      971,155   
           
   Capital Markets — 4.4%   
  97,406       Ares Capital Corp.      1,605,251   
  126,000       Bank of New York Mellon Corp.      3,805,200   
  29,400       Franklin Resources, Inc.      3,269,574   
  15,388       Greenhill & Co., Inc.      1,256,892   
  20,260       Jefferies Group, Inc.      539,524   
  38,707       Legg Mason, Inc.      1,403,903   
  58,023       Raymond James Financial, Inc.      1,897,352   
  27,159       T. Rowe Price Group, Inc.      1,752,842   

 

See accompanying notes to financial statements.

 

|  60

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Capital Markets — continued   
  18,709       Virtus Investment Partners, Inc.(b)    $ 848,827   
           
        16,379,365   
           
   Chemicals — 1.2%   
  13,251       CF Industries Holdings, Inc.      1,790,873   
  73,677       Chemtura Corp.(b)      1,177,358   
  9,345       Ecolab, Inc.      471,175   
  10,280       Monsanto Co.      715,899   
  8,442       Quaker Chemical Corp.      351,778   
           
        4,507,083   
           
   Commercial Banks — 0.9%   
  152,493       First Horizon National Corp.(b)      1,796,371   
  56,600       Wells Fargo & Co.      1,754,034   
           
        3,550,405   
           
   Commercial Services & Supplies — 0.9%   
  36,300       Republic Services, Inc.      1,083,918   
  35,476       Rollins, Inc.      700,651   
  17,945       Stericycle, Inc.(b)      1,452,109   
           
        3,236,678   
           
   Communications Equipment — 2.6%   
  24,938       Acme Packet, Inc.(b)      1,325,704   
  55,900       Cisco Systems, Inc.(b)      1,130,857   
  22,906       F5 Networks, Inc.(b)      2,981,445   
  10,090       Juniper Networks, Inc.(b)      372,523   
  9,857       Motorola Mobility Holdings, Inc.(b)      286,839   
  44,720       QUALCOMM, Inc.      2,213,193   
  37,207       Riverbed Technology, Inc.(b)      1,308,570   
           
        9,619,131   
           
   Computers & Peripherals — 2.9%   
  11,780       Apple, Inc.(b)      3,799,757   
  74,200       Hewlett-Packard Co.      3,123,820   
  49,159       NetApp, Inc.(b)      2,701,779   
  38,996       Western Digital Corp.(b)      1,321,964   
           
        10,947,320   
           
   Construction & Engineering — 0.2%   
  9,080       Fluor Corp.      601,641   
           
   Consumer Finance — 1.2%   
  245,109       Discover Financial Services      4,541,870   
           
   Containers & Packaging — 0.4%   
  73,854       Temple-Inland, Inc.      1,568,659   
           
   Diversified Financial Services — 3.1%   
  5,200       CME Group, Inc., Class A      1,673,100   
  10,510       IntercontinentalExchange, Inc.(b)      1,252,266   
  103,300       JPMorgan Chase & Co.      4,381,986   
  31,705       Moody’s Corp.      841,451   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Diversified Financial Services — continued   
  81,608       NASDAQ OMX Group, Inc. (The)(b)    $ 1,934,926   
  65,285       PHH Corp.(b)      1,511,348   
           
        11,595,077   
           
   Diversified Telecommunication Services — 0.2%   
  19,140       Verizon Communications, Inc.      684,829   
           
   Electrical Equipment — 1.2%   
  49,542       Babcock & Wilcox Co.(b)      1,267,780   
  47,969       Rockwell Automation, Inc.      3,439,857   
           
        4,707,637   
           
   Electronic Equipment, Instruments & Components — 0.6%   
  37,661       Amphenol Corp., Class A      1,987,748   
  21,806       Daktronics, Inc.      347,151   
           
        2,334,899   
           
   Energy Equipment & Services — 3.3%   
  49,807       Complete Production Services, Inc.(b)      1,471,797   
  16,044       Dril-Quip, Inc.(b)      1,246,940   
  13,970       Halliburton Co.      570,395   
  100,940       McDermott International, Inc.(b)      2,088,448   
  43,000       National-Oilwell Varco, Inc.      2,891,750   
  19,100       Schlumberger Ltd.      1,594,850   
  34,800       Transocean Ltd.(b)      2,418,948   
           
        12,283,128   
           
   Food & Staples Retailing — 0.8%   
  11,559       BJ’s Wholesale Club, Inc.(b)      553,676   
  42,000       Walgreen Co.      1,636,320   
  17,480       Whole Foods Market, Inc.(b)      884,313   
           
        3,074,309   
           
   Food Products — 1.9%   
  39,172       Corn Products International, Inc.      1,801,912   
  21,191       Diamond Foods, Inc.      1,126,937   
  16,569       J.M. Smucker Co. (The)      1,087,755   
  38,903       Mead Johnson Nutrition Co.      2,421,712   
  23,143       Snyders-Lance, Inc.      542,472   
           
        6,980,788   
           
   Gas Utilities — 1.1%   
  65,147       Questar Corp.      1,134,209   
  97,324       UGI Corp.      3,073,492   
           
        4,207,701   
           
   Health Care Equipment & Supplies — 3.5%   
  13,846       Alere, Inc.(b)      506,764   
  74,500       Baxter International, Inc.      3,771,190   
  76,265       CareFusion Corp.(b)      1,960,011   
  32,879       DENTSPLY International, Inc.      1,123,475   
  15,461       Edwards Lifesciences Corp.(b)      1,249,867   

 

See accompanying notes to financial statements.

 

|  62

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Health Care Equipment & Supplies — continued   
  13,368       Haemonetics Corp.(b)    $ 844,590   
  70,900       Medtronic, Inc.      2,629,681   
  44,459       NxStage Medical, Inc.(b)      1,106,140   
           
        13,191,718   
           
   Health Care Providers & Services — 1.5%   
  20,860       Express Scripts, Inc.(b)      1,127,483   
  17,662       HMS Holdings Corp.(b)      1,143,968   
  25,882       Lincare Holdings, Inc.      694,414   
  15,364       MEDNAX, Inc.(b)      1,033,844   
  58,848       WellCare Health Plans, Inc.(b)      1,778,386   
           
        5,778,095   
           
   Health Care Technology — 0.5%   
  8,445       Cerner Corp.(b)      800,079   
  26,726       SXC Health Solutions Corp.(b)      1,145,477   
           
        1,945,556   
           
   Hotels, Restaurants & Leisure — 5.9%   
  125,500       Carnival Corp.      5,786,805   
  48,408       Ctrip.com International Ltd., ADR(b)      1,958,104   
  60,822       Interval Leisure Group, Inc.(b)      981,667   
  21,275       Las Vegas Sands Corp.(b)      977,586   
  58,466       Marriott International, Inc., Class A      2,428,678   
  14,900       McDonald’s Corp.      1,143,724   
  106,596       O’Charleys, Inc.(b)      767,491   
  25,930       Starbucks Corp.      833,131   
  57,748       Starwood Hotels & Resorts Worldwide, Inc.      3,509,923   
  71,969       Wyndham Worldwide Corp.      2,156,191   
  14,495       Wynn Resorts Ltd.      1,505,161   
           
        22,048,461   
           
   Household Durables — 0.3%   
  30,000       Leggett & Platt, Inc.      682,800   
  8,190       Stanley Black & Decker, Inc.      547,665   
           
        1,230,465   
           
   Household Products — 1.0%   
  21,500       Colgate-Palmolive Co.      1,727,955   
  31,485       Procter & Gamble Co. (The)      2,025,430   
           
        3,753,385   
           
   Independent Power Producers & Energy Traders — 0.2%   
  57,700       Calpine Corp.(b)      769,718   
           
   Insurance — 1.1%   
  86,900       Allstate Corp. (The)      2,770,372   
  92,797       Old Republic International Corp.      1,264,823   
           
        4,035,195   
           
   Internet & Catalog Retail — 2.4%   
  9,155       Amazon.com, Inc.(b)      1,647,900   

 

See accompanying notes to financial statements.

 

63  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Internet & Catalog Retail — continued   
  24,837       HSN, Inc.(b)    $ 761,006   
  171,062       Liberty Media Corp. - Interactive, Class A(b)      2,697,648   
  12,925       NetFlix, Inc.(b)      2,270,922   
  4,251       Priceline.com, Inc.(b)      1,698,487   
           
        9,075,963   
           
   Internet Software & Services — 2.3%   
  34,448       Akamai Technologies, Inc.(b)      1,620,779   
  23,040       AOL, Inc.(b)      546,278   
  5,985       Baidu, Inc., Sponsored ADR(b)      577,732   
  4,090       Google, Inc., Class A(b)      2,429,337   
  72,605       IAC/InterActiveCorp(b)      2,083,764   
  18,694       OpenTable, Inc.(b)      1,317,553   
           
        8,575,443   
           
   IT Services — 2.9%   
  7,100       Accenture PLC, Class A      344,279   
  21,791       Alliance Data Systems Corp.(b)      1,547,815   
  11,210       Cognizant Technology Solutions Corp., Class A(b)      821,581   
  30,847       Fidelity National Information Services, Inc.      844,899   
  13,100       MasterCard, Inc., Class A      2,935,841   
  36,158       Teradata Corp.(b)      1,488,263   
  32,882       VeriFone Systems, Inc.(b)      1,267,930   
  39,465       Wright Express Corp.(b)      1,815,390   
           
        11,065,998   
           
   Life Sciences Tools & Services — 1.3%   
  13,860       Covance, Inc.(b)      712,543   
  15,520       Illumina, Inc.(b)      983,037   
  10,939       Mettler-Toledo International, Inc.(b)      1,654,086   
  54,554       Pharmaceutical Product Development, Inc.      1,480,595   
           
        4,830,261   
           
   Machinery — 6.7%   
  70,781       Actuant Corp., Class A      1,884,190   
  35,340       Caterpillar, Inc.      3,309,945   
  17,519       Cummins, Inc.      1,927,265   
  36,660       Danaher Corp.      1,729,252   
  62,200       Illinois Tool Works, Inc.      3,321,480   
  67,053       John Bean Technologies Corp.      1,349,777   
  37,237       Joy Global, Inc.      3,230,310   
  29,641       Kadant, Inc.(b)      698,638   
  13,343       Middleby Corp. (The)(b)      1,126,416   
  23,640       PACCAR, Inc.      1,357,409   
  14,851       Parker Hannifin Corp.      1,281,641   
  24,682       SPX Corp.      1,764,516   
  10,300       Terex Corp.(b)      319,712   
  11,457       TriMas Corp.(b)      234,410   
  24,004       WABCO Holdings, Inc.(b)      1,462,564   
           
        24,997,525   
           

 

See accompanying notes to financial statements.

 

|  64

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Marine — 0.3%   
  27,524       Kirby Corp.(b)    $ 1,212,432   
           
   Media — 3.7%   
  36,820       Ballantyne Strong, Inc.(b)      286,091   
  154,800       Comcast Corp., Special Class A      3,221,388   
  68,678       E.W. Scripps Co. (The), Class A(b)      697,082   
  70,279       Harte-Hanks, Inc.      897,463   
  29,958       Liberty Media-Starz, Series A(b)      1,991,608   
  56,191       Madison Square Garden, Inc., Class A(b)      1,448,604   
  69,200       Omnicom Group, Inc.      3,169,360   
  3,721       SuperMedia, Inc.(b)      32,410   
  53,990       Walt Disney Co. (The)      2,025,165   
           
        13,769,171   
           
   Metals & Mining — 3.1%   
  3,780       Agnico-Eagle Mines Ltd.      289,926   
  17,825       Cliffs Natural Resources, Inc.      1,390,528   
  9,395       Freeport-McMoRan Copper & Gold, Inc.      1,128,246   
  54,041       Ivanhoe Mines Ltd.(b)      1,238,620   
  54,041       Ivanhoe Mines Ltd., (Rights)(b)      75,657   
  46,485       Reliance Steel & Aluminum Co.      2,375,383   
  60,111       Stillwater Mining Co.(b)      1,283,370   
  25,902       Teck Resources Ltd., Class B      1,601,521   
  16,952       Walter Energy, Inc.      2,167,144   
           
        11,550,395   
           
   Multi Utilities — 0.1%   
  22,777       MDU Resources Group, Inc.      461,690   
           
   Multiline Retail — 1.9%   
  53,422       Big Lots, Inc.(b)      1,627,234   
  36,948       Dollar Tree, Inc.(b)      2,072,044   
  30,072       Family Dollar Stores, Inc.      1,494,879   
  15,630       Kohl’s Corp.(b)      849,334   
  19,830       Target Corp.      1,192,378   
           
        7,235,869   
           
   Oil, Gas & Consumable Fuels — 5.6%   
  20,840       Anadarko Petroleum Corp.      1,587,174   
  25,700       Apache Corp.      3,064,211   
  31,698       Brigham Exploration Co.(b)      863,454   
  67,803       Cloud Peak Energy, Inc.(b)      1,575,064   
  28,761       Concho Resources, Inc.(b)      2,521,477   
  42,962       Massey Energy Co.      2,304,911   
  63,196       QEP Resources, Inc.      2,294,647   
  14,000       Range Resources Corp.      629,720   
  51,700       Ultra Petroleum Corp.(b)      2,469,709   
  153,900       Williams Cos., Inc. (The)      3,804,408   
           
        21,114,775   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Paper & Forest Products — 0.1%   
  50,730       Wausau Paper Corp.    $ 436,785   
           
   Personal Products — 0.2%   
  72,095       Prestige Brands Holdings, Inc.(b)      861,535   
           
   Pharmaceuticals — 0.7%   
  10,560       Allergan, Inc.      725,155   
  29,358       Perrigo Co.      1,859,242   
           
        2,584,397   
           
   Professional Services — 0.6%   
  13,695       Manpower, Inc.      859,498   
  36,841       Verisk Analytics, Inc., Class A(b)      1,255,542   
           
        2,115,040   
           
   Real Estate Management/Services — 0.4%   
  68,936       CB Richard Ellis Group, Inc., Class A(b)      1,411,809   
           
   REITs — 0.8%   
  52,115       Potlatch Corp.      1,696,343   
  64,094       Weyerhaeuser Co.      1,213,300   
           
        2,909,643   
           
   Road & Rail — 0.8%   
  100,529       Avis Budget Group, Inc.(b)      1,564,231   
  91,990       Celadon Group, Inc.(b)      1,360,532   
           
        2,924,763   
           
   Semiconductors & Semiconductor Equipment — 5.5%   
  292,300       Applied Materials, Inc.      4,106,815   
  68,538       ARM Holdings PLC, Sponsored ADR      1,422,164   
  45,654       Atheros Communications, Inc.(b)      1,639,892   
  17,570       Broadcom Corp., Class A      765,174   
  32,014       Cree, Inc.(b)      2,109,402   
  281,700       Intel Corp.      5,924,151   
  12,380       Lam Research Corp.(b)      641,036   
  71,715       Micron Technology, Inc.(b)      575,154   
  68,800       Texas Instruments, Inc.      2,236,000   
  36,893       Varian Semiconductor Equipment Associates, Inc.(b)      1,363,934   
           
        20,783,722   
           
   Software — 4.7%   
  33,136       Autodesk, Inc.(b)      1,265,795   
  26,126       Blackboard, Inc.(b)      1,079,004   
  27,060       Check Point Software Technologies Ltd.(b)      1,251,795   
  29,424       Informatica Corp.(b)      1,295,539   
  23,400       MICROS Systems, Inc.(b)      1,026,324   
  120,550       Microsoft Corp.      3,365,756   
  34,100       Oracle Corp.      1,067,330   
  22,140       Red Hat, Inc.(b)      1,010,691   
  22,624       Rovi Corp.(b)      1,402,914   
  25,827       Salesforce.com, Inc.(b)      3,409,164   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

Shares      Description    Value (†)  
     
   Software — continued   
  24,957       Synopsys, Inc.(b)    $ 671,593   
  8,270       VMware, Inc., Class A(b)      735,286   
           
        17,581,191   
           
   Specialty Retail — 1.8%   
  22,591       Abercrombie & Fitch Co., Class A      1,301,920   
  6,314       AutoZone, Inc.(b)      1,721,133   
  23,020       Home Depot, Inc. (The)      807,081   
  24,937       RadioShack Corp.      461,085   
  110,949       Sally Beauty Holdings, Inc.(b)      1,612,089   
  56,312       Stein Mart, Inc.      520,886   
  10,630       Urban Outfitters, Inc.(b)      380,660   
           
        6,804,854   
           
   Textiles, Apparel & Luxury Goods — 1.9%   
  25,756       Coach, Inc.      1,424,564   
  42,276       Fossil, Inc.(b)      2,979,613   
  23,463       Lululemon Athletica, Inc.(b)      1,605,339   
  10,400       NIKE, Inc., Class B      888,368   
  7,965       Unifi, Inc.(b)      134,847   
           
        7,032,731   
           
   Thrifts & Mortgage Finance — 0.7%   
  100,542       MGIC Investment Corp.(b)      1,024,523   
  125,703       People’s United Financial, Inc.      1,761,099   
           
        2,785,622   
           
   Water Utilities — 0.8%   
  114,341       American Water Works Co., Inc.      2,891,684   
           
   Wireless Telecommunication Services — 0.3%   
  10,425       NII Holdings, Inc.(b)      465,580   
  43,412       NTELOS Holdings Corp.      826,999   
           
        1,292,579   
           
   Total Common Stocks
(Identified Cost $273,955,881)		      364,899,770   
           
     
Principal
Amount		                
  Short-Term Investments — 3.5%   
$ 13,139,372       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $13,139,372 on 1/03/2011 collateralized by $9,490,000 Federal Farm Credit Bank, 1.875% due 9/14/2015 valued at $9,537,450; $505,000 Federal National Mortgage Association, 2.000% due 9/21/2015 valued at $502,475; $3,355,000 Federal National Mortgage Association, 1.250% due 8/16/2013 valued at $3,371,775 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $13,139,372)		      13,139,372   
           

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis U.S. Diversified Portfolio – (continued)

 

        Description    Value (†)  
     
   Total Investments — 100.7%
(Identified Cost $287,095,253)(a)		    $ 378,039,142   
   Other assets less liabilities — (0.7)%      (2,639,149 ) 
           
   Net Assets — 100.0%    $ 375,399,993   
           
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $289,286,648 for federal income tax purposes was as follows:   
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 90,891,107   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (2,138,613 ) 
           
   Net unrealized appreciation    $ 88,752,494   
           
     
  (b)       Non-income producing security.   
     
  ADR       An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.   
  REITs       Real Estate Investment Trusts   

Industry Summary at December 31, 2010 (Unaudited)

 

Machinery      6.7 % 
Hotels, Restaurants & Leisure      5.9   
Oil, Gas & Consumable Fuels      5.6   
Semiconductors & Semiconductor Equipment      5.5   
Software      4.7   
Capital Markets      4.4   
Media      3.7   
Health Care Equipment & Supplies      3.5   
Energy Equipment & Services      3.3   
Diversified Financial Services      3.1   
Metals & Mining      3.1   
IT Services      2.9   
Computers & Peripherals      2.9   
Communications Equipment      2.6   
Internet & Catalog Retail      2.4   
Internet Software & Services      2.3   
Aerospace & Defense      2.2   
Other Investments, less than 2% each      32.4   
Short-Term Investments      3.5   
        
Total Investments      100.7   
Other assets less liabilities      (0.7 ) 
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Small Cap Value Fund

 

Shares      Description    Value (†)  
     
  Common Stocks — 95.0% of Net Assets   
   Aerospace & Defense — 0.6%   
  187,050       Hexcel Corp.(b)    $ 3,383,735   
           
   Auto Components — 1.6%   
  200,775       Tenneco, Inc.(b)      8,263,899   
           
   Building Products — 1.5%   
  107,987       A.O. Smith Corp.      4,112,145   
  83,425       Lennox International, Inc.      3,945,168   
           
        8,057,313   
           
   Capital Markets — 7.6%   
  796,100       Apollo Investment Corp.      8,812,827   
  607,800       Ares Capital Corp.      10,016,544   
  418,150       Fifth Street Finance Corp.      5,076,341   
  112,875       KBW, Inc.      3,151,470   
  652,975       MF Global Holdings Ltd.(b)      5,458,871   
  219,000       Waddell & Reed Financial, Inc., Class A      7,728,510   
           
        40,244,563   
           
   Chemicals — 4.8%   
  128,600       Kraton Performance Polymers, Inc.(b)      3,980,170   
  229,250       Scotts Miracle-Gro Co. (The), Class A      11,639,022   
  263,900       Sensient Technologies Corp.      9,693,047   
           
        25,312,239   
           
   Commercial Banks — 5.7%   
  570,925       Associated Banc-Corp      8,649,514   
  106,800       Bank of Hawaii Corp.      5,042,028   
  383,505       FirstMerit Corp.      7,589,564   
  230,375       Prosperity Bancshares, Inc.      9,049,130   
           
        30,330,236   
           
   Commercial Services & Supplies — 4.2%   
  93,125       Consolidated Graphics, Inc.(b)      4,510,044   
  351,075       Corrections Corp. of America(b)      8,797,939   
  99,175       McGrath Rentcorp      2,600,369   
  225,778       Waste Connections, Inc.      6,215,668   
           
        22,124,020   
           
   Computers & Peripherals — 1.2%   
  374,375       QLogic Corp.(b)      6,371,863   
           
   Construction & Engineering — 0.9%   
  236,125       MYR Group, Inc.(b)      4,958,625   
           
   Consumer Finance — 1.3%   
  230,975       First Cash Financial Services, Inc.(b)      7,157,915   
           
   Containers & Packaging — 4.2%   
  417,625       Packaging Corp. of America      10,791,430   
  326,950       Silgan Holdings, Inc.      11,708,079   
           
        22,499,509   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Small Cap Value Fund – (continued)

 

Shares      Description    Value (†)  
     
   Electric Utilities — 3.6%   
  281,725       Cleco Corp.    $ 8,665,861   
  378,925       El Paso Electric Co.(b)      10,431,805   
           
        19,097,666   
           
   Electrical Equipment — 2.4%   
  181,600       EnerSys(b)      5,832,992   
  363,575       GrafTech International Ltd.(b)      7,213,328   
           
        13,046,320   
           
   Energy Equipment & Services — 4.7%   
  197,050       Oil States International, Inc.(b)      12,628,934   
  263,625       Unit Corp.(b)      12,253,290   
           
        24,882,224   
           
   Health Care Equipment & Supplies — 2.4%   
  150,400       Teleflex, Inc.      8,093,024   
  117,500       West Pharmaceutical Services, Inc.      4,841,000   
           
        12,934,024   
           
   Insurance — 8.3%   
  159,250       Aspen Insurance Holdings Ltd.      4,557,735   
  1,439,100       CNO Financial Group, Inc.(b)      9,757,098   
  240,950       Hanover Insurance Group, Inc. (The)      11,257,184   
  376,337       HCC Insurance Holdings, Inc.      10,891,193   
  295,625       Tower Group, Inc.      7,562,087   
           
        44,025,297   
           
   IT Services — 3.2%   
  174,375       CACI International, Inc., Class A(b)      9,311,625   
  364,750       SRA International, Inc., Class A(b)      7,459,138   
           
        16,770,763   
           
   Machinery — 5.2%   
  422,875       Actuant Corp., Class A      11,256,932   
  92,550       Lincoln Electric Holdings, Inc.      6,040,739   
  114,500       Valmont Industries, Inc.      10,159,585   
           
        27,457,256   
           
   Media — 2.8%   
  171,400       John Wiley & Sons, Inc., Class A      7,754,136   
  223,675       Valassis Communications, Inc.(b)      7,235,886   
           
        14,990,022   
           
   Metals & Mining — 1.7%   
  625,775       Thompson Creek Metals Co., Inc.(b)      9,211,408   
           
   Multi-Utilities — 1.2%   
  227,925       NorthWestern Corp.      6,571,078   
           
   Oil, Gas & Consumable Fuels — 5.2%   
  442,800       Brigham Exploration Co.(b)      12,061,872   
  362,289       Oasis Petroleum, Inc.(b)      9,825,278   
  400,800       Resolute Energy Corp.(b)      5,915,808   
           
        27,802,958   
           

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Small Cap Value Fund – (continued)

 

    
Shares		      Description    Value (†)  
     
   Paper & Forest Products — 0.7%   
  398,550       Louisiana-Pacific Corp.(b)    $ 3,770,283   
           
   Professional Services — 2.0%   
  207,200       Towers Watson & Co., Class A      10,786,832   
           
   REITs — Apartments — 0.8%   
  64,775       Mid-America Apartment Communities, Inc.      4,112,565   
           
   REITs — Hotels — 2.6%   
  576,058       DiamondRock Hospitality Co.(b)      6,912,696   
  254,525       LaSalle Hotel Properties      6,719,460   
           
        13,632,156   
           
   REITs — Office Property — 2.4%   
  278,750       Government Properties Income Trust      7,467,712   
  145,350       Kilroy Realty Corp.      5,300,915   
           
        12,768,627   
           
   Semiconductors & Semiconductor Equipment — 2.5%   
  111,650       Silicon Laboratories, Inc.(b)      5,138,133   
  145,100       Skyworks Solutions, Inc.(b)      4,154,213   
  328,550       TriQuint Semiconductor, Inc.(b)      3,840,750   
           
        13,133,096   
           
   Software — 0.8%   
  199,300       Tyler Technologies, Inc.(b)      4,137,468   
           
   Specialty Retail — 1.0%   
  251,947       Aaron’s, Inc.      5,137,199   
           
   Textiles, Apparel & Luxury Goods — 3.4%   
  155,900       Phillips-Van Heusen Corp.      9,823,259   
  255,425       Wolverine World Wide, Inc.      8,142,949   
           
        17,966,208   
           
   Thrifts & Mortgage Finance — 1.8%   
  556,175       Washington Federal, Inc.      9,410,481   
           
   Trading Companies & Distributors — 2.7%   
  271,100       WESCO International, Inc.(b)      14,314,080   
           
   Total Common Stocks
(Identified Cost $401,172,053)		      504,661,928   
           
     
  Exchange Traded Funds — 2.8%   
  208,225       iShares Russell 2000 Value Index Fund
(Identified Cost $13,027,599)		      14,802,715   
           
     

Principal

Amount

                
  Short-Term Investments — 1.9%   
$ 10,484,963       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $10,484,963 on 1/03/2011 collateralized by $9,815,000 Federal National Mortgage Association, 5.250% due 8/1/2012 valued at $10,698,350 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $10,484,963)		      10,484,963   
           

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Small Cap Value Fund – (continued)

 

        Description    Value (†)  
   Total Investments — 99.7%
(Identified Cost $424,684,615)(a)		    $ 529,949,606   
   Other assets less liabilities — 0.3%      1,397,786   
           
   Net Assets — 100.0%    $ 531,347,392   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $428,552,032 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 101,821,210   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (423,636 ) 
           
   Net unrealized appreciation    $ 101,397,574   
           
     
  (b)       Non-income producing security.   
     
  REITs       Real Estate Investment Trusts   

Industry Summary at December 31, 2010 (Unaudited)

 

Insurance      8.3 % 
Capital Markets      7.6   
Commercial Banks      5.7   
Oil, Gas & Consumable Fuels      5.2   
Machinery      5.2   
Chemicals      4.8   
Energy Equipment & Services      4.7   
Containers & Packaging      4.2   
Commercial Services & Supplies      4.2   
Electric Utilities      3.6   
Textiles, Apparel & Luxury Goods      3.4   
IT Services      3.2   
Media      2.8   
Exchange Traded Funds      2.8   
Trading Companies & Distributors      2.7   
REITs-Hotels      2.6   
Semiconductors & Semiconductor Equipment      2.5   
Electrical Equipment      2.4   
Health Care Equipment & Supplies      2.4   
REITs-Office Property      2.4   
Professional Services      2.0   
Other Investments, less than 2% each      15.1   
Short-Term Investments      1.9   
        
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

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Value Opportunity Fund

 

Shares      Description    Value (†)  
     
  Common Stocks — 92.3% of Net Assets   
   Auto Components — 2.0%   
  6,600       Autoliv, Inc.    $ 521,004   
  12,750       Tenneco, Inc.(b)      524,790   
           
        1,045,794   
           
   Beverages — 1.3%   
  12,750       Hansen Natural Corp.(b)      666,570   
           
   Capital Markets — 6.4%   
  9,225       Affiliated Managers Group, Inc.(b)      915,304   
  67,300       Apollo Investment Corp.      745,011   
  51,450       Ares Capital Corp.      847,896   
  35,650       Invesco Ltd.      857,739   
           
        3,365,950   
           
   Chemicals — 4.7%   
  25,575       Celanese Corp., Series A      1,052,923   
  6,050       FMC Corp.      483,334   
  16,675       International Flavors & Fragrances, Inc.      926,963   
           
        2,463,220   
           
   Commercial Banks — 2.1%   
  36,575       Associated Banc-Corp      554,111   
  37,300       Fifth Third Bancorp      547,564   
           
        1,101,675   
           
   Communications Equipment — 0.7%   
  9,975       Polycom, Inc.(b)      388,826   
           
   Construction & Engineering — 2.0%   
  15,650       Fluor Corp.      1,036,969   
           
   Containers & Packaging — 3.9%   
  33,475       Crown Holdings, Inc.(b)      1,117,396   
  37,575       Packaging Corp. of America      970,938   
           
        2,088,334   
           
   Electrical Equipment — 3.3%   
  15,075       Cooper Industries PLC      878,722   
  25,575       GrafTech International Ltd.(b)      507,408   
  6,225       Hubbell, Inc., Class B      374,309   
           
        1,760,439   
           
   Energy Equipment & Services — 3.4%   
  19,725       Dresser-Rand Group, Inc.(b)      840,088   
  27,075       Superior Energy Services, Inc.(b)      947,354   
           
        1,787,442   
           
   Food Products — 2.7%   
  11,725       J.M. Smucker Co. (The)      769,746   
  10,500       Ralcorp Holdings, Inc.(b)      682,605   
           
        1,452,351   
           

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Value Opportunity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Household Durables — 1.3%   
  22,525       Jarden Corp.    $ 695,347   
           
   Insurance — 7.3%   
  24,300       Allstate Corp. (The)      774,684   
  20,950       Reinsurance Group of America, Inc., Class A      1,125,224   
  25,300       Willis Group Holdings PLC      876,139   
  48,575       XL Group PLC      1,059,907   
           
        3,835,954   
           
   Life Sciences Tools & Services — 1.1%   
  13,775       Agilent Technologies, Inc.(b)      570,698   
           
   Machinery — 8.1%   
  4,300       Eaton Corp.      436,493   
  8,475       Flowserve Corp.      1,010,389   
  21,975       Ingersoll-Rand PLC      1,034,803   
  13,375       Kennametal, Inc.      527,778   
  10,225       SPX Corp.      730,985   
  8,475       WABCO Holdings, Inc.(b)      516,382   
           
        4,256,830   
           
   Media — 3.4%   
  57,325       CBS Corp., Class B      1,092,041   
  15,650       Omnicom Group, Inc.      716,770   
           
        1,808,811   
           
   Metals & Mining — 1.3%   
  5,300       Walter Energy, Inc.      677,552   
           
   Multi Utilities — 4.3%   
  41,975       CMS Energy Corp.      780,735   
  13,300       PG&E Corp.      636,272   
  14,325       Wisconsin Energy Corp.      843,170   
           
        2,260,177   
           
   Multiline Retail — 2.0%   
  22,250       Big Lots, Inc.(b)      677,735   
  12,275       Dollar General Corp.(b)      376,474   
           
        1,054,209   
           
   Oil, Gas & Consumable Fuels — 9.3%   
  11,525       Cimarex Energy Co.      1,020,308   
  4,375       Concho Resources, Inc.(b)      383,556   
  56,025       El Paso Corp.      770,904   
  12,000       Massey Energy Co.      643,800   
  11,250       Noble Energy, Inc.      968,400   
  13,025       Pioneer Natural Resources Co.      1,130,831   
           
        4,917,799   
           
   Pharmaceuticals — 2.5%   
  46,911       Valeant Pharmaceuticals International, Inc.      1,327,112   
           
   Professional Services — 1.3%   
  12,850       Towers Watson & Co., Class A      668,971   
           

 

See accompanying notes to financial statements.

 

|  74

Table of Contents

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Value Opportunity Fund – (continued)

 

Shares      Description    Value (†)  
     
   REITs — Apartments — 2.9%   
  26,900       Apartment Investment & Management Co., Class A    $ 695,096   
  15,350       Camden Property Trust      828,593   
           
        1,523,689   
           
   REITs — Hotels — 1.9%   
  55,923       Host Hotels & Resorts, Inc.      999,344   
           
   REITs — Office Property — 1.4%   
  21,500       Corporate Office Properties Trust      751,425   
           
   Semiconductors & Semiconductor Equipment — 2.7%   
  22,800       Altera Corp.      811,224   
  21,500       Skyworks Solutions, Inc.(b)      615,545   
           
        1,426,769   
           
   Software — 3.4%   
  13,775       Adobe Systems, Inc.(b)      423,995   
  7,925       Intuit, Inc.(b)      390,703   
  55,275       Nuance Communications, Inc.(b)      1,004,899   
           
        1,819,597   
           
   Specialty Retail — 0.9%   
  23,000       Collective Brands, Inc.(b)      485,300   
           
   Textiles, Apparel & Luxury Goods — 2.6%   
  11,725       Phillips-Van Heusen Corp.      738,792   
  7,450       VF Corp.      642,041   
           
        1,380,833   
           
   Trading Companies & Distributors — 2.1%   
  21,225       WESCO International, Inc.(b)      1,120,680   
           
   Total Common Stocks
(Identified Cost $40,884,506)		      48,738,667   
           
     
  Exchange Traded Funds — 2.4%   
  28,375       iShares Russell Midcap Value Index Fund
(Identified Cost $1,148,421)		      1,277,159   
           
     
Principal
Amount		                
  Short-Term Investments — 3.5%   
$ 1,818,995       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $1,818,995 on 1/03/2011 collateralized by $1,860,000 Federal Home Loan Bank Discount Note due 7/15/2011 valued at $1,857,675 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $1,818,995)		      1,818,995   
           
     

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Vaughan Nelson Value Opportunity Fund – (continued)

 

        Description        
     
   Total Investments — 98.2%
(Identified Cost $43,851,922)(a)		    $ 51,834,821   
   Other assets less liabilities — 1.8%      971,948   
           
   Net Assets — 100.0%    $ 52,806,769   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $43,926,429 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 8,093,615   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (185,223 ) 
           
   Net unrealized appreciation    $ 7,908,392   
           
     
  (b)       Non-income producing security.   
     
  REITs       Real Estate Investment Trusts   

Industry Summary at December 31, 2010 (Unaudited)

 

Oil, Gas & Consumable Fuels      9.3 % 
Machinery      8.1   
Insurance      7.3   
Capital Markets      6.4   
Chemicals      4.7   
Multi Utilities      4.3   
Containers & Packaging      3.9   
Software      3.4   
Media      3.4   
Energy Equipment & Services      3.4   
Electrical Equipment      3.3   
REITs - Apartments      2.9   
Food Products      2.7   
Semiconductors & Semiconductor Equipment      2.7   
Textiles, Apparel & Luxury Goods      2.6   
Pharmaceuticals      2.5   
Exchange Traded Funds      2.4   
Trading Companies & Distributors      2.1   
Commercial Banks      2.1   
Multiline Retail      2.0   
Auto Components      2.0   
Construction & Engineering      2.0   
Other Investments, less than 2% each      11.2   
Short-Term Investments      3.5   
        
Total Investments      98.2   
Other assets less liabilities      1.8   
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

|  76

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund

 

Shares      Description    Value (†)  
     
  Common Stocks — 100.3% of Net Assets   
   Aerospace & Defense — 2.5%   
  309       Boeing Co. (The)    $ 20,165   
  237       General Dynamics Corp.      16,818   
  143       Goodrich Corp.      12,594   
  295       Honeywell International, Inc.      15,682   
  306       L-3 Communications Holdings, Inc.      21,570   
  125       Northrop Grumman Corp.      8,097   
  81       Precision Castparts Corp.      11,276   
  323       Raytheon Co.      14,968   
  255       United Technologies Corp.      20,074   
           
        141,244   
           
   Air Freight & Logistics — 0.7%   
  411       Expeditors International of Washington, Inc.      22,440   
  286       United Parcel Service, Inc., Class B      20,758   
           
        43,198   
           
   Airlines — 0.6%   
  2,674       Southwest Airlines Co.      34,709   
           
   Auto Components — 0.5%   
  866       Goodyear Tire & Rubber Co. (The)(b)      10,262   
  467       Johnson Controls, Inc.      17,839   
           
        28,101   
           
   Automobiles — 1.3%   
  3,082       Ford Motor Co.(b)      51,747   
  599       Harley-Davidson, Inc.      20,767   
           
        72,514   
           
   Beverages — 2.1%   
  50       Brown-Forman Corp., Class B      3,481   
  528       Coca-Cola Co. (The)      34,727   
  1,277       Coca-Cola Enterprises, Inc.      31,963   
  831       Constellation Brands, Inc., Class A(b)      18,407   
  426       Dr Pepper Snapple Group, Inc.      14,978   
  265       PepsiCo, Inc.      17,312   
           
        120,868   
           
   Biotechnology — 0.7%   
  198       Amgen, Inc.(b)      10,870   
  149       Biogen Idec, Inc.(b)      9,991   
  289       Cephalon, Inc.(b)      17,837   
           
        38,698   
           
   Building Products — 0.4%   
  1,873       Masco Corp.      23,712   
           
   Capital Markets — 1.5%   
  356       Ameriprise Financial, Inc.      20,488   
  219       Goldman Sachs Group, Inc. (The)      36,827   
  963       Morgan Stanley      26,203   

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Capital Markets — continued   
  102       State Street Corp.    $ 4,727   
           
        88,245   
           
   Chemicals — 1.3%   
  294       Dow Chemical Co. (The)      10,037   
  541       E.I. Du Pont de Nemours & Co.      26,985   
  159       Eastman Chemical Co.      13,369   
  81       FMC Corp.      6,471   
  105       International Flavors & Fragrances, Inc.      5,837   
  173       PPG Industries, Inc.      14,544   
           
        77,243   
           
   Commercial Banks — 2.7%   
  164       Comerica, Inc.      6,927   
  808       Fifth Third Bancorp      11,861   
  2,750       Huntington Bancshares, Inc.      18,893   
  940       KeyCorp      8,319   
  45       M&T Bank Corp.      3,917   
  478       PNC Financial Services Group, Inc.      29,024   
  139       SunTrust Banks, Inc.      4,102   
  1,932       Wells Fargo & Co.      59,873   
  594       Zions Bancorporation      14,393   
           
        157,309   
           
   Commercial Services & Supplies — 0.9%   
  319       Avery Dennison Corp.      13,506   
  188       Cintas Corp.      5,257   
  1,255       R. R. Donnelley & Sons Co.      21,925   
  103       Stericycle, Inc.(b)      8,335   
           
        49,023   
           
   Communications Equipment — 1.2%   
  1,107       Cisco Systems, Inc.(b)      22,395   
  66       Harris Corp.      2,990   
  1,755       JDS Uniphase Corp.(b)      25,412   
  1,878       Motorola, Inc.(b)      17,033   
           
        67,830   
           
   Computers & Peripherals — 5.6%   
  422       Apple, Inc.(b)      136,120   
  664       Dell, Inc.(b)      8,997   
  575       EMC Corp.(b)      13,168   
  585       Hewlett-Packard Co.      24,629   
  955       Lexmark International, Inc., Class A(b)      33,253   
  515       NetApp, Inc.(b)      28,304   
  942       SanDisk Corp.(b)      46,968   
  805       Western Digital Corp.(b)      27,290   
           
        318,729   
           

 

See accompanying notes to financial statements.

 

|  78

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Construction & Engineering — 0.2%   
  119       Fluor Corp.    $ 7,885   
  105       Jacobs Engineering Group, Inc.(b)      4,814   
           
        12,699   
           
   Consumer Finance — 0.8%   
  609       Capital One Financial Corp.      25,919   
  170       Discover Financial Services      3,150   
  1,232       SLM Corp.(b)      15,511   
           
        44,580   
           
   Containers & Packaging — 0.7%   
  190       Ball Corp.      12,930   
  182       Bemis Co., Inc.      5,944   
  734       Sealed Air Corp.      18,680   
           
        37,554   
           
   Distributors — 0.1%   
  71       Genuine Parts Co.      3,645   
           
   Diversified Consumer Services — 0.8%   
  592       Apollo Group, Inc., Class A(b)      23,378   
  90       DeVry, Inc.      4,318   
  1,737       H&R Block, Inc.      20,688   
           
        48,384   
           
   Diversified Financial Services — 2.3%   
  2,734       Bank of America Corp.      36,472   
  4,377       Citigroup, Inc.(b)      20,703   
  1,612       JPMorgan Chase & Co.      68,381   
  150       NYSE Euronext      4,497   
           
        130,053   
           
   Diversified Telecommunication Services — 2.7%   
  2,167       AT&T, Inc.      63,667   
  3,512       Qwest Communications International, Inc.      26,726   
  1,528       Verizon Communications, Inc.      54,672   
  727       Windstream Corp.      10,134   
           
        155,199   
           
   Electric Utilities — 0.3%   
  173       FirstEnergy Corp.      6,404   
  178       Northeast Utilities      5,675   
  205       Pepco Holdings, Inc.      3,741   
           
        15,820   
           
   Electrical Equipment — 0.8%   
  351       Emerson Electric Co.      20,067   
  253       Rockwell Automation, Inc.      18,143   
  85       Roper Industries, Inc.      6,496   
           
        44,706   
           

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Energy Equipment & Services — 1.8%   
  175       FMC Technologies, Inc.(b)    $ 15,559   
  188       Halliburton Co.      7,676   
  798       Nabors Industries Ltd.(b)      18,721   
  431       National-Oilwell Varco, Inc.      28,985   
  378       Schlumberger Ltd.      31,563   
           
        102,504   
           
   Food & Staples Retailing — 1.4%   
  601       Safeway, Inc.      13,517   
  2,235       SUPERVALU, Inc.      21,523   
  274       Wal-Mart Stores, Inc.      14,777   
  119       Walgreen Co.      4,636   
  468       Whole Foods Market, Inc.(b)      23,676   
           
        78,129   
           
   Food Products — 1.5%   
  99       Archer-Daniels-Midland Co.      2,978   
  281       ConAgra Foods, Inc.      6,345   
  2,429       Dean Foods Co.(b)      21,472   
  241       Kraft Foods, Inc., Class A      7,594   
  174       Mead Johnson Nutrition Co.      10,832   
  708       Sara Lee Corp.      12,397   
  1,332       Tyson Foods, Inc., Class A      22,937   
           
        84,555   
           
   Gas Utilities — 0.3%   
  335       Oneok, Inc.      18,582   
           
   Health Care Equipment & Supplies — 0.3%   
  234       Varian Medical Systems, Inc.(b)      16,212   
           
   Health Care Providers & Services — 2.8%   
  626       Aetna, Inc.      19,099   
  349       AmerisourceBergen Corp.      11,908   
  504       Cardinal Health, Inc.      19,308   
  420       CIGNA Corp.      15,397   
  226       Coventry Health Care, Inc.(b)      5,967   
  678       Humana, Inc.(b)      37,114   
  115       McKesson Corp.      8,094   
  60       Quest Diagnostics, Inc.      3,238   
  1,075       UnitedHealth Group, Inc.      38,818   
           
        158,943   
           
   Hotels, Restaurants & Leisure — 3.4%   
  290       Carnival Corp.      13,372   
  446       Darden Restaurants, Inc.      20,712   
  525       Marriott International, Inc., Class A      21,809   
  326       McDonald’s Corp.      25,024   
  420       Starbucks Corp.      13,495   
  462       Starwood Hotels & Resorts Worldwide, Inc.      28,080   
  1,064       Wyndham Worldwide Corp.      31,877   

 

See accompanying notes to financial statements.

 

|  80

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Hotels, Restaurants & Leisure — continued   
  223       Wynn Resorts Ltd.    $ 23,156   
  351       Yum! Brands, Inc.      17,217   
           
        194,742   
           
   Household Durables — 1.3%   
  1,228       D.R. Horton, Inc.      14,650   
  272       Fortune Brands, Inc.      16,388   
  328       Newell Rubbermaid, Inc.      5,963   
  2,681       Pulte Group, Inc.(b)      20,161   
  202       Whirlpool Corp.      17,944   
           
        75,106   
           
   Household Products — 0.9%   
  833       Procter & Gamble Co. (The)      53,587   
           
   Independent Power Producers & Energy Traders — 0.6%   
  1,526       AES Corp. (The)(b)      18,587   
  965       NRG Energy, Inc.(b)      18,856   
           
        37,443   
           
   Industrial Conglomerates — 2.5%   
  100       3M Co.      8,630   
  5,467       General Electric Co.      99,991   
  817       Textron, Inc.      19,314   
  356       Tyco International Ltd.      14,753   
           
        142,688   
           
   Insurance — 2.6%   
  184       ACE Ltd.      11,454   
  569       Assurant, Inc.      21,918   
  473       Berkshire Hathaway, Inc., Class B(b)      37,892   
  423       Lincoln National Corp.      11,764   
  443       Prudential Financial, Inc.      26,008   
  75       Torchmark Corp.      4,480   
  315       Travelers Cos., Inc. (The)      17,549   
  728       Unum Group      17,632   
           
        148,697   
           
   Internet & Catalog Retail — 1.0%   
  110       Amazon.com, Inc.(b)      19,800   
  91       Priceline.com, Inc.(b)      36,359   
           
        56,159   
           
   Internet Software & Services — 1.6%   
  527       Akamai Technologies, Inc.(b)      24,795   
  292       eBay, Inc.(b)      8,126   
  53       Google, Inc., Class A(b)      31,481   
  490       Monster Worldwide, Inc.(b)      11,579   
  427       VeriSign, Inc.      13,950   
           
        89,931   
           

 

See accompanying notes to financial statements.

 

81  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   IT Services — 3.4%   
  372       Cognizant Technology Solutions Corp., Class A(b)    $ 27,264   
  484       Computer Sciences Corp.      24,006   
  601       Fidelity National Information Services, Inc.      16,461   
  248       Fiserv, Inc.(b)      14,523   
  496       International Business Machines Corp.      72,793   
  835       SAIC, Inc.(b)      13,243   
  293       Teradata Corp.(b)      12,060   
  1,107       Total System Services, Inc.      17,026   
           
        197,376   
           
   Leisure Equipment & Products — 0.4%   
  383       Hasbro, Inc.      18,070   
  138       Mattel, Inc.      3,509   
           
        21,579   
           
   Life Sciences Tools & Services — 0.2%   
  215       Thermo Fisher Scientific, Inc.(b)      11,902   
           
   Machinery — 3.2%   
  353       Caterpillar, Inc.      33,062   
  295       Cummins, Inc.      32,453   
  327       Deere & Co.      27,157   
  221       Dover Corp.      12,917   
  199       Eaton Corp.      20,200   
  263       PACCAR, Inc.      15,101   
  182       Pall Corp.      9,024   
  285       Parker Hannifin Corp.      24,596   
  201       Snap-on, Inc.      11,373   
           
        185,883   
           
   Media — 3.7%   
  1,265       CBS Corp., Class B      24,098   
  1,420       Comcast Corp., Class A      31,197   
  350       DIRECTV, Class A(b)      13,976   
  160       Discovery Communications, Inc., Class A(b)      6,672   
  1,699       Gannett Co., Inc.      25,638   
  2,353       Interpublic Group of Cos., Inc. (The)(b)      24,989   
  1,524       New York Times Co. (The), Class A(b)      14,935   
  347       News Corp., Class A      5,052   
  307       Time Warner Cable, Inc.      20,271   
  328       Viacom, Inc., Class B      12,992   
  472       Walt Disney Co. (The)      17,705   
  31       Washington Post Co. (The), Class B      13,625   
           
        211,150   
           
   Metals & Mining — 2.1%   
  1,505       Alcoa, Inc.      23,162   
  327       Allegheny Technologies, Inc.      18,044   
  455       Cliffs Natural Resources, Inc.      35,495   
  222       Freeport-McMoRan Copper & Gold, Inc.      26,660   
  1,141       Titanium Metals Corp.(b)      19,602   
           
        122,963   
           

 

See accompanying notes to financial statements.

 

|  82

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Multi Utilities — 1.2%   
  214       Ameren Corp.    $ 6,033   
  875       CMS Energy Corp.      16,275   
  73       Dominion Resources, Inc.      3,119   
  353       DTE Energy Co.      15,998   
  518       Integrys Energy Group, Inc.      25,128   
  170       NiSource, Inc.      2,995   
           
        69,548   
           
   Multiline Retail — 1.5%   
  314       Big Lots, Inc.(b)      9,565   
  359       Family Dollar Stores, Inc.      17,846   
  1,690       Macy’s, Inc.      42,757   
  311       Target Corp.      18,700   
           
        88,868   
           
   Office Electronics — 0.7%   
  3,476       Xerox Corp.      40,044   
           
   Oil, Gas & Consumable Fuels — 8.3%   
  965       Chevron Corp.      88,056   
  875       ConocoPhillips      59,588   
  245       Denbury Resources, Inc.(b)      4,677   
  498       El Paso Corp.      6,853   
  2,188       Exxon Mobil Corp.      159,987   
  171       Hess Corp.      13,088   
  266       Murphy Oil Corp.      19,830   
  161       Occidental Petroleum Corp.      15,794   
  138       Peabody Energy Corp.      8,829   
  381       Pioneer Natural Resources Co.      33,078   
  1,010       Sunoco, Inc.      40,713   
  954       Valero Energy Corp.      22,057   
           
        472,550   
           
   Paper & Forest Products — 0.8%   
  951       International Paper Co.      25,905   
  785       MeadWestvaco Corp.      20,536   
           
        46,441   
           
   Personal Products — 0.4%   
  306       Estee Lauder Cos., Inc. (The), Class A      24,694   
           
   Pharmaceuticals — 2.5%   
  73       Abbott Laboratories      3,497   
  413       Eli Lilly & Co.      14,472   
  446       Forest Laboratories, Inc.(b)      14,263   
  847       Johnson & Johnson      52,387   
  332       Merck & Co., Inc.      11,965   
  774       Mylan, Inc.(b)      16,355   
  1,577       Pfizer, Inc.      27,613   
           
        140,552   
           

 

See accompanying notes to financial statements.

 

83  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Real Estate Management/Services — 0.3%   
  978       CB Richard Ellis Group, Inc., Class A(b)    $ 20,029   
           
   REITs — 0.7%   
  438       Plum Creek Timber Co., Inc.      16,403   
  1,156       Weyerhaeuser Co.      21,883   
           
        38,286   
           
   REITs — Apartments — 1.3%   
  978       Apartment Investment & Management Co., Class A      25,272   
  197       AvalonBay Communities, Inc.      22,172   
  514       Equity Residential      26,702   
           
        74,146   
           
   REITs — Diversified — 0.1%   
  80       Vornado Realty Trust      6,666   
           
   REITs — Hotels — 0.3%   
  1,126       Host Hotels & Resorts, Inc.      20,122   
           
   REITs — Office Property — 0.1%   
  80       Boston Properties, Inc.      6,888   
           
   REITs — Regional Malls — 0.4%   
  217       Simon Property Group, Inc.      21,589   
           
   REITs — Shopping Centers — 0.5%   
  1,700       Kimco Realty Corp.      30,668   
           
   REITs — Storage — 0.4%   
  225       Public Storage      22,819   
           
   Road & Rail — 1.0%   
  315       CSX Corp.      20,352   
  217       Norfolk Southern Corp.      13,632   
  252       Union Pacific Corp.      23,350   
           
        57,334   
           
   Semiconductors & Semiconductor Equipment — 3.0%   
  1,305       Advanced Micro Devices, Inc.(b)      10,675   
  591       Altera Corp.      21,028   
  431       Broadcom Corp., Class A      18,770   
  1,803       Intel Corp.      37,917   
  2,503       LSI Corp.(b)      14,993   
  117       Microchip Technology, Inc.      4,003   
  2,799       Micron Technology, Inc.(b)      22,448   
  682       Novellus Systems, Inc.(b)      22,042   
  1,305       Teradyne, Inc.(b)      18,322   
           
        170,198   
           
   Software — 4.9%   
  330       Autodesk, Inc.(b)      12,606   
  487       CA, Inc.      11,902   
  336       Citrix Systems, Inc.(b)      22,986   
  1,808       Compuware Corp.(b)      21,100   
  370       Intuit, Inc.(b)      18,241   

 

See accompanying notes to financial statements.

 

|  84

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

Shares      Description    Value (†)  
     
   Software — continued   
  2,848       Microsoft Corp.    $ 79,516   
  1,367       Oracle Corp.      42,787   
  403       Red Hat, Inc.(b)      18,397   
  235       Salesforce.com, Inc.(b)      31,020   
  1,214       Symantec Corp.(b)      20,322   
           
        278,877   
           
   Specialty Retail — 3.0%   
  435       AutoNation, Inc.(b)      12,267   
  81       AutoZone, Inc.(b)      22,080   
  179       Best Buy Co., Inc.      6,138   
  610       CarMax, Inc.(b)      19,447   
  934       GameStop Corp., Class A(b)      21,370   
  232       Home Depot, Inc. (The)      8,134   
  861       Limited Brands, Inc.      26,458   
  363       Lowe’s Cos., Inc.      9,104   
  250       O’Reilly Automotive, Inc.(b)      15,105   
  663       RadioShack Corp.      12,259   
  164       Ross Stores, Inc.      10,373   
  169       Tiffany & Co.      10,523   
           
        173,258   
           
   Textiles, Apparel & Luxury Goods — 0.7%   
  379       Coach, Inc.      20,963   
  143       NIKE, Inc., Class B      12,215   
  47       Polo Ralph Lauren Corp.      5,213   
           
        38,391   
           
   Thrifts & Mortgage Finance — 0.3%   
  1,148       Hudson City Bancorp, Inc.      14,626   
           
   Tobacco — 0.9%   
  898       Altria Group, Inc.      22,109   
  344       Philip Morris International, Inc.      20,134   
  250       Reynolds American, Inc.      8,155   
           
        50,398   
           
   Trading Companies & Distributors — 0.4%   
  211       Fastenal Co.      12,641   
  56       W.W. Grainger, Inc.      7,734   
           
        20,375   
           
   Wireless Telecommunication Services — 0.9%   
  100       American Tower Corp., Class A(b)      5,164   
  1,795       MetroPCS Communications, Inc.(b)      22,671   
  5,830       Sprint Nextel Corp.(b)      24,661   
           
        52,496   
           
   Total Common Stocks
(Identified Cost $5,083,013)		      5,742,057   
           

 

See accompanying notes to financial statements.

 

85  |

Table of Contents

Portfolio of Investments – as of December 31, 2010

Westpeak ActiveBeta® Equity Fund – (continued)

 

        Description    Value (†)  
   Total Investments — 100.3%
(Identified Cost $5,083,013)(a)		    $ 5,742,057   
   Other assets less liabilities — (0.3)%      (19,595 ) 
           
   Net Assets — 100.0%    $ 5,722,462   
           
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $5,086,385 for federal income tax purposes was as follows:   
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 694,036   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (38,364 ) 
           
   Net unrealized appreciation    $ 655,672   
           
     
  (b)       Non-income producing security.   
     
  REITs       Real Estate Investment Trusts   

Industry Summary at December 31, 2010 (Unaudited)

 

Oil, Gas & Consumable Fuels      8.3 % 
Computers & Peripherals      5.6   
Software      4.9   
Media      3.7   
IT Services      3.4   
Hotels, Restaurants & Leisure      3.4   
Machinery      3.2   
Specialty Retail      3.0   
Semiconductors & Semiconductor Equipment      3.0   
Health Care Providers & Services      2.8   
Commercial Banks      2.7   
Diversified Telecommunication Services      2.7   
Insurance      2.6   
Industrial Conglomerates      2.5   
Aerospace & Defense      2.5   
Pharmaceuticals      2.5   
Diversified Financial Services      2.3   
Metals & Mining      2.1   
Beverages      2.1   
Other Investments, less than 2% each      37.0   
        
Total Investments      100.3   
Other assets less liabilities      (0.3 ) 
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

|  86

Table of Contents

Statements of Assets and Liabilities

 

December 31, 2010

 

         
CGM Advisor
Targeted Equity
Fund		      Harris
Associates Large
Cap Value
Fund		      Natixis Income
Diversified
Portfolio		  

ASSETS

         

Investments at cost

    $ 724,940,070       $ 131,903,043       $ 62,100,270   

Net unrealized appreciation

      258,341,641         10,636,686         403,716   
                          

Investments at value

      983,281,711         142,539,729         62,503,986   

Cash

      —         —         50,058   

Foreign currency at value (identified cost $0, $0, and $31,217)

      —         —         27,285   

Receivable for Fund shares sold

      1,413,360         3,739         289,980   

Receivable for securities sold

      20,029,064         —         10,964   

Dividends and interest receivable

      1,258,590         143,205         486,144   

Tax reclaims receivable

      —         —         733   
                          

TOTAL ASSETS

      1,005,982,725         142,686,673         63,369,150   
                          

LIABILITIES

         

Payable for securities purchased

      21,137,065         325,518         57,171   

Payable for Fund shares redeemed

      871,312         284,975         28,794   

Unrealized depreciation on forward foreign currency contracts (Note 2)

      —         —         2,059   

Management fees payable (Note 6)

      565,685         59,435         28,526   

Deferred Trustees’ fees (Note 6)

      680,129         353,430         46,494   

Administrative fees payable (Note 6)

      38,594         5,595         2,428   

Other accounts payable and accrued expenses

      316,780         120,367         61,756   
                          

TOTAL LIABILITIES

      23,609,565         1,149,320         227,228   
                          

NET ASSETS

    $ 982,373,160       $ 141,537,353       $ 63,141,922   
                          

NET ASSETS CONSIST OF:

         

Paid-in capital

    $ 852,612,511       $ 152,982,023       $ 83,858,388   

Undistributed (Distributions in excess of) net investment income/Accumulated
net investment (loss)

      (680,128 )       (316,203 )       95,062   

Accumulated net realized gain (loss) on investments, options written and
foreign currency transactions

      (127,900,864 )       (21,765,153 )       (21,211,142 ) 

Net unrealized appreciation on investments and foreign currency translations

      258,341,641         10,636,686         399,614   
                          

NET ASSETS

    $ 982,373,160       $ 141,537,353       $ 63,141,922   
                          

 

See accompanying notes to financial statements.

 

87  |

Table of Contents
    Natixis U.S.
Diversified
Portfolio		     Vaughan Nelson
Small Cap Value
Fund		     Vaughan Nelson
Value
Opportunity
Fund		     Westpeak
ActiveBeta®
Equity
Fund 		 

ASSETS

        

Investments at cost

   $ 287,095,253      $ 424,684,615      $ 43,851,922      $ 5,083,013   

Net unrealized appreciation

     90,943,889        105,264,991        7,982,899        659,044   
                               

Investments at value

     378,039,142        529,949,606        51,834,821        5,742,057   

Cash

     —        —        —        8,207   

Receivable for Fund shares sold

     164,387        1,506,150        988,476        —   

Receivable from investment adviser (Note 6)

     —        —        —        18,393   

Receivable for securities sold

     643,244        1,238,653        —        —   

Dividends and interest receivable

     226,945        688,860        88,637        5,311   

Tax reclaims receivable

     —        —        —        11   
                               

TOTAL ASSETS

     379,073,718        533,383,269        52,911,934        5,773,979   
                               

LIABILITIES

        

Payable for securities purchased

     2,440,699        —        —        —   

Payable for Fund shares redeemed

     324,495        1,258,609        13,805        —   

Management fees payable (Note 6)

     251,189        418,635        23,584        —   

Deferred Trustees’ fees (Note 6)

     394,862        142,130        21,416        4,236   

Administrative fees payable (Note 6)

     14,821        21,772        2,008        8,493   

Other accounts payable and accrued expenses

     247,659        194,731        44,352        38,788   
                               

TOTAL LIABILITIES

     3,673,725        2,035,877        105,165        51,517   
                               

NET ASSETS

   $ 375,399,993      $ 531,347,392      $ 52,806,769      $ 5,722,462   
                               

NET ASSETS CONSIST OF:

        

Paid-in capital

   $ 323,421,765      $ 407,863,003      $ 45,198,879      $ 5,028,338   

Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss)

     (396,189 )      (142,132 )      (21,416 )      (2,678 ) 

Accumulated net realized gain (loss) on investments, options written and foreign currency transactions

     (38,569,571 )      18,361,530        (353,593 )      37,758   

Net unrealized appreciation on investments and foreign currency translations

     90,943,988        105,264,991        7,982,899        659,044   
                               

NET ASSETS

   $ 375,399,993      $ 531,347,392      $ 52,806,769      $ 5,722,462   
                               

 

See accompanying notes to financial statements.

 

|  88

Table of Contents

Statements of Assets and Liabilities (continued)

 

December 31, 2010

 

         
CGM Advisor
Targeted Equity
Fund		      Harris
Associates Large
Cap Value
Fund		      Natixis Income
Diversified
Portfolio		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

         

Class A shares:

         

Net assets

    $ 753,517,828       $ 118,938,273       $ 35,786,977   
                          

Shares of beneficial interest

      67,732,044         8,393,635         3,436,431   
                          

Net asset value and redemption price per share

    $ 11.12       $ 14.17       $ 10.41   
                          

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

    $ 11.80       $ 15.03       $ 10.90   
                          

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

         

Net assets

    $ 9,933,544       $ 5,614,448       $ —   
                          

Shares of beneficial interest

      992,428         429,539         —   
                          

Net asset value and offering price per share

    $ 10.01       $ 13.07       $ —   
                          

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

         

Net assets

    $ 81,290,578       $ 7,398,633       $ 27,354,945   
                          

Shares of beneficial interest

      8,161,603         568,039         2,632,906   
                          

Net asset value and offering price per share

    $ 9.96       $ 13.02       $ 10.39   
                          

Class Y shares:

         

Net assets

    $ 137,631,210       $ 9,585,999       $ —   
                          

Shares of beneficial interest

      12,073,697         654,556         —   
                          

Net asset value, offering and redemption price per share

    $ 11.40       $ 14.65       $ —   
                          

 

See accompanying notes to financial statements.

 

89  |

Table of Contents
    Natixis U.S.
Diversified
Portfolio		     Vaughan Nelson
Small Cap Value
Fund		     Vaughan Nelson
Value
Opportunity
Fund		     Westpeak
ActiveBeta®
Equity
Fund 		 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

        

Class A shares:

        

Net assets

   $ 314,383,756      $ 267,191,892      $ 11,268,167      $ 1,138   
                               

Shares of beneficial interest

     12,489,866        11,774,459        763,700        100   
                               

Net asset value and redemption price per share

   $ 25.17      $ 22.69      $ 14.75      $ 11.38   
                               

Offering price per share (100/[100- maximum sales charge] of net asset value) (Note 1)

   $ 26.71      $ 24.07      $ 15.65      $ 12.07   
                               

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

        

Net assets

   $ 28,787,022      $ 7,995,649      $ —      $ —   
                               

Shares of beneficial interest

     1,332,495        405,243        —        —   
                               

Net asset value and offering price per share

   $ 21.60      $ 19.73      $ —      $ —   
                               

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

        

Net assets

   $ 30,911,988      $ 38,854,850      $ 823,536      $ 1,138   
                               

Shares of beneficial interest

     1,430,299        1,968,818        56,303        100   
                               

Net asset value and offering price per share

   $ 21.61      $ 19.74      $ 14.63      $ 11.38   
                               

Class Y shares:

        

Net assets

   $ 1,317,227      $ 217,305,001      $ 40,715,066      $ 5,720,186   
                               

Shares of beneficial interest

     48,567        9,465,870        2,751,004        502,601   
                               

Net asset value, offering and redemption price per share

   $ 27.12      $ 22.96      $ 14.80      $ 11.38   
                               

 

See accompanying notes to financial statements.

 

|  90

Table of Contents

Statements of Operations

 

For the Year Ended December 31, 2010

 

         
CGM Advisor
Targeted Equity
Fund		     Harris
Associates Large
Cap Value
Fund		      Natixis Income
Diversified
Portfolio		  

INVESTMENT INCOME

        

Dividends

    $ 15,928,639 (b)    $ 2,244,995       $ 852,026   

Interest

      15,034        —         1,938,745   

Less net foreign taxes withheld

      (224,966 )      —         (135 ) 
                         
     15,718,707        2,244,995         2,790,636   
                         

Expenses

        

Management fees (Note 6)

      6,486,746        948,166         326,508   

Service and distribution fees (Note 6)

      2,573,596        420,756         333,098   

Administrative fees (Note 6)

      445,886        63,306         27,906   

Trustees’ fees and expenses (Note 6)

      127,374        68,077         23,723   

Transfer agent fees and expenses
(Note 6)

      1,027,690        268,399         36,439   

Audit and tax services fees

      45,451        42,544         46,665   

Custodian fees and expenses

      40,396        21,816         30,336   

Legal fees

      15,971        2,315         1,035   

Registration fees

      65,641        61,564         34,965   

Shareholder reporting expenses

      319,412        50,859         22,016   

Miscellaneous expenses

      28,448        11,256         9,887   
                         

Total expenses

      11,176,611        1,959,058         892,578   

Less waiver and/or expense reimbursement (Note 6)

      —        (116,053 )       —   
                         

Net expenses

      11,176,611        1,843,005         892,578   
                         

Net investment income

      4,542,096        401,990         1,898,058   
                         

NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS

        

Net realized gain (loss) on:

        

Investments

      145,665,093        (1,313,526 )       958,750   

Foreign currency transactions

      —        —         7,776   

Net change in unrealized appreciation (depreciation) on:

        

Investments

      3,002,654        17,456,589         6,185,039   

Foreign currency translations

      —        —         (1,820 ) 
                         

Net realized and unrealized gain on investments and foreign currency transactions

      148,667,747        16,143,063         7,149,745   
                         

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 153,209,843      $ 16,545,053       $ 9,047,803   
                         

 

See accompanying notes to financial statements.

 

91  |

Table of Contents
    Natixis U.S.
Diversified
Portfolio		     Vaughan Nelson
Small Cap Value
Fund		     Vaughan Nelson
Value
Opportunity
Fund		     Westpeak
ActiveBeta®
Equity  Fund (a)		  

INVESTMENT INCOME

        

Dividends

   $ 5,257,461 (b)    $ 7,667,368      $ 729,139 (b)    $ 46,296   

Less net foreign taxes withheld

     (1,205 )      —        (6,662 )      (9 ) 
                               
    5,256,256        7,667,368        722,477        46,287   
                               

Expenses

        

Management fees (Note 6)

     3,092,377        4,954,501        281,290        13,329   

Service and distribution fees (Note 6)

     1,299,252        1,170,601        24,157        5   

Administrative fees (Note 6)

     161,894        260,668        16,677        42,095   

Trustees’ fees and expenses (Note 6)

     77,292        45,494        19,707        6,758   

Transfer agent fees and expenses (Note 6)

     657,158        777,643        35,373        76   

Audit and tax services fees

     60,769        40,826        40,008        40,336   

Custodian fees and expenses

     53,393        38,931        30,205        8,350   

Legal fees

     5,966        9,591        558        27   

Registration fees

     55,212        82,885        59,061        5,210   

Shareholder reporting expenses

     111,024        168,736        10,624        35   

Miscellaneous expenses

     19,813        26,187        9,564        2,484   
                               

Total expenses

     5,594,150        7,576,063        527,224        118,705   

Less waiver and/or expense reimbursement (Note 6)

     (342,883 )      —        (98,711 )      (97,596 ) 
                               

Net expenses

     5,251,267        7,576,063        428,513        21,109   
                               

Net investment income

     4,989        91,305        293,964        25,178   
                               

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS

        

Net realized gain (loss) on:

        

Investments

     40,179,176        119,759,809        (366,346 )      36,238   

Options written

     178,283        —        —        —   

Foreign currency transactions

     74        —        —        —   

Net change in unrealized appreciation (depreciation) on:

        

Investments

     28,141,885        (2,048,591 )      7,380,666        659,044   

Options written

     (11,203 )      —        —        —   

Foreign currency translations

     99        —        —        —   
                               

Net realized and unrealized gain on investments, options written and foreign currency transactions

     68,488,314        117,711,218        7,014,320        695,282   
                               

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 68,493,303      $ 117,802,523      $ 7,308,284      $ 720,460   
                               

 

(a) From commencement of operations on July 30, 2010 through December 31, 2010.
(b) Includes non-recurring dividends of $2,550,000, $1,122,737 and $201,823 for CGM Advisor Targeted Equity Fund, Natixis U.S. Diversified Portfolio and Vaughan Nelson Value Opportunity Fund, respectively.

 

See accompanying notes to financial statements.

 

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Table of Contents

Statements of Changes in Net Assets

 

    CGM Advisor Targeted Equity
Fund		     Harris Associates Large Cap
Value Fund		        
    Year Ended
December 31,
2010		     Year Ended
December 31,
2009		     Year Ended
December 31,
2010		     Year Ended
December 31,
2009		        

FROM OPERATIONS:

          

Net investment income (loss)

   $ 4,542,096      $ 5,551,317      $ 401,990      $ 516,160     

Net realized gain (loss) on investments

     145,665,093        (131,349,648 )      (1,313,526 )      (6,269,463 )   

Net change in unrealized appreciation (depreciation) on investments

     3,002,654        340,263,229        17,456,589        48,393,988     
                                       

Net increase in net assets resulting from operations

     153,209,843        214,464,898        16,545,053        42,640,685     
                                       

FROM DISTRIBUTIONS TO SHAREHOLDERS:

          

Net investment income

          

Class A

     (3,682,006 )      (3,442,148 )      (471,512 )      (440,347 )   

Class B

     (375 )      —        (7,875 )      (5,383 )   

Class C

     (2,612 )      (24,644 )      (8,448 )      (4,285 )   

Class Y

     (963,306 )      (2,130,058 )      (58,296 )      (42,386 )   
                                       

Total distributions

     (4,648,299 )      (5,596,850 )      (546,131 )      (492,401 )   
                                       

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

     (212,514,662 )      (76,443,252 )      (10,294,109 )      (12,340,877 )   

Increase from regulatory settlements (Note 7)

     —        —        —        8,806     
                                       

Net increase (decrease) in net assets

     (63,953,118 )      132,424,796        5,704,813        29,816,213     

NET ASSETS

          

Beginning of the year

     1,046,326,278        913,901,482        135,832,540        106,016,327     
                                       

End of the year

   $ 982,373,160      $ 1,046,326,278      $ 141,537,353      $ 135,832,540     
                                       

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)

   $ (680,128 )    $ (583,320 )    $ (316,203 )    $ (175,584 )   
                                       

 

 

See accompanying notes to financial statements.

 

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    Natixis Income Diversified
Portfolio		     Natixis U.S. Diversified
Portfolio		  
    Year Ended
December 31,
2010		     Year Ended
December 31,
2009		     Year Ended
December 31,
2010		     Year Ended
December 31,
2009		  

FROM OPERATIONS:

        

Net investment income (loss)

   $ 1,898,058      $ 2,401,267      $ 4,989      $ (606,271 ) 

Net realized gain (loss) on investments, options written and foreign currency transactions

     966,526        (12,604,938 )      40,357,533        (41,536,585 ) 

Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations

     6,183,219        25,354,525        28,130,781        138,842,435   
                               

Net increase in net assets resulting from operations

     9,047,803        15,150,854        68,493,303        96,699,579   
                               

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Class A

     (1,156,917 )      (1,136,519 )      (487,074 )      —   

Class B

     —        —        —        —   

Class C

     (644,276 )      (785,959 )      —        —   

Class Y

     —        —        (4,611 )      —   
                               

Total distributions

     (1,801,193 )      (1,922,478 )      (491,685 )      —   
                               

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

     (3,201,800 )      (16,176,461 )      (44,819,314 )      (43,650,516 ) 

Increase from regulatory settlements (Note 7)

     —        —        61,116        —   
                               

Net increase (decrease) in net assets

     4,044,810        (2,948,085 )      23,243,420        53,049,063   

NET ASSETS

        

Beginning of the year

     59,097,112        62,045,197        352,156,573        299,107,510   
                               

End of the year

   $ 63,141,922      $ 59,097,112      $ 375,399,993      $ 352,156,573   
                               

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)

   $ 95,062      $ (35,912 )    $ (396,189 )    $ (352,300 ) 
                               

 

See accompanying notes to financial statements.

 

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Table of Contents

Statements of Changes in Net Assets (continued)

 

    Vaughan Nelson Small Cap
Value Fund		     Vaughan Nelson Value
Opportunity Fund		  
    Year Ended
December 31,
2010		     Year Ended
December 31,
2009		     Year Ended
December 31,
2010		     Year Ended
December 31,
2009		  

FROM OPERATIONS:

        

Net investment income (loss)

   $ 91,305      $ 1,443,633      $ 293,964      $ 30,415   

Net realized gain (loss) on investments

     119,759,809        24,060,952        (366,346 )      128,499   

Net change in unrealized appreciation (depreciation) on investments

     (2,048,591 )      121,362,923        7,380,666        630,349   
                               

Net increase in net assets resulting from operations

     117,802,523        146,867,508        7,308,284        789,263   
                               

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Class A

     —        (570,459 )      (53,709 )      (9,290 ) 

Class B

     —        —        —        —   

Class C

     —        —        (2,143 )      (7 ) 

Class Y

     —        (994,314 )      (226,813 )      (27,753 ) 

Net realized capital gains

        

Class A

     (49,985,276 )      —        (13,079 )      (19,482 ) 

Class B

     (1,639,642 )      —        —        —   

Class C

     (7,933,438 )      —        (823 )      (1,919 ) 

Class Y

     (40,435,533 )      —        (51,747 )      (47,246 ) 

Distributions from paid-in capital

        

Class A

     —        —        (44,021 )      —   

Class C

     —        —        (1,747 )      —   

Class Y

     —        —        (186,046 )      —   
                               

Total distributions

     (99,993,889 )      (1,564,773 )      (580,128 )      (105,697 ) 
                               

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

     (92,687,439 )      183,337,945        33,438,367        10,938,928   
                               

Increase from regulatory settlements (Note 7)

     493,744        —        —        —   
                               

Net increase (decrease) in net assets

     (74,385,061 )      328,640,680        40,166,523        11,622,494   

NET ASSETS

        

Beginning of the year

     605,732,453        277,091,773        12,640,246        1,017,752   
                               

End of the year

   $ 531,347,392      $ 605,732,453      $ 52,806,769      $ 12,640,246   
                               

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)

   $ (142,132 )    $ (118,321 )    $ (21,416 )    $ (6,384 ) 
                               

 

See accompanying notes to financial statements.

 

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    Westpeak ActiveBeta®
Equity Fund		  
    Period Ended
December 31, 2010 (a)		  

FROM OPERATIONS:

  

Net investment income (loss)

   $ 25,178   

Net realized gain (loss) on investments

     36,238   

Net change in unrealized appreciation (depreciation) on investments

     659,044   
       

Net increase in net assets resulting from operations

     720,460   
       

FROM DISTRIBUTIONS TO SHAREHOLDERS:

  

Net investment income

  

Class A

     (5 ) 

Class C

     (1 ) 

Class Y

     (29,250 ) 
       

Total distributions

     (29,256 ) 
       

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

     5,031,258   
       

Increase from regulatory settlements (Note 7)

     —   
       

Net increase (decrease) in net assets

     5,722,462   

NET ASSETS

  

Beginning of the year

     —   
       

End of the year

   $ 5,722,462   
       

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)

   $ (2,678 ) 
       

 

 

(a) From commencement of operations on July 30, 2010 through December 31, 2010.

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations:		     Less Distributions:  
    Net asset
value,
beginning
of the
period		     Net
investment
income
(loss) (a)(b)		     Net realized
and
unrealized
gain (loss)		     Total from
investment
operations		     Dividends
from net
investment
income (b)		     Distributions
from net
realized
capital
gains		     Total
distributions (b)		  

CGM ADVISOR TARGETED EQUITY FUND

  

Class A

              

12/31/2010

   $ 9.54      $ 0.05 (g)    $ 1.58      $ 1.63      $ (0.05 )    $ —      $ (0.05 ) 

12/31/2009

     7.66        0.05        1.88        1.93        (0.05 )      —        (0.05 ) 

12/31/2008

     13.01        0.09        (4.94 )      (4.85 )      (0.06 )      (0.44 )      (0.50 ) 

12/31/2007

     10.70        0.05        3.54        3.59        (0.13 )      (1.15 )      (1.28 ) 

12/31/2006

     10.22        0.08        0.78        0.86        (0.07 )      (0.31 )      (0.38 ) 

Class B

              

12/31/2010

     8.61        (0.02 )(g)      1.42        1.40        (0.00 )      —        (0.00 ) 

12/31/2009

     6.92        (0.01 )      1.70        1.69        —        —        —   

12/31/2008

     11.81        (0.00 )      (4.45 )      (4.45 )      (0.00 )      (0.44 )      (0.44 ) 

12/31/2007

     9.84        (0.04 )      3.24        3.20        (0.08 )      (1.15 )      (1.23 ) 

12/31/2006

     9.48        0.00        0.74        0.74        (0.07 )      (0.31 )      (0.38 ) 

Class C

              

12/31/2010

     8.57        (0.02 )(g)      1.41        1.39        (0.00 )      —        (0.00 ) 

12/31/2009

     6.89        (0.01 )      1.69        1.68        (0.00 )      —        (0.00 ) 

12/31/2008

     11.79        0.02        (4.46 )      (4.44 )      (0.02 )      (0.44 )      (0.46 ) 

12/31/2007

     9.84        (0.03 )      3.22        3.19        (0.09 )      (1.15 )      (1.24 ) 

12/31/2006

     9.48        0.00        0.74        0.74        (0.07 )      (0.31 )      (0.38 ) 

Class Y

              

12/31/2010

     9.78        0.07 (g)      1.63        1.70        (0.08 )      —        (0.08 ) 

12/31/2009

     7.84        0.06        1.96        2.02        (0.08 )      —        (0.08 ) 

12/31/2008

     13.32        0.13        (5.09 )      (4.96 )      (0.08 )      (0.44 )      (0.52 ) 

12/31/2007

     10.93        0.09        3.61        3.70        (0.16 )      (1.15 )      (1.31 ) 

12/31/2006

     10.42        0.11        0.82        0.93        (0.11 )      (0.31 )      (0.42 ) 

 

(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, if applicable.
(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

 

See accompanying notes to financial statements.

 

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                        Ratios to Average Net Assets:        
Redemption
fees (b)		     Net asset
value,
end of
the period		     Total
return
(%) (c)(d)		     Net assets,
end of
the period
(000’s)		     Net
expenses
(%) (e)(f)		     Gross
expenses
(%) (f)		     Net investment
income (loss)
(%) (f)		     Portfolio
turnover
rate (%)		  
             
             
$ —      $ 11.12        17.14      $ 753,518        1.16        1.16        0.52 (g)      146   
  —        9.54        25.19        693,386        1.19        1.19        0.69        170   
  0.00 (h)      7.66        (38.36 )      796,146        1.10        1.10        0.83        211   
  0.00        13.01        34.42        826,867        1.17        1.17        0.45        179   
  0.00        10.70        8.52        679,897        1.16        1.16        0.76        171   
             
  —        10.01        16.26        9,934        1.91        1.91        (0.28 )(g)      146   
  —        8.61        24.42        12,401        1.94        1.94        (0.11 )      170   
  0.00 (h)      6.92        (38.90 )      13,971        1.85        1.85        (0.03 )      211   
  0.00        11.81        33.41        32,297        1.92        1.92        (0.34 )      179   
  0.00        9.84        7.83        43,032        1.91        1.91        0.02        171   
             
  —        9.96        16.22        81,291        1.91        1.91        (0.23 )(g)      146   
  —        8.57        24.42        75,098        1.95        1.95        (0.14 )      170   
  0.00 (h)      6.89        (38.85 )      59,544        1.85        1.85        0.17        211   
  0.00        11.79        33.47        19,753        1.93        1.93        (0.24 )      179   
  0.00        9.84        7.72        8,688        1.90        1.90        0.04        171   
             
  —        11.40        17.39        137,631        0.91        0.91        0.69 (g)      146   
  —        9.78        25.75        265,441        0.94        0.94        0.64        170   
  0.00 (h)      7.84        (38.28 )      44,240        0.85        0.85        1.21        211   
  0.00        13.32        34.75        17,520        0.90        0.90        0.74        179   
  0.00        10.93        8.99        11,714        0.87        0.87        1.05        171   

 

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.23%, (0.53)%, (0.52)% and 0.48% for Class A, Class B, Class C and Class Y shares, respectively.
(h) Effective June 2, 2008, redemption fees were eliminated.

 

See accompanying notes to financial statements.

 

|  98

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations:		     Less Distributions:  
    Net asset
value,
beginning
of the
period		     Net
investment
income
(loss) (a)		     Net realized
and
unrealized
gain (loss)		     Total from
investment
operations		     Dividends
from net
investment
income		     Distributions
from net
realized
capital
gains		     Total
distributions		  

HARRIS ASSOCIATES LARGE CAP VALUE FUND

  

Class A

              

12/31/2010

   $ 12.58      $ 0.05      $ 1.60      $ 1.65      $ (0.06 )    $ —      $ (0.06 ) 

12/31/2009

     8.77        0.05 (g)      3.81        3.86        (0.05 )      —        (0.05 ) 

12/31/2008

     14.97        0.13        (6.20 )      (6.07 )      (0.13 )      —        (0.13 ) 

12/31/2007

     15.49        0.05        (0.48 )(h)      (0.43 )      (0.09 )      —        (0.09 ) 

12/31/2006

     13.33        0.06        2.13        2.19        (0.03 )      —        (0.03 ) 

Class B

              

12/31/2010

     11.65        (0.05 )      1.48        1.43        (0.01 )      —        (0.01 ) 

12/31/2009

     8.16        (0.02 )(g)      3.52        3.50        (0.01 )      —        (0.01 ) 

12/31/2008

     13.84        0.03        (5.70 )      (5.67 )      (0.01 )      —        (0.01 ) 

12/31/2007

     14.39        (0.06 )      (0.45 )(h)      (0.51 )      (0.04 )      —        (0.04 ) 

12/31/2006

     12.48        (0.04 )      1.98        1.94        (0.03 )      —        (0.03 ) 

Class C

              

12/31/2010

     11.61        (0.05 )      1.47        1.42        (0.01 )      —        (0.01 ) 

12/31/2009

     8.13        (0.02 )(g)      3.51        3.49        (0.01 )      —        (0.01 ) 

12/31/2008

     13.82        0.03        (5.69 )      (5.66 )      (0.03 )      —        (0.03 ) 

12/31/2007

     14.37        (0.06 )      (0.45 )(h)      (0.51 )      (0.04 )      —        (0.04 ) 

12/31/2006

     12.46        (0.04 )      1.98        1.94        (0.03 )      —        (0.03 ) 

Class Y

              

12/31/2010

     12.99        0.08        1.67        1.75        (0.09 )      —        (0.09 ) 

12/31/2009

     9.05        0.08 (g)      3.93        4.01        (0.07 )      —        (0.07 ) 

12/31/2008

     15.47        0.19        (6.42 )      (6.23 )      (0.19 )      —        (0.19 ) 

12/31/2007

     16.01        0.12        (0.51 )(h)      (0.39 )      (0.15 )      —        (0.15 ) 

12/31/2006

     13.72        0.12        2.20        2.32        (0.03 )      —        (0.03 ) 

NATIXIS INCOME DIVERSIFIED PORTFOLIO

  

Class A

              

12/31/2010

   $ 9.22      $ 0.34      $ 1.18      $ 1.52      $ (0.33 )    $ —      $ (0.33 ) 

12/31/2009

     7.18        0.36        1.97        2.33        (0.29 )      —        (0.29 ) 

12/31/2008

     10.26        0.47        (2.96 )      (2.49 )      (0.49 )      (0.10 )      (0.59 ) 

12/31/2007

     11.15        0.41        (0.71 )      (0.30 )      (0.45 )      (0.14 )      (0.59 ) 

12/31/2006

     10.07        0.29        1.12        1.41        (0.32 )      (0.01 )      (0.33 ) 

Class C

              

12/31/2010

     9.20        0.27        1.17        1.44        (0.25 )      —        (0.25 ) 

12/31/2009

     7.17        0.30        1.97        2.27        (0.24 )      —        (0.24 ) 

12/31/2008

     10.24        0.40        (2.95 )      (2.55 )      (0.42 )      (0.10 )      (0.52 ) 

12/31/2007

     11.12        0.33        (0.70 )      (0.37 )      (0.37 )      (0.14 )      (0.51 ) 

12/31/2006

     10.07        0.22        1.09        1.31        (0.25 )      (0.01 )      (0.26 ) 

 

(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, if applicable.
(c) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.
(d) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.

 

See accompanying notes to financial statements.

 

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                        Ratios to Average Net Assets:        
Increase from
regulatory
settlements (b)		     Net asset
value,
end of
the period		     Total
return
(%) (c)(d)		     Net assets,
end of
the period
(000’s)		     Net
expenses
(%) (e)(f)		     Gross
expenses
(%) (f)		     Net investment
income (loss)
(%) (f)		     Portfolio
turnover
rate (%)		  
             
             
$ —      $ 14.17        13.08      $ 118,938        1.30        1.39        0.36        32   
  0.00        12.58        44.03        113,309        1.30        1.50        0.53        131   
  —        8.77        (40.45 )      85,761        1.28        1.28        1.04        38   
  —        14.97        (2.94 )      172,468        1.28 (i)(j)      1.28 (i)      0.35        30   
  —        15.49        16.50        195,714        1.30        1.30        0.44        23   
             
  —        13.07        12.31        5,614        2.05        2.13        (0.40 )      32   
  0.00        11.65        42.88        7,864        2.05        2.25        (0.22 )      131   
  —        8.16        (40.87 )      8,191        2.03        2.04        0.25        38   
  —        13.84        (3.68 )      23,916        2.04 (i)(j)      2.04 (i)      (0.44 )      30   
  —        14.39        15.61        42,894        2.05        2.07        (0.33 )      23   
             
  —        13.02        12.26        7,399        2.05        2.14        (0.39 )      32   
  0.00        11.61        42.91        7,208        2.05        2.25        (0.22 )      131   
  —        8.13        (40.90 )      6,222        2.03        2.03        0.26        38   
  —        13.82        (3.69 )      15,616        2.04 (i)(j)      2.04 (i)      (0.41 )      30   
  —        14.37        15.64        18,089        2.05        2.06        (0.32 )      23   
             
  —        14.65        13.47        9,586        1.05        1.14        0.61        32   
  0.00        12.99        44.39        7,450        1.05        1.12        0.77        131   
  —        9.05        (40.18 )      5,842        0.84        0.84        1.47        38   
  —        15.47        (2.59 )      11,840        0.91 (j)      0.91        0.72        30   
  —        16.01        16.97        14,057        0.91 (i)      0.91 (i)      0.82        23   
             
             
$ —      $ 10.41        16.73      $ 35,787        1.19        1.19        3.51        28   
  —        9.22        33.32        33,796        1.21        1.21        4.67        22   
  —        7.18        (25.26 )      31,709        1.09        1.10        5.10        23   
  —        10.26        (2.80 )      54,733        1.08 (k)      1.09 (k)      3.76        50   
  —        11.15        14.24        37,117        1.25        1.30        2.72        52   
             
  —        10.39        15.90        27,355        1.94        1.94        2.76        28   
  —        9.20        32.24        25,301        1.96        1.96        3.90        22   
  —        7.17        (25.78 )      30,336        1.84        1.84        4.30        23   
  —        10.24        (3.52 )      70,179        1.83 (k)      1.84 (k)      3.00        50   
  —        11.12        13.33        49,027        2.00        2.05        2.02        52   

 

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) Includes a non-recurring dividend of $0.01 per share.
(h) Includes a litigation payment of $0.02 per share.
(i) Includes fee/expense recovery of 0.00%, 0.02%, 0.01% and 0.04% for Class A, B, C and Y, respectively.
(j) Effect of voluntary waiver of expenses by adviser was less than 0.005%.
(k) Includes fee/expense recovery of 0.01%.

 

See accompanying notes to financial statements.

 

|  100

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations:		     Less Distributions:  
    Net asset
value,
beginning
of the
period		     Net
investment
income
(loss) (a)		     Net realized
and
unrealized
gain (loss)		     Total from
investment
operations		     Dividends
from net
investment
income		     Distributions
from net
realized
capital
gains		     Total
distributions		  

NATIXIS U.S. DIVERSIFIED PORTFOLIO

  

Class A

              

12/31/2010

   $ 20.68      $ 0.03 (g)    $ 4.50      $ 4.53      $ (0.04 )    $ —      $ (0.04 ) 

12/31/2009

     15.16        (0.01 )      5.53        5.52        —        —        —   

12/31/2008

     25.76        0.02 (h)      (10.20 )      (10.18 )      —        (0.42 )      (0.42 ) 

12/31/2007

     22.94        (0.06 )      3.19        3.13        —        (0.31 )      (0.31 ) 

12/31/2006

     20.17        0.04        2.73        2.77        —        —        —   

Class B

              

12/31/2010

     17.85        (0.12 )(g)      3.87        3.75        —        —        —   

12/31/2009

     13.19        (0.12 )      4.78        4.66        —        —        —   

12/31/2008

     22.63        (0.13 )(h)      (8.89 )      (9.02 )      —        (0.42 )      (0.42 ) 

12/31/2007

     20.33        (0.22 )      2.83        2.61        —        (0.31 )      (0.31 ) 

12/31/2006

     18.01        (0.11 )      2.43        2.32        —        —        —   

Class C

              

12/31/2010

     17.86        (0.12 )(g)      3.87        3.75        —        —        —   

12/31/2009

     13.19        (0.12 )      4.79        4.67        —        —        —   

12/31/2008

     22.65        (0.13 )(h)      (8.91 )      (9.04 )      —        (0.42 )      (0.42 ) 

12/31/2007

     20.36        (0.22 )      2.82        2.60        —        (0.31 )      (0.31 ) 

12/31/2006

     18.03        (0.11 )      2.44        2.33        —        —        —   

Class Y

              

12/31/2010

     22.27        0.05 (g)      4.90        4.95        (0.10 )      —        (0.10 ) 

12/31/2009

     16.29        0.04        5.94        5.98        —        —        —   

12/31/2008

     27.58        0.07 (h)      (10.94 )      (10.87 )      —        (0.42 )      (0.42 ) 

12/31/2007

     24.45        0.03        3.41        3.44        —        (0.31 )      (0.31 ) 

12/31/2006

     21.41        0.14        2.90        3.04        —        —        —   

 

(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, if applicable.
(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

 

See accompanying notes to financial statements.

 

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Table of Contents
                        Ratios to Average Net Assets:        
Increase from
regulatory
settlements (b)		     Net asset
value,
end of
the period		     Total
return
(%) (c)(d)		     Net assets,
end of the
period
(000’s)		     Net
expenses
(%) (e)(f)		     Gross
expenses
(%) (e)		     Net investment
income (loss)
(%) (e)		     Portfolio
turnover
rate (%)		  
             
             
$ 0.00      $ 25.17        21.90      $ 314,384        1.40        1.50        0.14 (g)      79   
  —        20.68        36.41        280,846        1.40        1.56        (0.05 )      115   
  —        15.16        (40.05 )      228,549        1.43        1.43        0.08        110   
  —        25.76        13.69        407,228        1.47        1.47        (0.24 )      82   
  —        22.94        13.68        393,430        1.46        1.46        0.17        83   
             
  0.00        21.60        21.01        28,787        2.15        2.25        (0.66 )(g)      79   
  —        17.85        35.33        37,406        2.15        2.31        (0.80 )      115   
  —        13.19        (40.47 )      40,868        2.18        2.19        (0.70 )      110   
  —        22.63        12.83        119,028        2.21        2.21        (1.00 )      82   
  —        20.33        12.88        147,819        2.22        2.22        (0.60 )      83   
             
  0.00        21.61        21.00        30,912        2.15        2.25        (0.62 )(g)      79   
  —        17.86        35.41        28,580        2.15        2.31        (0.80 )      115   
  —        13.19        (40.53 )      24,079        2.18        2.18        (0.68 )      110   
  —        22.65        12.82        47,239        2.22        2.22        (0.99 )      82   
  —        20.36        12.87        46,064        2.22        2.22        (0.59 )      83   
             
  0.00        27.12        22.21        1,317        1.15        1.24        0.22 (g)      79   
  —        22.27        36.71        5,325        1.15        1.22        0.20        115   
  —        16.29        (39.89 )      5,611        1.17        1.23        0.31        110   
  —        27.58        14.02        16,649        1.12        1.12        0.10        82   
  —        24.45        14.20        21,155        1.03        1.03        0.60        83   

 

(e) Computed on an annualized basis for periods less than one year, if applicable.
(f) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(g) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively.
(h) Includes a non-recurring dividend of $0.02 per share.

 

See accompanying notes to financial statements.

 

|  102

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations:		     Less Distributions:  
    Net asset
value,
beginning
of the
period		     Net
investment
income
(loss) (a)		     Net
realized
and
unrealized
gain (loss)		     Total from
investment
operations		     Dividends
from net
investment
income (b)		     Distributions
from net
realized
capital
gains		     Distributions
from paid-in
capital		     Total
distributions		  

VAUGHAN NELSON SMALL CAP VALUE FUND

  

Class A

                

12/31/2010

   $ 22.31      $ (0.01 )    $ 5.27      $ 5.26      $ —      $ (4.90 )    $ —      $ (4.90 ) 

12/31/2009

     17.42        0.05 (g)      4.88        4.93        (0.04 )      —        —        (0.04 ) 

12/31/2008

     22.11        0.03        (4.69 )      (4.66 )      —        (0.03 )      —        (0.03 ) 

12/31/2007

     20.90        (0.02 )      1.23        1.21        —        —        —        —   

12/31/2006

     17.69        (0.05 )      3.26        3.21        —        —        —        —   

Class B

                

12/31/2010

     20.06        (0.17 )      4.72        4.55        —        (4.90 )      —        (4.90 ) 

12/31/2009

     15.76        (0.09 )(g)      4.39        4.30        —        —        —        —   

12/31/2008

     20.15        (0.14 )      (4.22 )      (4.36 )      —        (0.03 )      —        (0.03 ) 

12/31/2007

     19.19        (0.17 )      1.13        0.96        —        —        —        —   

12/31/2006

     16.36        (0.20 )      3.03        2.83        —        —        —        —   

Class C

                

12/31/2010

     20.07        (0.16 )      4.71        4.55        —        (4.90 )      —        (4.90 ) 

12/31/2009

     15.76        (0.08 )(g)      4.39        4.31        —        —        —        —   

12/31/2008

     20.16        (0.13 )      (4.24 )      (4.37 )      —        (0.03 )      —        (0.03 ) 

12/31/2007

     19.19        (0.17 )      1.14        0.97        —        —        —        —   

12/31/2006

     16.37        (0.19 )      3.01        2.82        —        —        —        —   

Class Y

                

12/31/2010

     22.47        0.06        5.31        5.37        —        (4.90 )      —        (4.90 ) 

12/31/2009

     17.55        0.12 (g)      4.90        5.02        (0.10 )      —        —        (0.10 ) 

12/31/2008

     22.20        0.12        (4.74 )      (4.62 )      —        (0.03 )      —        (0.03 ) 

12/31/2007

     20.91        0.04        1.25        1.29        —        —        —        —   

12/31/2006(k)

     19.02        0.02        1.87        1.89        —        —        —        —   

VAUGHAN NELSON VALUE OPPORTUNITY FUND

  

Class A

                

12/31/2010

   $ 12.46      $ 0.08 (m)    $ 2.36      $ 2.44      $ (0.07 )    $ (0.02 )    $ (0.06 )    $ (0.15 ) 

12/31/2009

     9.60        0.09        2.88        2.97        (0.04 )      (0.07 )      —        (0.11 ) 

12/31/2008(l)

     10.00        0.03        (0.41 )      (0.38 )      (0.02 )      —        —        (0.02 ) 

Class C

                

12/31/2010

     12.39        (0.03 )(m)      2.36        2.33        (0.04 )      (0.02 )      (0.03 )      (0.09 ) 

12/31/2009

     9.59        (0.02 )      2.89        2.87        (0.00 )      (0.07 )      —        (0.07 ) 

12/31/2008(l)

     10.00        0.02        (0.41 )      (0.39 )      (0.02 )      —        —        (0.02 ) 

Class Y

                

12/31/2010

     12.49        0.12 (m)      2.37        2.49        (0.09 )      (0.02 )      (0.07 )      (0.18 ) 

12/31/2009

     9.60        0.10        2.90        3.00        (0.04 )      (0.07 )      —        (0.11 ) 

12/31/2008(l)

     10.00        0.03        (0.40 )      (0.37 )      (0.03 )      —        —        (0.03 ) 

 

(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, if applicable.
(c) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.
(d) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.

 

See accompanying notes to financial statements.

 

103  |

Table of Contents
                              Ratios to Average Net Assets:        
Increase from
regulatory
settlements		     Redemption
fees (b)		     Net asset
value,
end of
the period		     Total
return
(%) (c)(d)		     Net assets,
end of
the period
(000’s)		     Net
expenses
(%) (e)(f)		     Gross
expenses
(%) (f)		     Net
investment
income (loss)
(%) (f)		     Portfolio
turnover
rate (%)		  
               
               
$ 0.02      $ —      $ 22.69        23.67      $ 267,192        1.41        1.41        (0.03 )      80   
  —        —        22.31        28.30        322,961        1.45        1.49        0.27        102   
  —        0.00 (h)      17.42        (21.11 )      171,875        1.45        1.51        0.13        124   
  —        0.00        22.11        5.84        103,719        1.49        1.57        (0.11 )      78   
  —        0.00        20.90        18.09        85,285        1.59        1.59        (0.28 )      88   
               
  0.02        —        19.73        22.78        7,996        2.16        2.16        (0.78 )      80   
  —        —        20.06        27.28        10,630        2.20        2.24        (0.56 )      102   
  —        0.00 (h)      15.76        (21.67 )      11,788        2.20        2.26        (0.78 )      124   
  —        0.00        20.15        5.06        25,076        2.24        2.31        (0.84 )      78   
  —        0.00        19.19        17.24        32,606        2.37        2.37        (1.10 )      88   
               
  0.02        —        19.74        22.78        38,855        2.16        2.16        (0.76 )      80   
  —        —        20.07        27.35        39,238        2.20        2.24        (0.48 )      102   
  —        0.00 (h)      15.76        (21.71 )      21,861        2.20        2.26        (0.68 )      124   
  —        0.00        20.16        5.05        21,765        2.24        2.32        (0.85 )      78   
  —        0.00        19.19        17.23        18,186        2.35        2.35        (1.04 )      88   
               
  0.02        —        22.96        24.00        217,305        1.16        1.16        0.24        80   
  —        —        22.47        28.61        232,903        1.18 (i)      1.18 (i)      0.60        102   
  —        0.00 (h)      17.55        (20.81 )      71,568        1.20        1.21        0.65        124   
  —        0.00        22.20        6.12        1,241        1.19 (j)      1.19 (j)      0.17        78   
  —        0.00        20.91        9.94        427        1.35        1.90        0.35        88   
               
               
$ —      $ —      $ 14.75        19.64      $ 11,268        1.40        1.69        0.62 (m)      143   
  —        —        12.46        30.98        3,645        1.40        5.24        0.79        45   
  —        —        9.60        (3.75 )      16        1.40        39.61        1.92        12   
               
  —        —        14.63        18.85        824        2.15        2.46        (0.23 )(m)      143   
  —        —        12.39        30.01        370        2.15        8.54        (0.14 )      45   
  —        —        9.59        (3.90 )      41        2.15        40.36        1.62        12   
               
  —        —        14.80        19.96        40,715        1.15        1.43        0.92 (m)      143   
  —        —        12.49        31.37        8,626        1.15        7.22        0.90        45   
  —        —        9.60        (3.74 )      960        1.15        38.91        1.41        12   

 

(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) Includes a non-recurring dividend of $0.03 per share.
(h) Effective June 2, 2008, redemption fees were eliminated.
(i) Includes fee/expense recovery of less than 0.01%.
(j) Includes fee/expense recovery of 0.04%.
(k) From commencement of Class operations on August 31, 2006 through December 31, 2006.
(l) For the period October 31, 2008 (inception) through December 31, 2008.
(m) Includes non-recurring dividends. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.09) and $0.04 for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.74)% and 0.34% for Class A, Class C and Class Y shares, respectively.

 

See accompanying notes to financial statements.

 

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Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations:		     Less Distributions:  
    Net asset
value,
beginning
of the
period		     Net
investment
income (a)		     Net realized
and
unrealized
gain (loss)		     Total from
investment
operations		     Dividends
from net
investment
income		     Distributions
from net
realized
capital
gains		     Total
distributions		  

WESTPEAK ACTIVEBETA® EQUITY FUND

  

Class A

              

12/31/2010(f)

   $ 10.00      $ 0.04      $ 1.39      $ 1.43      $ (0.05 )    $ —      $ (0.05 ) 

Class C

              

12/31/2010(f)

     10.00        0.01        1.38        1.39        (0.01 )      —        (0.01 ) 

Class Y

              

12/31/2010(f)

     10.00        0.05        1.39        1.44        (0.06 )      —        (0.06 ) 

 

 

(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, if applicable, total returns would have been lower.
(c) A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

 

See accompanying notes to financial statements.

 

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                  Ratios to Average Net Assets:        
Net asset
value,
end of
the period		     Total
return
(%) (b)(c)		     Net assets,
end of the
period
(000’s)		     Net
expenses
(%) (d)(e)		     Gross
expenses
(%) (d)		     Net
investment
income
(%) (d)		     Portfolio
turnover
rate (%)		  
           
           
$ 11.38        14.28      $ 1        1.20        5.55        0.90        34   
           
  11.38        13.94        1        1.95        6.31        0.14        34   
           
  11.38        14.39        5,720        0.95        5.34        1.13        34   

 

 

(d) Computed on an annualized basis for periods less than one year, if applicable.
(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) For the period July 30, 2010 (inception) through December 31, 2010.

 

See accompanying notes to financial statements.

 

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Notes to Financial Statements

 

December 31, 2010

 

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 (“1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust I:

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

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

Natixis U.S. Diversified Portfolio (the “U.S. Diversified Portfolio”)

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

Natixis Funds Trust II:

Harris Associates Large Cap Value Fund (the “Large Cap Value Fund”)

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

Westpeak ActiveBeta® Equity Fund (the “ActiveBeta Equity Fund”)

The ActiveBeta Equity Fund commenced operations on July 30, 2010 via contribution by Natixis Global Asset Management, L.P. (“Natixis US”) and its affiliates of $5,002,000.

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

Effective July 31, 2009, the Small Cap Value Fund was closed to new investors.

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

 

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Notes to Financial Statements (continued)

 

December 31, 2010

 

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

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements 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.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Domestic exchange-traded single equity option contracts are valued at

 

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December 31, 2010

 

the mean of the National Best Bid and Offer quotations. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies are valued at their net asset value each day. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.

Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of 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. Investment income is recorded net of foreign taxes withheld when 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.

 

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December 31, 2010

 

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

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

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

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

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 or securities to or from the counterparty as collateral for the Funds’ or counterparty’s net obligations under the contracts.

e.  Option Contracts.  Certain 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 or closed

 

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December 31, 2010

 

are added to the cost or deducted from the proceeds on the underlying instrument or closing sale transaction to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

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

Exchange-traded options have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Funds are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. For the year ended December 31, 2010, the Funds were not party to any over-the-counter options.

f.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2010 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

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

 

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December 31, 2010

 

States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, ordinary loss netting to reduce short term capital gains, distribution redesignations, return of capital and capital gain distributions from REITs, foreign currency transactions, distributions in excess of current earnings, premium amortization, non-deductible expenses, and regulatory settlements. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, securities lending collateral gain/loss adjustment, straddle loss deferrals, wash sales, defaulted bond adjustments, return of capital distributions from REITs, contingent payment debt instruments, premium amortization, forward contracts mark to market and trust preferred securities. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2010 and 2009 was as follows:

 

     2010 Distributions Paid From:     2009 Distributions Paid From:  

Fund

  

Ordinary

Income

    

Long-Term
Capital Gains

    

Return of
Capital

    

Total

    

Ordinary

Income

    

Long-Term
Capital Gains

    

Total

  

Targeted Equity Fund

   $ 4,648,299      $ —      $ —      $ 4,648,299      $ 5,596,850      $     —      $ 5,596,850   

Large Cap Value Fund

     546,131        —        —        546,131        492,401        —        492,401   

Income Diversified Portfolio

     1,801,193        —        —        1,801,193        1,922,478        —        1,922,478   

U.S. Diversified Portfolio

     491,685        —        —        491,685        —        —        —   

Small Cap Value Fund

     40,800,424        59,193,465        —        99,993,889        1,564,773        —        1,564,773   

Value Opportunity Fund

     332,097        16,217        231,814        580,128        105,697        —        105,697   

ActiveBeta Equity Fund

     29,256        —        —        29,256        —        —        —   

Differences between these amounts for the year ended December 31, 2010 and those reported in the Statements of Changes in Net Assets for the same period are primarily attributable to different book and tax treatment for short-term capital gains.

 

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December 31, 2010

 

As of December 31, 2010, the components of distributable earnings on a tax basis were as follows:

 

    

Targeted
Equity Fund

    

Large Cap
Value Fund

    

Income
Diversified
Portfolio

    

U.S.

Diversified
Portfolio

    

Small Cap
Value

Fund

    

Value

Opportunity

Fund

    

ActiveBeta

Equity
Fund

  

Undistributed ordinary income

   $ —      $ 37,225      $ 166,396      $ —      $ 5,209,851      $ —      $ 41,523   

Undistributed long-term capital gains

     —        —        —        —        17,019,096        —        1,164   
                                                       

Total undistributed earnings

     —        37,225        166,396        —        22,228,947        —        42,687   
                                                       

Capital loss carryforward:

              

Expires December 31, 2011

     —        (9,965,466 )      —        —        —        —        —   

Expires December 31, 2016

     —        —        (6,715,998 )      —        —        —        —   

Expires December 31, 2017

     (127,400,916 )      (9,206,549 )      (14,198,082 )      (35,486,708 )      —        —        —   

Expires December 31, 2018

     —        (790,094 )      —        —        —        (279,086 )      —   
                                                       

Total capital loss carryforward

     (127,400,916 )      (19,962,109 )      (20,914,080 )      (35,486,708 )      —        (279,086 )      —   

Deferred net capital losses (post-October 2010)

     —        (618,746 )      —        —        —        —        —   

Deferred net currency losses (post-October 2010)

     —        —        —        (1,327 )      —        —        —   

Unrealized appreciation (depreciation)

     257,841,693        9,452,387        80,255        87,861,125        101,397,574        7,908,392        655,672   
                                                       

Total accumulated earnings (losses)

   $ 130,440,777      $ (11,091,243 )    $ (20,667,429 )    $ 52,373,090      $ 123,626,521      $ 7,629,306      $ 698,359   
                                                       

Capital loss carryforward utilized in the current year

   $ 142,012,101      $ —      $ 121,729      $ 39,323,925      $ —      $ —      $ —   
                                                       

Large Cap Value Fund had $24,633,843 of capital loss carryforwards expire in the current year.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise

 

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December 31, 2010

 

tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect as of the report date limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. Management is currently evaluating the complete impact of the Act on the Fund’s financial statements.

h.  Repurchase Agreements.  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.

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

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in its 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.

j.  Securities Lending.  The Funds, except Value Opportunity Fund and ActiveBeta Equity Fund, 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

 

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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, 2010, none of the Funds had loaned securities under this agreement.

Effective January 1, 2011, Value Opportunity Fund and ActiveBeta Equity Fund became party to the securities lending agreement with State Street Bank.

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

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

 

  •  

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

 

  •  

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

 

  •  

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).

 

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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, 2010, at value:

Targeted Equity Fund

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

    $ 966,050,628       $ —       $     —       $ 966,050,628   

Short-Term Investments

      —         17,231,083         —         17,231,083   
                                   

Total

    $ 966,050,628       $ 17,231,083       $ —       $ 983,281,711   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Large Cap Value Fund

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

    $ 133,166,948       $ —       $     —       $ 133,166,948   

Short-Term Investments

      —         9,372,781         —         9,372,781   
                                   

Total

    $ 133,166,948       $ 9,372,781       $ —       $ 142,539,729   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

 

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Income Diversified Portfolio

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

    

Level 3

     

Total

  

Bonds and Notes(a)

    $ —       $ 30,376,467      $     —       $ 30,376,467   

Common Stocks(a)

      28,221,483         —        —         28,221,483   

Preferred Stocks

           

Non-Convertible Preferred Stocks(a)

      97,763         121,917        —         219,680   

Convertible Preferred Stocks

           

Automotive

      40,582         —        —         40,582   

Capital Markets

      —         26,250        —         26,250   

Diversified Financial Services

      —         11,275        —         11,275   
                                  

Total Convertible Preferred Stocks

      40,582         37,525        —         78,107   
                                  

Total Preferred Stocks

      138,345         159,442        —         297,787   
                                  

Short-Term Investments

      —         3,608,249        —         3,608,249   
                                  

Total

    $ 28,359,828       $ 34,144,158      $ —       $ 62,503,986   
                                  
Liability Valuation Inputs           

Description(a)

   

Level 1

     

Level 2

    

Level 3

     

Total

  

Forward Foreign Currency Contracts
(unrealized depreciation)

    $     —       $ (2,059 )    $     —       $ (2,059 ) 
                                  

 

(a) Major categories of the Portfolio’s investments are included in the Portfolio of Investments.

U.S. Diversified Portfolio

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

    $ 364,899,770       $ —       $     —       $ 364,899,770   

Short-Term Investments

      —         13,139,372         —         13,139,372   
                                   

Total

    $ 364,899,770       $ 13,139,372       $ —       $ 378,039,142   
                                   

 

(a) Major categories of the Portfolio’s investments are included in the Portfolio of Investments.

 

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Small Cap Value Fund

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

    $ 504,661,928       $ —       $     —       $ 504,661,928   

Exchange Traded Funds

      14,802,715         —         —         14,802,715   

Short-Term Investments

      —         10,484,963         —         10,484,963   
                                   

Total

    $ 519,464,643       $ 10,484,963       $ —       $ 529,949,606   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Value Opportunity Fund

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

    $ 48,738,667       $ —       $     —       $ 48,738,667   

Exchange Traded Funds

      1,277,159         —         —         1,277,159   

Short-Term Investments

      —         1,818,995         —         1,818,995   
                                   

Total

    $ 50,015,826       $ 1,818,995       $ —       $ 51,834,821   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

ActiveBeta Equity Fund

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

    $ 5,742,057       $     —       $     —       $ 5,742,057   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2010:

Income Diversified Portfolio

Asset Valuation Inputs

 

Investments in
Securities

   Balance
as of
December
31, 2009		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Net
Purchases
(Sales)		     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance
as of
December
30, 2010		  

Bonds and Notes Supranational

   $ 74,141      $     —      $     —      $     —      $     —      $     —      $ (74,141 )    $     —   
                                                               

 

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Debt securities valued at $74,141 were transferred from Level 3 to Level 2 during the year ended December 31, 2010. At December 31, 2009 these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2010, these securities were valued using broker-dealer bid quotations based on inputs observable to the Fund.

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds currently use include forward foreign currency contracts and option contracts.

The Funds are 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. Certain Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. Certain Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended December 31, 2010, Income Diversified Portfolio engaged in forward foreign currency transactions for hedging purposes.

The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. U.S. Diversified Portfolio (the “Portfolio”) may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Portfolio may also write put options to offset the cost of option contracts used for hedging purposes. During the year ended December 31, 2010, the Portfolio engaged in written call option transactions and purchased and written put option transactions in accordance with these objectives.

Certain Funds are party to agreements with counterparties that govern transactions in forward foreign currency contracts and over-the-counter options. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2010, the value of Income Diversified Portfolio’s derivative positions subject to credit-risk-related contingent features that are in a net liability position is ($2,059). No collateral was pledged to the counterparty for such contracts.

Forward foreign currency contracts and over-the-counter option contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. Certain Funds have mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net

 

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amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In addition to collateral requirements, the Funds also require counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for Income Diversified Portfolio as of December 31, 2010:

 

Statements of Assets and Liabilities Caption

    Foreign Exchange
Contracts		  

Liabilities

   

Unrealized depreciation on forward foreign currency contracts

    $      (2,059) 

Transactions in derivative instruments for Income Diversified Portfolio during the year ended December 31, 2010 were as follows:

 

Statements of Operations Caption

   Foreign Exchange
Contracts		  

Net Realized Gain (Loss) on:

  

Foreign currency transactions*

   $ 760   

Net Change in Unrealized Appreciation (Depreciation) on:

  

Foreign currency translations*

     (2,059 ) 

 

* Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

Transactions in derivative instruments for U.S. Diversified Portfolio during the year ended December 31, 2010 were as follows:

 

Statements of Operations Caption

    Equity
Contracts		  

Net Realized Gain (Loss) on:

   

Investments*

    $ (1,449,740 ) 

Options written

      178,283   

Net Change in Unrealized Appreciation (Depreciation) on:

   

Options written

      (11,203 ) 

 

* Represents realized loss for purchased options during the period.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives

 

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may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

Volume of forwards activity, as a percentage of net assets, for Income Diversified Portfolio, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the year ended December 31, 2010:

 

Income Diversified Portfolio

    Forwards  

Average Notional Amount Outstanding

      0.08 % 

Highest Notional Amount Outstanding

      0.36 % 

Lowest Notional Amount Outstanding

      0.00 % 

Notional Amount Outstanding as of December 31, 2010

      0.16 % 

Volume of options activity, as a percentage of net assets, for U.S. Diversified Portfolio, based on the month-end market values of equity securities underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2010:

 

U.S. Diversified Portfolio*

   

Call Options
Written

    

Put Options

Written

    

Put Options

Purchased

  

Average Market Value of Underlying Securities

      0.45 %      0.76 %      0.93 % 

Highest Market Value of Underlying Securities

      1.87 %      2.77 %      2.77 % 

Lowest Market Value of Underlying Securities

      0.00 %      0.00 %      0.00 % 

Market Value of Underlying Securities as of December 31, 2010

      0.00 %      0.00 %      0.00 % 

* Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures.

Market value of underlying securities and notional amounts outstanding at the end of the prior period are included in the averages above.

The following is a summary of U.S. Diversified Portfolio’s written option activity:

 

     

Number of
Contracts

    

Premiums

  

Outstanding at 12/31/2009

      34      $ 16,898   

Options written

      6,091        1,749,464   

Options terminated in closing purchase transactions

      (6,125 )      (1,766,362 ) 

Options exercised

      —        —   

Options expired

      —        —   
                

Outstanding at 12/31/2010

      —      $ —   
                

 

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5.  Purchases and Sales of Securities.  For the year ended December 31, 2010, purchases and sales of securities (excluding short-term investments and U.S. Government/agency securities and including paydowns) were as follows:

 

Fund

   

Purchases

     

Sales

  

Targeted Equity Fund

    $ 1,338,114,133       $ 1,519,374,539   

Large Cap Value Fund

      41,522,733         48,991,492   

Income Diversified Portfolio

      13,507,924         18,812,225   

U.S. Diversified Portfolio

      262,214,267         306,647,201   

Small Cap Value Fund

      427,735,617         615,568,474   

Value Opportunity Fund

      79,116,975         47,878,615   

ActiveBeta Equity Fund

      6,563,071         1,516,297   

For the year ended December 31, 2010, purchases and sales of U.S. Government/agency securities by the Income Diversified Portfolio were $2,554,057 and $2,352,990, respectively.

6.  Management Fees and Other Transactions with Affiliates.

 

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

 

     Percentage of Average Daily Net Assets  

Fund

  

First

$200 million

    

Next

$300 million

    

Next

$500 million

    

Next

$1 billion

    

Over

$2 billion

  

Targeted Equity Fund

     0.75 %      0.70 %      0.65 %      0.65 %      0.60 % 

Large Cap Value Fund

     0.70 %      0.65 %      0.60 %      0.60 %      0.60 % 

Income Diversified Portfolio

     0.55 %      0.55 %      0.55 %      0.50 %      0.50 % 

U.S. Diversified Portfolio

     0.90 %      0.90 %      0.90 %      0.80 %      0.80 % 

Small Cap Value Fund

     0.90 %      0.90 %      0.90 %      0.90 %      0.90 % 

Value Opportunity Fund

     0.80 %      0.80 %      0.80 %      0.80 %      0.80 % 

ActiveBeta Equity Fund

     0.60 %      0.60 %      0.60 %      0.60 %      0.60 % 

 

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

 

Large Cap Value Fund

   

Harris Associates L.P. (“Harris”)

Income Diversified Portfolio

   

AEW Capital Management, L.P. (“AEW”)

  

Loomis, Sayles & Company, L.P. (“Loomis Sayles”)

U.S. Diversified Portfolio

   

Harris

  

Loomis Sayles

  

BlackRock Investment Management LLC (“BlackRock”)

Small Cap Value Fund

   

Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)

Value Opportunity Fund

   

Vaughan Nelson

ActiveBeta Equity Fund

   

Westpeak Global Advisors, L.P. (“Westpeak”)

Payments to Natixis Advisors are reduced by the amount of payments to the subadvisers.

Natixis Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2011 (April 30, 2012 for ActiveBeta Equity Fund) and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected in the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2010, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

      Expense limit
as a Percentage of
Average Daily Net Assets		  

Fund

    Class A     Class B     Class C     Class Y  

Large Cap Value Fund

      1.30 %      2.05 %      2.05 %      1.05 % 

Income Diversified Portfolio

      1.25 %      —        2.00 %      —   

U.S. Diversified Portfolio

      1.40 %      2.15 %      2.15 %      1.15 % 

Small Cap Value Fund

      1.45 %      2.20 %      2.20 %      1.20 % 

Value Opportunity Fund

      1.40 %      —        2.15 %      1.15 % 

ActiveBeta Equity Fund

      1.20 %      —        1.95 %      0.95 % 

Natixis Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on

 

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a class by class basis in later periods to the extent the 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, 2010, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

   

Gross
Management
Fees

     

Waivers of
Management
Fees1

     

Net
Management
Fees

     

Percentage of
Average
Daily Net Assets

  
            Gross     Net  

Targeted Equity Fund

    $ 6,486,746       $ —       $ 6,486,746         0.69 %      0.69 % 

Large Cap Value Fund

      948,166         116,053         832,113         0.70 %      0.61 % 

Income Diversified Portfolio

      326,508         —         326,508         0.55 %      0.55 % 

U.S. Diversified Portfolio

      3,092,377         342,883         2,749,494         0.90 %      0.80 % 

Small Cap Value Fund

      4,954,501         —         4,954,501         0.90 %      0.90 % 

Value Opportunity Fund

      281,290         98,711         182,579         0.80 %      0.52 % 

ActiveBeta Equity Fund

      13,329         13,329         —         0.60 %      —   

1 Management fee waivers are subject to possible recovery until December 31, 2011.

For the year ended December 31, 2010, expenses have been reimbursed as follows:

 

Fund

    Reimbursement2  

ActiveBeta Equity Fund

      84,267   

2 Expense reimbursements are subject to possible recovery until December 31, 2011.

No expenses were recovered during the year ended December 31, 2010 under the terms of the expense limitation agreement.

Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, AEW, CGM, Harris, Loomis Sayles, Vaughan Nelson and Westpeak are subsidiaries of Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

Effective January 1, 2011, executives of Westpeak have purchased a controlling interest in Westpeak from Natixis US; therefore, Westpeak is no longer a subsidiary of Natixis US.

 

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

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

Under the Class A Plans, each Fund pays Natixis Distributors 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 Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B (if applicable) and Class C Plans, each Fund pays Natixis Distributors 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 B (if applicable) and Class C shares, as compensation for services provided by Natixis Distributors in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.

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

For the year ended December 31, 2010, the Funds paid the following service and distribution fees:

 

      Service Fees      Distribution Fees  

Fund

   

Class A

     

Class B

     

Class C

     

Class B

     

Class C

  

Targeted Equity Fund

    $ 1,726,537       $ 25,841       $ 185,924       $ 77,524       $ 557,770   

Large Cap Value Fund

      283,391         16,208         18,133         48,626         54,398   

Income Diversified Portfolio

      86,851         —         61,562         —         184,685   

U.S. Diversified Portfolio

      706,023         78,045         70,262         234,135         210,787   

Small Cap Value Fund

      706,623         22,295         93,699         66,886         281,098   

Value Opportunity Fund

      19,292         —         1,216         —         3,649   

ActiveBeta Equity Fund

      1         —         1         —         3   

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among

 

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Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays 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 Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers. For the period July 30, 2010 to December 31, 2010, ActiveBeta Equity Fund was subject to the new fund fee.

Prior to July 1, 2010, each Fund (except ActiveBeta Equity 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 Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion and 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which was reevaluated on an annual basis. New funds were subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers.

For the year ended December 31, 2010, each Fund paid the following administrative fees to Natixis Advisors:

 

Fund

   

Administrative
Fees

  

Targeted Equity Fund

    $ 445,886   

Large Cap Value Fund

      63,306   

Income Diversified Portfolio

      27,906   

U.S. Diversified Portfolio

      161,894   

Small Cap Value Fund

      260,668   

Value Opportunity Fund

      16,677   

ActiveBeta Equity Fund

      42,095   

d.  Sub-Transfer Agent Fees.  Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the

 

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intermediary fees attributable to shares of the Funds held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the year ended December 31, 2010, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:

 

Fund

   

Sub-Transfer
Agent Fees

  

Targeted Equity Fund

    $ 497,236   

Large Cap Value Fund

      38,848   

Income Diversified Portfolio

      26,827   

U.S. Diversified Portfolio

      97,228   

Small Cap Value Fund

      490,432   

Value Opportunity Fund

      27,496   

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the year ended December 31, 2010, were as follows:

 

Fund

   

Commissions

  

Targeted Equity Fund

    $ 430,773   

Large Cap Value Fund

      30,597   

Income Diversified Portfolio

      36,109   

U.S. Diversified Portfolio

      191,784   

Small Cap Value Fund

      64,518   

Value Opportunity Fund

      9,738   

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 Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance 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 $7,500 for each Committee meet-

 

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December 31, 2010

 

ing that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. Each member of the ad hoc Committee on Alternative Investments received a one-time fee of $10,000. The ad hoc Committee on Alternative Investments is not a standing committee. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series 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 Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

g.  Payments by Affiliates.  For the year ended December 31, 2010, Loomis Sayles reimbursed the U.S. Diversified Portfolio $12,330 for losses incurred in connection with a trading error.

7.  Regulatory Settlements.  During the year ended December 31, 2010, Small Cap Value Fund and U.S. Diversified Portfolio received payments of $493,744 and $61,116, respectively, relating to a regulatory settlement. The payments have been included in “Increase from Regulatory Settlements” on the Statements of Changes in Net Assets.

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% 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.

Prior to March 10, 2010, each Fund (except ActiveBeta Equity Fund), together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that

 

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December 31, 2010

 

participated in the line of credit. Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 0.75%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended December 31, 2010, none of the Funds had borrowings under these agreements.

9.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2010, amounts rebated under these agreements were as follows:

 

Fund

   

Rebates

  

Targeted Equity Fund

    $ 442,842   

Income Diversified Portfolio

      543   

U.S. Diversified Portfolio

      36,178   

Small Cap Value Fund

      61,324   

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

11.  Concentration of Ownership.  From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of December 31, 2010, one shareholder individually owned more than 5% of the Value Opportunity Fund’s total outstanding shares, representing 9.62% of the Fund’s net assets. Such ownership may be beneficially held by individuals or entities other than the owner of record. Natixis US and its affiliates owned shares equating to 100% of ActiveBeta Equity Fund’s net assets.

 

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

 

    

 

 Year Ended

December 31, 2010

   

  

    

 

 Year Ended

December 31, 2009

   

  

Targeted Equity Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      7,738,827      $ 76,552,424        18,532,079      $ 148,049,113   

Issued in connection with the reinvestment of distributions

      311,600        3,451,189        335,999        3,222,227   

Redeemed

      (12,966,098 )      (127,132,727 )      (50,204,318 )      (374,589,222 ) 
                                

Net change

      (4,915,671 )    $ (47,129,114 )      (31,336,240 )    $ (223,317,882 ) 
                                
Class B         

Issued from the sale of shares

      30,077      $ 270,580        45,025      $ 305,649   

Issued in connection with the reinvestment of distributions

      38        356        —        —   

Redeemed

      (478,236 )      (4,192,463 )      (623,545 )      (4,417,340 ) 
                                

Net change

      (448,121 )    $ (3,921,527 )      (578,520 )    $ (4,111,691 ) 
                                
Class C         

Issued from the sale of shares

      2,115,687      $ 18,787,778        2,873,972      $ 20,208,835   

Issued in connection with the reinvestment of distributions

      170        1,588        1,791        15,423   

Redeemed

      (2,720,024 )      (23,660,824 )      (2,754,130 )      (19,801,078 ) 
                                

Net change

      (604,167 )    $ (4,871,458 )      121,633      $ 423,180   
                                
Class Y         

Issued from the sale of shares

      5,946,373      $ 59,945,503        34,268,943      $ 265,786,478   

Issued in connection with the reinvestment of distributions

      22,586        256,277        36,234        355,815   

Redeemed

      (21,046,408 )      (216,794,343 )      (12,796,087 )      (115,579,152 ) 
                                

Net change

      (15,077,449 )    $ (156,592,563 )      21,509,090      $ 150,563,141   
                                

Increase (decrease) from capital share transactions

      (21,045,408 )    $ (212,514,662 )      (10,284,037 )    $ (76,443,252 ) 
                                

 

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December 31, 2010

 

12.  Capital Shares (continued).

 

    
 		 Year Ended
December 31, 2010		   
  		    
 		 Year Ended
December 31, 2009		   
  

Large Cap Value Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      584,698      $ 7,591,609        623,676      $ 6,353,749   

Issued in connection with the reinvestment of distributions

      28,036        394,129        31,832        375,612   

Redeemed

      (1,229,322 )      (15,876,577 )      (1,427,850 )      (13,903,194 ) 
                                

Net change

      (616,588 )    $ (7,890,839 )      (772,342 )    $ (7,173,833 ) 
                                
Class B         

Issued from the sale of shares

      13,200      $ 158,473        32,413      $ 261,331   

Issued in connection with the reinvestment of distributions

      582        7,425        614        5,027   

Redeemed

      (259,196 )      (3,105,680 )      (362,222 )      (3,281,480 ) 
                                

Net change

      (245,414 )    $ (2,939,782 )      (329,195 )    $ (3,015,122 ) 
                                
Class C         

Issued from the sale of shares

      81,762      $ 989,577        65,110      $ 686,066   

Issued in connection with the reinvestment of distributions

      322        4,092        250        2,040   

Redeemed

      (134,778 )      (1,585,523 )      (210,113 )      (1,879,456 ) 
                                

Net change

      (52,694 )    $ (591,854 )      (144,753 )    $ (1,191,350 ) 
                                
Class Y         

Issued from the sale of shares

      195,195      $ 2,647,773        156,901      $ 1,620,029   

Issued in connection with the reinvestment of distributions

      3,104        45,227        3,026        37,260   

Redeemed

      (117,144 )      (1,564,634 )      (231,953 )      (2,617,861 ) 
                                

Net change

      81,155      $ 1,128,366        (72,026 )    $ (960,572 ) 
                                

Increase (decrease) from capital share transactions

      (833,541 )    $ (10,294,109 )      (1,318,316 )    $ (12,340,877 ) 
                                
    
 		 Year Ended
December 31, 2010		   
  		    
 		 Year Ended
December 31, 2009		   
  

Income Diversified Portfolio

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      676,041      $ 6,828,409        159,686      $ 1,328,758   

Issued in connection with the reinvestment of distributions

      100,890        990,220        126,053        945,124   

Redeemed

      (1,007,048 )      (10,074,179 )      (1,033,804 )      (7,524,813 ) 
                                

Net change

      (230,117 )    $ (2,255,550 )      (748,065 )    $ (5,250,931 ) 
                                
Class C         

Issued from the sale of shares

      612,602      $ 6,157,456        145,474      $ 1,102,938   

Issued in connection with the reinvestment of distributions

      29,035        284,425        45,078        333,737   

Redeemed

      (759,919 )      (7,388,131 )      (1,671,912 )      (12,362,205 ) 
                                

Net change

      (118,282 )    $ (946,250 )      (1,481,360 )    $ (10,925,530 ) 
                                

Increase (decrease) from capital share transactions

      (348,399 )    $ (3,201,800 )      (2,229,425 )    $ (16,176,461 ) 
                                

 

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December 31, 2010

 

12.  Capital Shares (continued).

 

    
 		 Year Ended
December 31, 2010		  
  		    
 		 Year Ended
December 31, 2009		  
  

U.S. Diversified Portfolio

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      911,448      $ 20,451,387        954,429      $ 15,643,678   

Issued in connection with the reinvestment of distributions

      18,717        466,442        —        —   

Redeemed

      (2,022,798 )      (44,172,568 )      (2,447,076 )      (40,145,823 ) 
                                

Net change

      (1,092,633 )    $ (23,254,739 )      (1,492,647 )    $ (24,502,145 ) 
                                
Class B         

Issued from the sale of shares

      28,907      $ 535,647        46,129      $ 679,074   

Issued in connection with the reinvestment of distributions

      —        —        —        —   

Redeemed

      (791,810 )      (14,786,760 )      (1,050,033 )      (14,851,816 ) 
                                

Net change

      (762,903 )    $ (14,251,113 )      (1,003,904 )    $ (14,172,742 ) 
                                
Class C         

Issued from the sale of shares

      85,590      $ 1,613,257        82,914      $ 1,237,018   

Issued in connection with the reinvestment of distributions

      —        —        —        —   

Redeemed

      (255,548 )      (4,769,722 )      (307,653 )      (4,431,727 ) 
                                

Net change

      (169,958 )    $ (3,156,465 )      (224,739 )    $ (3,194,709 ) 
                                
Class Y         

Issued from the sale of shares

      10,018      $ 239,190        68,960      $ 1,240,211   

Issued in connection with the reinvestment of distributions

      134        3,603        —        —   

Redeemed

      (200,693 )      (4,399,790 )      (174,356 )      (3,021,131 ) 
                                

Net change

      (190,541 )    $ (4,156,997 )      (105,396 )    $ (1,780,920 ) 
                                

Increase (decrease) from capital share transactions

      (2,216,035 )    $ (44,819,314 )      (2,826,686 )    $ (43,650,516 ) 
                                

 

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Notes to Financial Statements (continued)

 

December 31, 2010

 

12.  Capital Shares (continued).

 

    
 		 Year Ended
December 31, 2010		  
  		    
 		 Year Ended
December 31, 2009		  
  

Small Cap Value Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      1,568,273      $ 37,116,627        13,418,177      $ 227,959,553   

Issued in connection with the reinvestment of distributions

      1,686,885        38,516,551        17,598        385,045   

Redeemed

      (5,956,654 )      (142,473,851 )      (8,824,221 )      (161,488,021 ) 
                                

Net change

      (2,701,496 )    $ (66,840,673 )      4,611,554      $ 66,856,577   
                                
Class B         

Issued from the sale of shares

      18,984      $ 406,070        27,360      $ 440,020   

Issued in connection with the reinvestment of distributions

      79,966        1,589,861        —        —   

Redeemed

      (223,637 )      (4,732,199 )      (245,583 )      (3,963,943 ) 
                                

Net change

      (124,687 )    $ (2,736,268 )      (218,223 )    $ (3,523,923 ) 
                                
Class C         

Issued from the sale of shares

      186,557      $ 3,849,819        1,072,330      $ 17,045,402   

Issued in connection with the reinvestment of distributions

      282,744        5,618,352        —        —   

Redeemed

      (455,474 )      (9,570,079 )      (504,071 )      (8,535,298 ) 
                                

Net change

      13,827      $ (101,908 )      568,259      $ 8,510,104   
                                
Class Y         

Issued from the sale of shares

      1,291,230      $ 30,400,662        8,388,651      $ 151,130,799   

Issued in connection with the reinvestment of distributions

      1,369,166        31,615,425        36,429        795,531   

Redeemed

      (3,559,389 )      (85,024,677 )      (2,138,814 )      (40,431,143 ) 
                                

Net change

      (898,993 )    $ (23,008,590 )      6,286,266      $ 111,495,187   
                                

Increase (decrease) from capital share transactions

      (3,711,349 )    $ (92,687,439 )      11,247,856      $ 183,337,945   
                                

 

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Notes to Financial Statements (continued)

 

December 31, 2010

 

12.  Capital Shares (continued).

 

    
 		 Year Ended
December 31, 2010		  
  		    
 		 Year Ended
December 31, 2009		  
  

Value Opportunity Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      845,322      $ 10,950,063        301,420      $ 3,594,480   

Issued in connection with the reinvestment of distributions

      7,026        102,623        2,267        27,711   

Redeemed

      (381,175 )      (4,994,591 )      (12,871 )      (155,426 ) 
                                

Net change

      471,173      $ 6,058,095        290,816      $ 3,466,765   
                                
Class C         

Issued from the sale of shares

      33,713      $ 447,990        26,838      $ 319,636   

Issued in connection with the reinvestment of distributions

      313        4,512        159        1,926   

Redeemed

      (7,556 )      (94,316 )      (1,428 )      (17,122 ) 
                                

Net change

      26,470      $ 358,186        25,569      $ 304,440   
                                
Class Y         

Issued from the sale of shares

      2,494,934      $ 32,571,037        589,511      $ 7,153,109   

Issued in connection with the reinvestment of distributions

      21,928        321,089        4,238        51,875   

Redeemed

      (456,608 )      (5,870,040 )      (3,074 )      (37,261 ) 
                                

Net change

      2,060,254      $ 27,022,086        590,675      $ 7,167,723   
                                

Increase (decrease) from capital share transactions

      2,557,897      $ 33,438,367        907,060      $ 10,938,928   
                                

 

    
 		 Period Ended
December 31, 2010*		  
  

ActiveBeta Equity Fund

      Shares        Amount   
Class A     

Issued from the sale of shares

      100      $ 1,001   

Issued in connection with the reinvestment of distributions

      — (a)      5   

Redeemed

      —        —   
                

Net change

      100      $ 1,006   
                
Class C     

Issued from the sale of shares

      100      $ 1,001   

Issued in connection with the reinvestment of distributions

      — (a)      1   

Redeemed

      —        —   
                

Net change

      100      $ 1,002   
                
Class Y     

Issued from the sale of shares

      500,000      $ 5,000,000   

Issued in connection with the reinvestment of distributions

      2,601        29,250   

Redeemed

      —        —   
                

Net change

      502,601      $ 5,029,250   
                

Increase (decrease) from capital share transactions

      502,801      $ 5,031,258   
                

 

* From commencement of operations on July 30, 2010 through December 31, 2010.
(a) Amount rounds to less than one share.

 

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Table of Contents

Report of Independent Registered Public Accounting Firm

 

To the Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of CGM Advisor Targeted Equity Fund, Harris Associates Large Cap Value Fund, Natixis Income Diversified Portfolio, Natixis U.S. Diversified Portfolio, Vaughan Nelson Small Cap Value Fund, Vaughan Nelson Value Opportunity Fund and Westpeak ActiveBeta® Equity Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the CGM Advisor Targeted Equity Fund, Natixis Income Diversified Portfolio, Natixis U.S. Diversified Portfolio and Vaughan Nelson Small Cap Value Fund, each a series of Natixis Funds Trust I; the Harris Associates Large Cap Value Fund, Vaughan Nelson Value Opportunity Fund and Westpeak ActiveBeta® Equity Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2010, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 23, 2011

 

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2010 U.S. Tax Distribution Information to Shareholders (Unaudited)

 

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2010, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

 

Fund

    Qualifying
Percentage		  

Targeted Equity

      100.00 % 

Large Cap Value

      100.00 % 

Income Diversified

      22.23 % 

U.S. Diversified

      100.00 % 

Value Opportunity

      88.15 % 

ActiveBeta Equity

      58.17 % 

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, 2010.

 

Fund

    Amount  

Small Cap Value

    $ 59,193,465   

Value Opportunity

      16,217   

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2010 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. These percentages are noted below:

 

Fund

    Qualifying
Percentage		  

Targeted Equity

      100.00 % 

Large Cap Value

      100.00 % 

Income Diversified

      23.20 % 

U.S. Diversified

      100.00 % 

Value Opportunity

      100.00 % 

ActiveBeta Equity

      100.00 % 

 

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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 399 Boylston Street, Boston, MA 02116. The Trusts’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

 

Name and Year of
Birth

  

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

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in Fund
Complex
Overseen**

and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES      
Graham T. Allison, Jr. (1940)  

Trustee

From 1984 to 1993 and since 1995 for Natixis Funds Trust I (including its predecessors) and since 1995 for Natixis Funds Trust II

Contract Review and Governance Committee Member

   Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University  

44

Director, Taubman Centers, Inc. (real estate investment trust)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; government experience (including as Assistant Secretary of Defense under President Clinton); academic experience
Charles D. Baker1 (1956)  

Trustee

From 2005 to 2009 and since 2011 for Natixis Funds Trust I and Natixis Funds Trust II

Contract Review and Governance Committee Member

   Formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)  

44

Formerly, Trustee, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Hansberger International Series (investment companies)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including president and chief executive officer of a corporation

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

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

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in Fund
Complex
Overseen**

and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
Edward A. Benjamin (1938)  

Trustee

Since 2003 for Natixis Funds Trust I and Natixis Funds Trust II

Chairman of the Contract Review and Governance Committee

   Retired  

44

Formerly, Director, Precision Optics Corporation (optics manufacturer)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; significant experience providing legal counsel to boards, funds, advisers and other financial institutions (former partner at Ropes & Gray LLP)
Daniel M. Cain (1945)  

Trustee

Since 1996 for Natixis Funds Trust I and Natixis Funds Trust II

Contract Review and Governance Committee Member

   Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)  

44

Director, Sheridan Healthcare Inc. (physician practice management)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; experience in the financial industry, including roles as chairman and former chief executive officer of an investment banking firm

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

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

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in Fund
Complex
Overseen**

and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
Kenneth A. Drucker (1945)  

Trustee

Since 2008 for Natixis Funds Trust I and Natixis Funds Trust II

Chairman of the Audit Committee

   Formerly, Vice President and Treasurer, Sequa Corp. (aerospace, automotive and metal manufacturing)  

44

Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including as treasurer of a corporation
Wendell J. Knox (1948)  

Trustee

Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II

Audit Committee Member

   Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including roles as president and chief executive officer of a consulting company
Sandra O. Moose (1942)  

Chairperson of the Board of Trustees since November 2005

Since 1982 for Natixis Funds Trust I (including its predecessors) and since 1995 for Natixis Funds Trust II

Ex officio member of the Audit Committee and Contract Review and Governance Committee

   President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)  

44

Director, Verizon Communications;

Director, AES Corporation (international power company); Formerly, Director, Rohm and Haas Company (specialty chemicals)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience at a management consulting company

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

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

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in Fund
Complex
Overseen**

and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES continued      
Erik R. Sirri
(1958)		  

Trustee

Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II

Contract Review and Governance Committee

Member

   Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission  

44

None

   Experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience and training as an economist
Peter J. Smail
(1952)		  

Trustee

Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II

Contract Review and Governance Committee

Member

   Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)  

44

None

   Mutual fund industry and executive experience, including roles as president and chief executive officer for an investment adviser
Cynthia L. Walker (1956)  

Trustee

Since 2005 for Natixis Funds Trust I and Natixis Funds Trust II

Audit Committee Member

   Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School  

44

None

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; 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 Trust(s),
Length of Time
Served and Term
of Office*

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in Fund
Complex
Overseen**

and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INTERESTED TRUSTEES      

Robert J. Blanding2 (1947)

555 California Street

San Francisco, CA 94104

  

Trustee

Since 2003 for Natixis Funds Trust I and Natixis Funds Trust II

   President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.  

44

None

   Significant experience on Board of Trustees of the Trusts; continuing service as president, chairman, and chief executive officer of Loomis, Sayles & Company, L.P.
David L. Giunta1, 3 (1965)  

Trustee

Since 2011 for Natixis Funds Trust I and Natixis Funds Trust II

President and Chief Executive Officer since 2008

   President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company.  

44

None

   Experience on Board of Trustees of the Trusts; continuing experience as President and Chief Executive Officer of Natixis Global Associates – U.S.

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

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

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in Fund
Complex
Overseen**

and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INTERESTED TRUSTEES

continued

      
John T. Hailer4 (1960)  

Trustee

Since 2000

   President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.  

44

None

   Significant experience on Board of Trustees of the Trusts; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

 

* Each trustee serves until retirement, resignation or removal from the Board of Trustees. The current retirement age is 72; however, the trustees designated 2010 as a transition period so that any trustees who were currently age 72 or older or who reach age 72 during 2010 will not be required to retire until the end of calendar year 2011. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two-year term as the Chairperson of the Board of Trustees on November 20, 2009.

 

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

 

1

Mr. Baker and Mr. Giunta were appointed as trustees effective January 1, 2011.

 

2

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

 

3

Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II and President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

 

4

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

 

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Trustee and Officer Information

 

Name and Year of Birth

  

Position(s) Held with
the Trusts

  

Term of Office* and
Length of Time Served

  

Principal Occupation
During Past 5 Years**

OFFICERS OF THE TRUST    
Coleen Downs Dinneen (1960)   Secretary, Clerk and Chief Legal Officer   Since September 2004   Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
Russell L. Kane
(1969)		   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007   Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
Michael C. Kardok
(1959)		   Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

 

* 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.

 

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

 

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ANNUAL REPORT

December 31, 2010

 

 

 

LOGO

 

Absolute Asia Dynamic Equity Fund

Absolute Asia Asset Management Limited

Hansberger International Fund

Hansberger Global Investors, Inc.

Natixis Oakmark Global Fund

Harris Associates L.P.

Natixis Oakmark International Fund

Harris Associates L.P.

 

TABLE OF CONTENTS

Management Discussion and Investment Results page 1

Portfolio of Investments page 15

Financial Statements page 24

Table of Contents

ABSOLUTE ASIA DYNAMIC EQUITY FUND

Management Discussion

 

Managers:

Bill Sung

Joyce Toh, CFA

Absolute Asia Asset Management Limited

 

 

Objective:

Seeks to maximize total return

 

 

Strategy:

Invests in a concentrated portfolio of equity securities of issuers domiciled or principally operating throughout Asia, excluding Japan. May invest in companies with any market capitalization although, at times, it may focus its investment in small-capitalization companies

 

 

Fund Inception:

February 26, 2010

 

 

Symbols:

 

Class A   DEFAX
Class C   DEFCX
Class Y   DEFYX

 

 

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

Market Conditions

Despite intermittent shocks from the euro zone debt crisis and uncertainty surrounding the U.S. economic recovery, most of Asia’s stock markets generated strong returns in 2010. An environment of low interest rates and a strong economic recovery provided support. Australia and China were among the weaker-performing countries within the region. Both undertook more aggressive policy tightening than their neighbors during the year.

Performance Results

For the period beginning February 26, 2010 (the date of the fund’s inception) through December 31, 2010, Class A shares of Absolute Asia Dynamic Equity Fund returned 21.63% at net asset value. The fund underperformed its benchmark, the MSCI All Country Asia Pacific ex Japan Index (Net), which returned 24.47% for the period March 1, 2010 through December 31, 2010. It also underperformed the 24.11% average return of funds in its peer group, the Morningstar Pacific/Asia ex-Japan Stock Fund category.

Explanation of Fund Performance

The cash level in the portfolio generally accounted for the fund’s shortfall against the index. Stock selection in China and Korea was also a drag on the fund’s return. However, stock selection overall was positive for the fund during the period. In addition, an emphasis on resources and consumption-related stocks worked well, as these market segments generally outperformed in an environment of strong economic growth. In the second half of the year, as concerns about the euro zone debt crisis began to ease and the U.S. Federal Reserve announced that it would commence a second round of quantitative easing – buying up Treasury securities – materials and natural resources stocks delivered solid returns.

Within the fund’s individual holdings, Astra International in Indonesia and Weichai Power in China were among the best performers. Astra International, a diversified conglomerate engaged in six major business lines across more than 150 individual companies, benefited from robust domestic consumption in an environment of strong economic growth and relatively low interest rates. Weichai, a diesel engine maker, enjoyed strong sales as higher infrastructure spending in China led to better truck sales. By contrast, two Chinese consumer-related holdings were among the fund’s biggest disappointments. Ausnutria Dairy, an infant milk formula company, and Skyworth Digital, a Chinese television maker, suffered from disappointing sales. We continue to review both holdings. However, the stocks remain in the portfolio because we remain positive on the outlook for domestic consumption in China.

Outlook

After a rather buoyant 2010, we believe that gross domestic product growth in Asia is likely to experience some slowing. Nonetheless, economic conditions are generally healthy. Unemployment is low and positive sentiment provides a decent environment for domestic consumption. Even though the economic recoveries of Europe and the United States are fragile, these regions may also contribute to growth in Asia. Global liquidity flows, stimulated by U.S. quantitative easing, have the potential to move towards Asia and lead to additional momentum in the stock market as well as in other asset classes. Consequently, we believe that inflation is likely to become a somewhat more pressing issue in a number of countries. We expect governments and central banks to continue to respond by introducing additional measures, both monetary and fiscal, to slow the pace of overall and sector-specific growth and speculation. And we expect that they will do so in a manner that does not significantly undermine growth. Against that backdrop, we intend to continue to focus on companies that benefit from strong domestic consumption and increased infrastructure spending, such as resources companies.

 

 

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Table of Contents

ABSOLUTE ASIA DYNAMIC EQUITY FUND

Investment Results through December 31, 2010

 

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares6

February 26, 2010 (inception) through December 31, 2010

LOGO

Total Returns — December 31, 20106

 

   
      Since Inception7  
   
Class A (Inception 2/26/10)     
Net Asset Value1      21.63 % 
With Maximum Sales Charge2      14.64   
   
Class C (Inception 2/26/10)     
Net Asset Value1      21.18   
With CDSC3      20.18   
   
Class Y (Inception 2/26/10)     
Net Asset Value1      22.19   
   
Comparative Performance     
MSCI AC Asia Pacific ex Japan Index (Net)4      24.47 % 
Morningstar Pacific/Asia ex-Japan Stock Fund Avg.5      24.11   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those noted. For performance current to the most recent month-end, visit ga.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

Fund Composition   % of Net
Assets as of
12/31/10		  
Common Stocks     94.7   
Warrants     0.0   
Short-Term Investments and Other     5.3   
Ten Largest Holdings   % of Net
Assets as of
12/31/10		  
Rio Tinto Ltd.     5.6   
BHP Billiton Ltd.     5.1   
Qingling Motors Co. Ltd., Class H     4.9   
Singapore Airlines Ltd.     4.6   
Infosys Technologies Ltd., Sponsored ADR     4.4   
Weichai Power Co. Ltd., Class H     3.9   
Hyundai Motor Co.     3.8   
Simplo Technology Co. Ltd.     3.8   
Paladin Energy Ltd.     3.8   
Lotte Shopping Co. Ltd.     3.7   
Five Largest Countries   % of Net
Assets as of
12/31/10		  
China     21.7   
Australia     21.4   
Korea     13.5   
Hong Kong     12.8   
Taiwan     6.8   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio8     Net Expense  Ratio9  
A     6.63 %      1.75 % 
C     7.38        2.50   
Y     6.38        1.50   

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

4 MSCI All Country (AC) Asia Pacific ex Japan Index (Net) is an unmanaged index that is designed to measure the equity market performance in the developed and emerging markets of the Asia Pacific region, excluding Japan. The index calculates reinvested dividends net of withholding taxes using Luxembourg tax rates.

 

5 Morningstar Pacific/Asia ex-Japan Stock Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

7 The since-inception comparative performance figures shown are calculated from 3/1/10.

 

8 Before fee waivers and/or expense reimbursements.

 

9 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/11. Contracts are reevaluated on an annual basis.

 

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Table of Contents

HANSBERGER INTERNATIONAL FUND

Management Discussion

 

Managers:

Growth:

Trevor Graham, CFA

Barry A. Lockhart, CFA

Patrick H. Tan

Thomas R.H. Tibbles, CFA

Value:

Ronald Holt, CFA

Lauretta Reeves, CFA

Hansberger Global Investors, Inc.

 

 

Objective:

Seeks long-term growth of capital

 

 

Strategy:

Invests in common stocks of small-, mid- and large-cap companies located outside the United States. Assets are invested across developed and emerging markets

 

 

Fund Inception:

December 29, 1995

 

 

Symbols:

 

Class A   NEFDX
Class B   NEDBX
Class C   NEDCX

 

 

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

Market Conditions

International stock markets posted positive returns for the 12 months ended December 31, 2010, as investor optimism regarding global economic growth outweighed ongoing concerns, such as the European sovereign debt crisis and heightened tension in the Korean peninsula. It was a volatile period, with equity markets falling significantly in the first half before rallying strongly in the second half of the year. During the period, most major and emerging stock markets posted positive returns, while eight of the ten sectors represented in the fund’s benchmark recorded gains. Strong economic recovery and increased cash flows from global investors drove emerging markets higher, with several stock markets ending the year at record highs. European markets were mixed. Germany, Switzerland and the United Kingdom recorded solid gains, while countries at the center of the European financial crisis – Portugal, Italy, Ireland, Greece and Spain – all recorded losses. Japan’s stock market was essentially flat for the period, but a strong yen helped generate positive returns for U.S. investors. North America (Canada) was the best regional performer, on the back of high commodity prices, which also helped push up markets in the Pacific region (excluding Japan).

Volatility was also evident in the currency markets. The U.S. dollar was strong in the first half of the year but gave back much of its gain in the second half. The dollar ended the year up 6.5% against the euro and 3.1% against the British pound, while it fell 14.0% against the Australian dollar, 5.5% against the Canadian dollar and 14.8% against the Japanese yen.

Performance Results

For the 12 months ended December 31, 2010, Class A shares of Hansberger International Fund returned 8.70% at net asset value. The fund outperformed its benchmark, the MSCI EAFE Index, which returned 8.21% for the period. The average return of the fund’s Morningstar peer group, the Foreign Large Blend category, was 10.24%.

Explanation of Fund Performance

Two teams of Hansberger’s international equity specialists manage the fund. One team focuses on value and the other seeks growth potential. The value segment of the fund fared better than the growth segment for the period.

The fund benefited from its overweight allocation to emerging markets and Canada. Chinese industrial companies China State Construction and Weichai Power and Canadian mining company Teck Resources were among the top performers. The fund benefited from stock selection in Europe, with Swedish tool manufacturer Atlas Copco being one of the best performers. The industrials and information technology sectors had the largest positive impact on absolute and relative returns, with Japanese robotic company Fanuc and British microprocessor company ARM Holdings among the top performers. Stock selection in the Pacific region (excluding Japan) had a negative impact on performance, with Hong Kong retailer Esprit Holdings being among the bottom performers. Financials and utilities had the largest negative impact on absolute returns, with the French financial institution AXA and French utility company EDF among the weakest performers.

Outlook

In our opinion, economic prospects are poised to improve in the next several years, led by emerging markets, which may potentially drive overall global economic growth. Uncertainties regarding sovereign debt risk and global growth remain, so we deem a well diversified approach to be prudent. Concerns over global growth and sovereign debt have been met with volatility, and we anticipate that volatility will continue. However, we are still favorably disposed toward international equities, and we believe that maintaining a well diversified portfolio of high quality international companies should prove beneficial as investors return to equities and risk aversion subsides.

 

 

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HANSBERGER INTERNATIONAL FUND

Investment Results through December 31, 2010

 

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares7

December 31, 2000 through December 31, 2010

LOGO

Average Annual Returns — December 31, 20107

 

       
      1 Year      5 Years      10 Years  
   
Class A (Inception 12/29/95)           
Net Asset Value1      8.70 %       3.69 %       5.28 % 
With Maximum Sales Charge2      2.43         2.48         4.66   
   
Class B (Inception 12/29/95)           
Net Asset Value1      7.93         2.93         4.50   
With CDSC3      2.93         2.63         4.50   
   
Class C (Inception 12/29/95)           
Net Asset Value1      7.91         2.92         4.49   
With CDSC3      6.91         2.92         4.49   
   
Comparative Performance           
MSCI EAFE Index4      8.21 %       2.94 %       3.94 % 
MSCI ACWI ex USA5      11.60         5.29         5.97   
Morningstar Foreign Large Blend Fund Avg.6      10.24         2.69         3.13   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

Fund Composition  

% of Net
Assets as of

12/31/10

  
Common Stocks     98.2   
Preferred Stocks     0.5   
Short-Term Investments and Other     1.3   
Ten Largest Holdings  

% of Net
Assets as of

12/31/10

  
Suncor Energy, Inc.     2.0   
Canon, Inc.     1.7   
Nestle SA, (Registered)     1.7   
Bank of Nova Scotia     1.7   
FANUC Ltd.     1.5   
Cia Energetica de Minas Gerais, Sponsored Preference ADR     1.5   
ABB Ltd., (Registered)     1.4   
BNP Paribas     1.4   
Adidas AG     1.4   
Standard Chartered PLC     1.3   
Five Largest Countries   % of Net
Assets as of
12/31/10		  
United Kingdom     15.1   

China

     11.3   

Japan

    11.0   
Switzerland     9.0   

Canada

     7.2   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense Ratio     Net Expense Ratio  
A     1.70 %      1.70 % 
B     2.45        2.45   
C     2.45        2.45   

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

4 MSCI EAFE Index (Europe, Australasia, Far East) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada.

 

5 MSCI All Country World Index (ACWI) ex USA is an unmanaged index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States.

 

6 Morningstar Foreign Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

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NATIXIS OAKMARK GLOBAL FUND

Management Discussion

 

Managers:

Clyde S. McGregor, CFA

Robert A. Taylor, CFA

Harris Associates L.P.

 

 

Objective:

Seeks long-term capital appreciation

 

 

Strategy:

Invests primarily in a diversified portfolio of common stocks of U.S. and non-U.S. companies. Invests in the securities of at least three countries

 

 

Fund Inception:

December 15, 2010

 

 

Symbols:

 

Class A   NOGAX
Class C   NOGCX

 

 

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

Market Conditions

In December, the first month of operation for the fund, market conditions for global equities were generally favorable. Interest rates were low, world economies were strengthening – and the month proved particularly profitable for investors. However, the bulk of the month’s gains were realized in the first two weeks. As the year came to a close, activity in equity markets around the world began to slow down.

Performance Results

For the period from the fund’s inception on December 15, 2010 through December 31, 2010, Class A shares of Natixis Oakmark Global Fund returned 1.50% at net asset value. The fund outperformed its benchmark, the MSCI World Index (Net), which returned 1.03%, and the average fund in Morningstar’s World Stock category, which returned 1.05% for the same period.

Explanation of Fund Performance

Initial funding of $5 million was immediately invested in a diversified portfolio of 39 common stocks. As of December 31, approximately 60% of fund assets were invested in international stocks, including 19% in Japan and 5% in Australia, with the remainder spread across various European countries. Approximately 35% of the portfolio was invested in U.S. stocks. We kept approximately 5% in cash to take advantage of attractive opportunities as they became available. Going forward, we expect to have a modest (2%-3%) cash position, so the fund was slightly underinvested at year end.

One of the top contributors to fund performance during this brief period was Primary Health Care, a leading Australian healthcare company. Although the firm’s shares languished through much of 2010, renewed investor interest in the company increased late in the year. U.S.-based Sara Lee, a global manufacturer of high quality food and beverage products, apparel and household products, was also one of the biggest gainers. The stock continued to benefit from speculative interest in a potential acquisition by a Brazilian firm. Other strong performers included Japan-based Canon, a digital imaging company for consumer and corporate use; U.S.-based Applied Materials, a global leader in innovative equipment, services and software for the semiconductor industry; and Hirose Electric, a major Japanese manufacturer of connector technology. Share prices rose on all three stocks as a result of the December rally.

The biggest disappointment during the period was MasterCard, a leading U.S. processor of credit and debit card transactions. Investor reaction to the Federal Reserve’s proposed regulations for debit card transactions caused the stock price to suffer. Square Enix, a Japanese video game and publishing company, also failed to meet our expectations. Shares of the company weakened after a delay in shipment of the newest edition of its key video game franchise. The stock price continued to decline through the end of the year. Spanish-based Banco Santander, one of the world’s largest banks, also hampered results. The company experienced share price weakness as a result of investor concerns about the prospects for Europe’s secondary nations. We continue to hold all three issues.

Outlook

As fundamental value investors, we focus less on economic outlook and more on the underlying characteristics of individual issues. We emphasize undervalued companies run by strong management teams. Our goal is to capitalize on value wherever we find it. That said, in the near term, we continue to see opportunities primarily in developed markets, and less so in emerging markets. We also expect the fund’s weight in Japan to remain high.

 

 

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NATIXIS OAKMARK GLOBAL FUND

Investment Results through December 31, 2010

 

The table comparing the fund’s performance to an index provides a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Total Returns — December 31, 20106

 

   
      Since Inception  
   
Class A (Inception 12/15/10)     
Net Asset Value1      1.50 % 
With Maximum Sales Charge2      -4.34   
   
Class C (Inception 12/15/10)     
Net Asset Value1      1.50   
With CDSC3      0.50   
   
Comparative Performance     
MSCI World Index (Net)4      1.03 % 
Morningstar World Stock Fund Avg.5      1.05   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those noted. For performance current to the most recent month-end, visit ga.natixis.com.

The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

Fund Composition   % of Net
Assets as of
12/31/10		  
Common Stocks     91.0   
Short-Term Investments and Other     9.0   
Ten Largest Holdings   % of Net
Assets as of
12/31/10		  
Oracle Corp.     4.2   
Snap-on, Inc.     4.1   
Laboratory Corp. of America Holdings     4.0   
Daiwa Securities Group, Inc.     3.8   
Julius Baer Group Ltd.     3.5   
Primary Health Care Ltd.     3.0   
Square Enix Holdings Co. Ltd.     2.9   
Credit Suisse Group AG, (Registered)     2.9   
Tyco Electronics Ltd.     2.8   
Toyota Motor Corp.     2.7   
Five Largest Countries   % of Net
Assets as of
12/31/10		  
United States     39.0   
Japan     18.4   
Switzerland     15.4   
Germany     5.0   
Australia     5.0   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio7     Net Expense  Ratio8  
A     1.60 %      1.40 % 
C     2.35        2.15   

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

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

 

5 Morningstar World Stock Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

7 Before fee waivers and/or expense reimbursements.

 

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

 

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Table of Contents

NATIXIS OAKMARK INTERNATIONAL FUND

Management Discussion

 

Managers:

David G. Herro, CFA

Robert A. Taylor, CFA

Harris Associates L.P.

 

 

Objective:

 

Seeks long-term capital appreciation

 

 

Strategy:

Invests primarily in a diversified portfolio of common stocks of non-U.S. companies. May invest in non-U.S. markets throughout the world, including emerging markets

 

 

Fund Inception:

December 15, 2010

 

 

 

Symbols:

 

Class A   NOIAX
Class C   NOICX

 

 

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

 

Market Conditions

In December, the first month of operation for the fund, market conditions for international equities were generally favorable. Interest rates were low, world economies were strengthening – and the month proved particularly profitable for investors. However, the bulk of the month’s gains were realized in the first two weeks. As the year came to a close, activity in equity markets around the world began to slow down.

Performance Results

For the period from the fund’s inception on December 15, 2010, through December 31, 2010, Class A shares of Natixis Oakmark International Fund returned 1.62% at net asset value. The fund outperformed both its benchmark, the MSCI World ex USA Index (Net), which returned 0.67%, and the average fund in Morningstar’s Foreign Large Value category, which returned 0.48% for the same period.

Explanation of Fund Performance

Initial funding of $5 million was immediately invested in a diversified portfolio of 54 common stocks. As of December 31, 2010, approximately 60% of the portfolio was invested in European equities, with the majority of assets concentrated in Switzerland, the United Kingdom and France. We also maintained a significant weight (21% of the portfolio) in Japan. We kept approximately 11% invested in cash, as we continued to allocate the fund’s initial seed money. Going forward, we will strive to keep cash to a minimum, typically 5% or less of fund assets. Because we are value investors, we typically focus on characteristics of individual issues and are less concerned about sector allocations. Sector weights are a result of our stock selection process and are not indicative of our investment strategy. That said, sector weights can help provide a snapshot of the portfolio. As of December 31, roughly 23% of the portfolio was invested in financial firms. Consumer discretionary stocks (nonessential goods and services) and industrial sector issues each accounted for more than 16% of fund assets. The fund had no exposure to energy, telecommunication or utility stocks.

One of the biggest gainers for this brief period was Japan Tobacco, the world’s third largest tobacco company. We were impressed by the company’s business prospects, and it met our demanding criteria: the company was undervalued, growing and run by strong management teams. The stock price rose as a result of the December rally. Another contributor to fund performance was Australia-based Brambles. CHEP, the firm’s primary subsidiary, is a leading provider of shipping pallets and plastic containers. Brambles’ stock price continued to gain traction during the period, as growth accelerated across markets, particularly in the Asia Pacific region and other developing markets. Detractors for the period included Paris-headquartered BNP Paribas, the largest global banking group in the world, as well as other European-based financial firms. Shares of these companies were hurt by market fears surrounding sovereign debt issues in Europe. Another significant disappointment was Bank of Ireland. Shares performed poorly due to general economic weakness in Ireland, the delayed implementation of NAMA (the Irish government’s plan to buy distressed assets from banks) and a stock issuance to the government. However, we believe that Bank of Ireland has the potential to return to a level of profitability that would justify valuations far in excess of today’s pricing. We continue to hold both BNP Paribas and Bank of Ireland.

Outlook

Although global equity markets continue to be volatile, we remain convinced that there are still outstanding opportunities for long-term investors. Our primary objective is to capitalize on value wherever we find it. There are (and always will be) imbalances in the global economy. But we believe that positive long-term investment results depend on low valuations and a fertile environment for growth in corporate profits. We remain convinced that the conditions necessary for attractive equity returns currently exist.

 

 

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Table of Contents

NATIXIS OAKMARK INTERNATIONAL FUND

Investment Results through December 31, 2010

 

The table comparing the fund’s performance to an index provides a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Total Returns — December 31, 20106

 

   
      Since
Inception		  
   
Class A (Inception 12/15/10)     
Net Asset Value1      1.62 % 
With Maximum Sales Charge2      -4.22   
   
Class C (Inception 12/15/10)     
Net Asset Value1      1.52   
With CDSC3      0.52   
   
Comparative Performance     
MSCI World ex USA Index (Net)4      0.67 % 
Morningstar Foreign Large Value Fund Avg.5      0.48   

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary, and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit ga.natixis.com.

The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

Fund Composition   % of Net
Assets as of
12/31/10		  
Common Stocks     83.3   
Short-Term Investments and Other     16.7   
Ten Largest Holdings   % of Net
Assets as of
12/31/10		  
Daiwa Securities Group, Inc.     3.4   
Credit Suisse Group AG, (Registered)     2.9   
Toyota Motor Corp.     2.5   
Canon, Inc.     2.5   
Rohm Co. Ltd.     2.4   
SAP AG     2.3   
Allianz SE, (Registered)     2.3   
Diageo PLC     2.3   
Adecco SA, (Registered)     2.2   
Societe Television Francaise1     2.2   
Five Largest Countries   % of Net
Assets as of
12/31/10		  
Japan     19.9   
Switzerland     16.3   
United Kingdom     11.9   
France     9.1   
Germany     5.3   

Portfolio holdings and asset allocations will vary.

 

 

Expense Ratios

as stated in the most recent prospectus

 

Share Class   Gross Expense  Ratio7     Net Expense  Ratio8  
A     1.57 %      1.45 % 
C     2.32        2.20   

NOTES TO CHARTS

 

1 Does not include a sales charge.

 

2 Includes the maximum sales charge of 5.75%.

 

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

 

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

 

5 Morningstar Foreign Large Value Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

 

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

 

7 Before fee waivers and/or expense reimbursements.

 

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

 

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Table of Contents

ADDITIONAL INFORMATION

 

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

Before investing, consider the fund’s investment objectives, risks, charges and expenses. Visit ga.natixis.com or call 800-225-5478 for a prospectus and/or a summary prospectus, both of which contain this and other information. Read it carefully.

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ga.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2010 is available from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


 

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UNDERSTANDING FUND EXPENSES

 

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. In addition, each fund may assess a minimum balance fee of $20 on an annual basis for accounts that fall below the required minimum to establish an account. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The examples below 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, 2010 through December 31, 2010. 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 the Period column as shown below 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 or exchange fees. 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.


 

ABSOLUTE ASIA DYNAMIC EQUITY FUND   BEGINNING ACCOUNT VALUE
7/1/2010		     ENDING ACCOUNT VALUE
12/31/2010		     EXPENSES PAID DURING PERIOD*
7/1/2010 –  12/31/2010		  

Class A

                        

Actual

     $1,000.00        $1,284.40        $10.08   

Hypothetical (5% return before expenses)

     $1,000.00        $1,016.38        $8.89   

Class C

                        

Actual

     $1,000.00        $1,279.70        $14.37   

Hypothetical (5% return before expenses)

     $1,000.00        $1,012.60        $12.68   

Class Y

                        

Actual

     $1,000.00        $1,286.20        $8.64   

Hypothetical (5% return before expenses)

     $1,000.00        $1,017.64        $7.63   

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.75%, 2.50% and 1.50%, 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, divided by 365 (to reflect the half-year period).

 

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Table of Contents

UNDERSTANDING FUND EXPENSES

 

 

HANSBERGER INTERNATIONAL FUND  

BEGINNING ACCOUNT VALUE
7/1/2010

    

ENDING ACCOUNT VALUE
12/31/2010

    

EXPENSES PAID DURING PERIOD*
7/1/2010 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,265.90        $9.60   

Hypothetical (5% return before expenses)

     $1,000.00        $1,016.74        $8.54   

Class B

                        

Actual

     $1,000.00        $1,261.40        $13.85   

Hypothetical (5% return before expenses)

     $1,000.00        $1,012.96        $12.33   

Class C

                        

Actual

     $1,000.00        $1,261.50        $13.85   

Hypothetical (5% return before expenses)

     $1,000.00        $1,012.96        $12.33   

 

* Expenses are equal to the Fund’s annualized expense ratio: 1.68%, 2.43% and 2.43%, for Class A, B and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

NATIXIS OAKMARK GLOBAL FUND  

BEGINNING ACCOUNT VALUE
7/1/20101

    

ENDING ACCOUNT VALUE
12/31/2010

    

EXPENSES PAID DURING PERIOD
7/1/20101 – 12/31/2010

  

Class A

                        

Actual

     $1,000.00        $1,015.00        $0.62 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.15        $7.12 * 

Class C

                        

Actual

     $1,000.00        $1,015.00        $0.95 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.37        $10.92 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40% and 2.15% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

 

1

Fund commenced operations on December 15, 2010. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40% and 2.15% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (16), divided by 365 (to reflect the partial period).

 

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UNDERSTANDING FUND EXPENSES

 

 

NATIXIS OAKMARK INTERNATIONAL FUND   BEGINNING ACCOUNT VALUE
7/1/20101		     ENDING ACCOUNT VALUE
12/31/2010		     EXPENSES PAID DURING PERIOD
7/1/20101 – 12/31/2010		  

Class A

                        

Actual

     $1,000.00        $1,016.20        $0.64 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,017.90        $7.37 * 

Class C

                        

Actual

     $1,000.00        $1,015.20        $0.97 1 

Hypothetical (5% return before expenses)

     $1,000.00        $1,014.12        $11.17 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.45% and 2.20% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

 

1

Fund commenced operations on December 15, 2010. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.45% and 2.20% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (16), divided by 365 (to reflect the partial period).

 

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BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR NATIXIS OAKMARK GLOBAL FUND AND NATIXIS OAKMARK INTERNATIONAL FUND

 

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including newly formed funds such as the Natixis Oakmark Global Fund and the Natixis Oakmark International Fund (the “Funds”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory and sub-advisory agreements (together, the “Agreements”) for the Funds at an in-person meeting held on November 19, 2010.

In connection with this review, Fund management and other representatives of the Funds’ adviser, Natixis Asset Management Advisors, L.P. (“Natixis Advisors”), and the Funds’ sub-adviser, Harris Associates L.P. (“Harris Associates” and, together with Natixis Advisors, the “Advisers”), distributed to the Trustees materials including, among other items, (i) information on the proposed advisory and sub-advisory fees and other expenses to be charged to the Funds, including information comparing the Funds’ expenses to those of peer groups of funds and information on fees charged to other accounts advised or sub-advised by Harris Associates and the proposed expense cap, (ii) the Funds’ investment objectives and strategies, (iii) the size, education and experience of the Advisers’ investment staff and the investment strategies proposed to be used in managing the Funds, (iv) proposed arrangements for the distribution of the Funds’ shares, (v) the procedures proposed to be employed to determine the value of the Funds’ assets, (vi) the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about the Advisers’ performance, and (viii) the general economic outlook with particular emphasis on the mutual fund industry. The Trustees also considered the fact that they oversee other funds advised or sub-advised by the Advisers as well as information about the Advisers they had received in connection with their oversight of those other funds. Because the Funds are newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to the Funds’ performance, was not available, and therefore could not be distributed to the Trustees, although the Trustees did receive information about the performance of similar funds managed by Harris Associates. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Advisers.

In considering whether to initially approve the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the following:

The nature, extent and quality of the services to be provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Advisers and their respective affiliates to the Funds, and the resources to be dedicated to the Funds by the Advisers and their respective affiliates. The Trustees considered their experience with other funds advised or sub-advised by the Advisers, as well as the fact that both Advisers are affiliates of Natixis Global Asset Management, L.P. In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Advisers to the Funds, but also the monitoring and administrative services proposed to be provided by Natixis Advisors and its affiliates to the Funds.

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

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

Investment performance of the Funds and the Advisers. Because the Funds had not yet commenced operations, performance information for the Funds was not considered, although the Board considered the performance of other funds and accounts managed by the Advisers. Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the Advisers’ performance record and/or other relevant factors supported approval of the Agreements.

The costs of the services to be provided by the Advisers and their affiliates from their respective relationships with the Funds. Although the Funds had not yet commenced operations at the time of the Trustees’ review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Funds’ share classes with the fees and expenses of comparable share classes of comparable funds identified by the Advisers and information about the advisory fees charged by Harris Associates to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In evaluating the

 

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BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR NATIXIS OAKMARK GLOBAL FUND AND NATIXIS OAKMARK INTERNATIONAL FUND

 

fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets. In evaluating the Funds’ proposed advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Funds. The Trustees also noted that the Funds would each have an expense cap in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by each Fund to the Advisers’ affiliates.

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

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

Economies of scale. The Trustees considered the extent to which the Advisers may realize economies of scale or other efficiencies in managing the Funds, and whether those economies could be shared with the Funds through breakpoints in the advisory and sub-advisory fees or other means. The Trustees noted that the Funds were each subject to an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale might be shared with the Funds supported the approval of the Agreements.

The Trustees also considered other factors, including but not limited to the compliance-related resources the Advisers and their respective affiliates would provide to the Funds and the potential so-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company would benefit from the retention of affiliated advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

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

 

|  14

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Portfolio of Investments – as of December 31, 2010

Absolute Asia Dynamic Equity Fund

 

    
Shares		      Description    Value (†)  
     
     
  Common Stocks — 94.7% of Net Assets   
   Australia — 21.4%   
  3,447       BHP Billiton Ltd.    $ 160,289   
  25,798       Incitec Pivot Ltd.      104,585   
  2,695       Newcrest Mining Ltd.      111,785   
  23,497       Paladin Energy Ltd.(b)      118,428   
  2,008       Rio Tinto Ltd.      175,835   
           
        670,922   
           
   China — 21.7%   
  70,000       Ausnutria Dairy Corp. Ltd.      23,315   
  24,000       China National Building Material Co. Ltd., Class H      54,885   
  24,000       China Resources Land Ltd.      43,584   
  32,000       CNOOC Ltd.      76,583   
  31,000       Digital China Holdings Ltd.      57,877   
  508,000       Qingling Motors Co. Ltd., Class H      152,235   
  30,400       Shanghai Friendship Group, Inc., Co., Class B      67,193   
  27,300       Shanghai Jinjiang International Hotels Development Co. Ltd., Class B      49,796   
  53,027       Skyworth Digital Holdings Ltd.      31,417   
  20,000       Weichai Power Co. Ltd., Class H      123,472   
           
        680,357   
           
   Hong Kong — 12.8%   
  11,230       Henderson Land Development Co. Ltd.      76,422   
  4,000       Hong Kong Aircraft Engineering Co. Ltd.      64,312   
  4,500       Hong Kong Exchanges & Clearing Ltd.      102,027   
  30,000       Lifestyle International Holdings Ltd.      73,666   
  5,000       Sun Hung Kai Properties Ltd.      82,637   
           
        399,064   
           
   India — 4.4%   
  1,800       Infosys Technologies Ltd., Sponsored ADR      136,944   
           
   Indonesia — 6.0%   
  19,000       PT Astra International Tbk      114,825   
  27,000       PT United Tractors Tbk      71,210   
           
        186,035   
           
   Korea — 13.5%   
  354       Doosan Corp.      47,914   
  787       Hyundai Motor Co.      120,159   
  278       Lotte Shopping Co. Ltd.      115,841   
  222       POSCO      94,836   
  496       Samsung Life Insurance Co. Ltd., 144A      44,835   
           
        423,585   
           
   Malaysia — 3.5%   
  15,300       Kuala Lumpur Kepong Berhad      109,648   
           
   Singapore — 4.6%   
  12,000       Singapore Airlines Ltd.      143,190   
           
     
   Taiwan — 6.8%   
  16,500       Simplo Technology Co. Ltd.      119,847   
  25,000       Taiwan Fertilizer Co. Ltd.      93,412   
           
        213,259   
           
   Total Common Stocks
(Identified Cost $2,413,263)		      2,963,004   
           
  Warrants — 0.0%   
   Hong Kong — 0.0%   
  2,200       Henderson Land Development Co., Ltd., Expiration on 6/1/2011(b)
(Identified Cost $0)		      509   
           
Principal
Amount		      Description    Value (†)  
     
  Short-Term Investments — 6.5%   
$ 205,212       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $205,212 on 1/03/2011 collateralized by $195,000 Federal Home Loan Bank, 4.625% due 8/15/2012 valued at $210,113 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $205,212)		    $ 205,212   
           
     
   Total Investments — 101.2%
(Identified Cost $2,618,475)(a)		      3,168,725   
   Other assets less liabilities — (1.2)%      (39,053 ) 
           
   Net Assets — 100.0%    $ 3,129,672   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $2,618,475 for federal income tax purposes was as follows:     
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 633,514   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (83,264 ) 
           
   Net unrealized appreciation    $ 550,250   
           
     
  (b)       Non-income producing security.   
     
  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, 2010, the value of Rule 144A holdings amounted to $44,835 or 1.4% of net assets.       
  ADR       An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.       

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Absolute Asia Dynamic Equity Fund – (continued)

 

Industry Summary at December 31, 2010 (Unaudited)

 

Metals & Mining      17.3 % 
Automobiles      12.5   
Real Estate Management & Development      6.4   
Chemicals      6.3   
Oil, Gas & Consumable Fuels      6.3   
Machinery      6.2   
Multiline Retail      6.1   
Airlines      4.6   
IT Services      4.4   
Food Products      4.2   
Computers & Peripherals      3.8   
Diversified Financial Services      3.3   
Food & Staples Retailing      2.1   
Transportation Infrastructure      2.1   
Other Investments, less than 2% each      9.1   
Short-Term Investments      6.5   
        
Total Investments      101.2   
Other assets less liabilities      (1.2 ) 
        
Net Assets      100.0 % 
        

Currency Exposure at December 31, 2010 (Unaudited)

 

Hong Kong Dollar      30.8 % 
Australian Dollar      21.4   
United States Dollar      14.6   
South Korean Won      13.5   
New Taiwan Dollar      6.8   
Indonesian Rupiah      6.0   
Singapore Dollar      4.6   
Malaysian Ringgit      3.5   
        
Total Investments      101.2   
Other assets less liabilities      (1.2 ) 
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

 

 

Portfolio of Investments – as of December 31, 2010

Hansberger International Fund

 

Shares      Description    Value (†)  
     
  Common Stocks — 98.2% of Net Assets   
   Australia — 5.1%   
  21,788       BHP Billiton Ltd.    $ 1,013,167   
  11,122       Commonwealth Bank of Australia      577,905   
  15,515       CSL Ltd.      575,951   
  16,984       Macquarie Group Ltd.      642,685   
  10,784       Rio Tinto Ltd.      944,322   
  29,751       Westpac Banking Corp.      675,881   
  19,832       WorleyParsons Ltd.      543,172   
           
        4,973,083   
           
   Belgium — 0.7%   
  11,507       Anheuser-Busch InBev NV      657,496   
           
   Brazil — 5.8%   
  85,514       Cia Energetica de Minas Gerais, Sponsored Preference ADR      1,418,677   
  36,295       Gafisa SA, ADR      527,366   
  29,936       Itau Unibanco Holding SA, Preference ADR      718,764   
  14,003       Petroleo Brasileiro SA, ADR      529,874   
  15,196       Petroleo Brasileiro SA, Sponsored Preference ADR      519,247   
  30,107       Vale SA, Sponsored ADR      1,040,799   
  29,713       Vale SA, Sponsored Preference ADR      897,927   
           
        5,652,654   
           
   Canada — 7.2%   
  29,498       Bank of Nova Scotia      1,693,659   
  29,126       Cameco Corp.      1,176,108   
  10,238       Canadian National Railway Co.      680,520   
  45,739       Manulife Financial Corp.      788,921   
  49,814       Suncor Energy, Inc.      1,907,378   
  12,706       Teck Resources Ltd., Class B      785,612   
           
        7,032,198   
           
   Chile — 0.7%   
  10,986       Sociedad Quimica y Minera de Chile SA, Sponsored ADR      641,802   
           
   China — 11.3%   
  700,000       Agile Property Holdings Ltd.      1,034,329   
  620,000       China Communications Construction Co. Ltd., Class H      541,157   
  528,930       China Construction Bank Corp., Class H      475,880   
  206,000       China Merchants Bank Co. Ltd., Class H      521,762   
  348,000       China Resources Land Ltd.      631,969   
  138,500       China Shenhua Energy Co. Ltd., Class H      580,444   
  1,229,200       China State Construction International Holdings Ltd., Class H      1,161,773   
  1,293,000       GOME Electrical Appliances Holdings Ltd.(b)      468,982   
  541,194       Guangzhou Automobile Group Co. Ltd., Class H      749,183   
  1,262,875       Industrial & Commercial Bank of China Ltd., Class H      936,901   
  7,287       New Oriental Education & Technology Group, Inc., Sponsored ADR(b)      766,811   
  492,000       PetroChina Co. Ltd., Class H      643,659   
  55,500       Ping An Insurance (Group) Co. of China Ltd., Class H      618,047   
  37,100       Tencent Holdings Ltd.      815,434   
  173,200       Weichai Power Co. Ltd., Class H      1,069,268   
           
        11,015,599   
           
   Denmark — 1.5%   
  4,807       Novo Nordisk A/S, Class B      541,578   
  28,794       Vestas Wind Systems A/S(b)      911,914   
           
        1,453,492   
           
Shares      Description    Value (†)  
     
   France — 6.9%   
  13,354       ArcelorMittal    $ 508,206   
  30,954       AXA SA      515,239   
  21,482       BNP Paribas      1,368,105   
  11,118       Carrefour SA      458,420   
  8,982       Danone SA      564,758   
  10,736       GDF Suez      385,583   
  5,406       Iliad SA      588,251   
  4,145       PPR      659,928   
  59,462       STMicroelectronics NV      618,367   
  10,469       Total SA      557,601   
  9,718       Total SA, Sponsored ADR      519,719   
           
        6,744,177   
           
   Germany — 6.1%   
  20,443       Adidas AG      1,329,790   
  19,786       Aixtron SE AG      737,334   
  5,860       Bayer AG, (Registered)      434,383   
  10,830       Bayerische Motoren Werke AG      853,258   
  7,511       Deutsche Boerse AG      518,939   
  10,847       SAP AG      553,222   
  6,871       Siemens AG, (Registered)      851,137   
  4,056       Wacker Chemie AG      707,142   
           
        5,985,205   
           
   Hong Kong — 1.3%   
  128,973       Esprit Holdings Ltd.      611,853   
  112,000       Li & Fung Ltd.      654,870   
           
        1,266,723   
           
   India — 1.0%   
  3,790       HDFC Bank Ltd., ADR      633,347   
  17,864       Sterlite Industries India Ltd., ADR      295,470   
           
        928,817   
           
   Israel — 0.6%   
  10,738       Teva Pharmaceutical Industries, Ltd., Sponsored ADR      559,772   
           
   Italy — 1.4%   
  25,159       ENI SpA      551,416   
  17,104       Saipem SpA      844,473   
           
        1,395,889   
           
   Japan — 11.0%   
  90,000       Bank of Yokohama (The) Ltd.      464,092   
  33,300       Canon, Inc.      1,710,463   
  9,800       FANUC Ltd.      1,497,992   
  42,700       Mitsui & Co. Ltd.      702,581   
  2,300       Nintendo Co. Ltd.      671,489   
  13,700       Shin-Etsu Chemical Co. Ltd.      738,383   
  5,500       SMC Corp.      938,554   
  238       Sony Financial Holdings, Inc.      958,506   
  34,400       Sumitomo Corp.      484,258   
  79,000       Sumitomo Trust & Banking Co. Ltd. (The)      494,907   
  25,000       THK Co. Ltd.      571,820   
  22,600       Toyota Motor Corp.      889,727   
  9,640       Yamada Denki Co. Ltd.      655,821   
           
        10,778,593   
           
   Korea — 2.3%   
  12,237       KB Financial Group, Inc., ADR      647,215   
  711       Samsung Electronics Co. Ltd.      593,782   
  2,328       Samsung Electronics Co. Ltd., GDR, 144A      982,183   
           
        2,223,180   
           

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2010

Hansberger International Fund – (continued)

 

Shares      Description    Value (†)  
     
   Mexico — 1.3%   
  11,277       America Movil SAB de CV, Series L, ADR    $ 646,623   
  23,014       Wal-Mart de Mexico SA de CV, Series V, Sponsored ADR      657,740   
           
        1,304,363   
           
   Norway — 1.3%   
  24,579       Subsea 7, Inc.(b)      644,781   
  35,531       Telenor ASA      578,990   
           
        1,223,771   
           
   Russia — 3.4%   
  23,727       Evraz Group SA, GDR, (Reg S)(b)(c)      851,088   
  46,579       Gazprom, Sponsored ADR      1,184,970   
  12,018       LUKOIL, Sponsored ADR      687,670   
  25,993       MMC Norilsk Nickel, ADR      615,254   
           
        3,338,982   
           
   Singapore — 0.6%   
  55,000       DBS Group Holdings Ltd.      613,886   
           
   South Africa — 0.9%   
  45,247       MTN Group Ltd.      923,437   
           
   Spain — 0.4%   
  40,668       Banco Santander SA      433,348   
           
   Sweden — 2.8%   
  34,035       Atlas Copco AB, Class A      859,161   
  8,218       Millicom International Cellular SA      785,641   
  37,419       Sandvik AB      730,118   
  34,483       Telefonaktiebolaget LM Ericsson, Class B      399,617   
           
        2,774,537   
           
   Switzerland — 9.0%   
  61,959       ABB Ltd., (Registered)(b)      1,383,413   
  10,572       Cie Financiere Richemont SA, Series A      621,674   
  24,242       Credit Suisse Group AG, (Registered)      976,344   
  30,487       Logitech International SA, (Registered)(b)      565,534   
  4,914       Lonza Group AG, (Registered)      393,882   
  29,050       Nestle SA, (Registered)      1,701,856   
  17,149       Novartis AG, (Registered)      1,009,485   
  7,982       Roche Holding AG      1,170,104   
  4,232       Sonova Holding AG, (Registered)      545,532   
  1,634       Syngenta AG, (Registered)      478,981   
           
        8,846,805   
           
   Taiwan — 0.5%   
  214,927       Taiwan Semiconductor Manufacturing Co. Ltd.      523,197   
           
   United Kingdom — 15.1%   
  16,057       Anglo American PLC      839,988   
  97,363       ARM Holdings PLC      664,527   
  35,730       Autonomy Corp. PLC(b)      840,594   
  140,618       Barclays PLC      581,161   
  40,167       BG Group PLC      814,800   
  20,833       BHP Billiton PLC      838,151   
  60,933       British Sky Broadcasting Group PLC      700,374   
  1,002,774       Dixons Retail PLC(b)      359,827   
  52,775       Eurasian Natural Resources Corp. PLC      867,857   
  21,606       GlaxoSmithKline PLC      419,003   
  51,576       HSBC Holdings PLC      526,667   
  13,267       HSBC Holdings PLC, Sponsored ADR      677,148   
  60,562       ICAP PLC      506,394   
  20,158       Kazakhmys PLC      511,702   
  428,014       Lloyds Banking Group PLC(b)      441,841   
  150,630       Man Group PLC      698,458   
  73,381       Prudential PLC      766,629   
  45,986       Standard Chartered PLC      1,241,426   
  163,365       Tesco PLC      1,083,282   
Shares      Description    Value (†)  
     
   United Kingdom — continued   
  18,566       Vedanta Resources PLC    $ 732,460   
  230,032       Vodafone Group PLC      603,869   
           
        14,716,158   
           
  

Total Common Stocks

(Identified Cost $79,673,146)

      96,007,164   
           
  Preferred Stocks — 0.5%   
   Germany — 0.5%   
  8,289       Henkel AG & Co. KGaA
(Identified Cost $298,628)		      513,929   
           
Principal
Amount		                
  Short-Term Investments — 1.0%   
$ 968,106       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $968,106 on 1/03/2011 collateralized by $995,000 Federal National Mortgage Association, 2.000% due 9/21/2015 valued at $990,025 including accrued interest (Note 2 of the Notes to Financial Statements)
(Identified Cost $968,106)		      968,106   
           
     
  

Total Investments — 99.7%

(Identified Cost $80,939,880)(a)

      97,489,199   
   Other assets less liabilities — 0.3%      302,130   
           
   Net Assets — 100.0%    $ 97,791,329   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $83,263,743 for federal income tax purposes was as follows:     
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 18,304,837   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (4,079,381 ) 
           
   Net unrealized appreciation    $ 14,225,456   
           
     
  (b)       Non-income producing security.   
  (c)       Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.        
     
  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, 2010, the value of Rule 144A holdings amounted to $242,592 or 0.2% of net assets.       
  ADR/ GDR       An American Depositary Receipt or Global 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 and GDRs are significantly influenced by trading on exchanges not located in the United States.       

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

 

 

Portfolio of Investments – as of December 31, 2010

Hansberger International Fund – (continued)

 

Industry Summary at December 31, 2010 (Unaudited)

 

Commercial Banks      14.1 % 
Metals & Mining      11.0   
Oil, Gas & Consumable Fuels      10.0   
Machinery      5.8   
Pharmaceuticals      4.2   
Semiconductors & Semiconductor Equipment      4.1   
Insurance      3.7   
Wireless Telecommunication Services      2.9   
Capital Markets      2.9   
Chemicals      2.6   
Automobiles      2.6   
Electrical Equipment      2.3   
Food Products      2.3   
Food & Staples Retailing      2.3   
Specialty Retail      2.2   
Software      2.2   
Energy Equipment & Services      2.0   
Textiles, Apparel & Luxury Goods      2.0   
Other Investments, less than 2% each      19.5   
Short-Term Investments      1.0   
        
Total Investments      99.7   
Other assets less liabilities      0.3   
        
Net Assets      100.0 % 
        

Currency Exposure at December 31, 2010 (Unaudited)

 

United States Dollar      23.5 % 
Euro      15.6   
British Pound      13.8   
Hong Kong Dollar      12.3   
Japanese Yen      11.0   
Swiss Franc      8.5   
Australian Dollar      5.1   
Canadian Dollar      2.5   
Swedish Krona      2.0   
Other, less than 2% each      5.4   
        
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

 

Portfolio of Investments — as of December 31, 2010

Natixis Oakmark Global Fund

 

 

    
Shares		      Description    Value (†)  
     
     
  Common Stocks — 91.0% of Net Assets   
   Australia — 5.0%   
  26,600       Incitec Pivot Ltd.    $ 107,836   
  43,000       Primary Health Care Ltd.      165,965   
           
        273,801   
           
   France — 4.0%   
  900       Neopost SA      78,487   
  8,000       Societe Television Francaise 1      139,073   
           
        217,560   
           
   Germany — 5.0%   
  750       Daimler AG, (Registered)(b)      50,748   
  1,300       Rheinmetall AG      104,138   
  2,350       SAP AG      119,855   
           
        274,741   
           
   Ireland — 2.3%   
  2,800       Covidien PLC      127,848   
           
   Italy — 1.0%   
  5,000       Bulgari SpA      54,131   
           
   Japan — 18.4%   
  2,600       Canon, Inc.      133,550   
  40,000       Daiwa Securities Group, Inc.      205,184   
  1,200       Hirose Electric Co. Ltd.      134,847   
  2,600       Omron Corp.      68,520   
  2,300       Rohm Co. Ltd.      149,575   
  9,000       Square Enix Holdings Co. Ltd.      159,190   
  3,800       Toyota Motor Corp.      149,600   
           
        1,000,466   
           
   Spain — 2.3%   
  11,500       Banco Santander SA      122,541   
           
   Sweden — 1.8%   
  3,400       Assa Abloy AB, Series B      95,910   
           
   Switzerland — 15.4%   
  1,700       Adecco SA, (Registered)      111,485   
  900       Cie Financiere Richemont SA, Series A      52,923   
  3,900       Credit Suisse Group AG, (Registered)      157,072   
  800       Holcim Ltd., (Registered)      60,538   
  4,100       Julius Baer Group Ltd.      191,975   
  4,300       Tyco Electronics Ltd.      152,220   
  6,900       UBS AG, (Registered)(b)      113,289   
           
        839,502   
           
   United Kingdom — 2.3%   
  6,800       Diageo PLC      125,991   
           
   United States — 33.5%   
  850       Apache Corp.      101,346   
  7,600       Applied Materials, Inc.      106,780   
  3,100       Discovery Communications, Inc., Series C(b)      113,739   
  3,600       Equifax, Inc.      128,160   
  7,000       Intel Corp.      147,210   
  1,800       International Flavors & Fragrances, Inc.      100,062   
  2,500       Laboratory Corp. of America Holdings(b)      219,800   
  9,400       Live Nation Entertainment, Inc.(b)      107,348   
  500       MasterCard, Inc., Class A      112,055   
  7,400       Oracle Corp.      231,620   
  7,700       Sara Lee Corp.      134,827   
  3,950       Snap-on, Inc.      223,491   
  1,100       Union Pacific Corp.      101,926   
           
        1,828,364   
           
   Total Common Stocks
(Identified Cost $4,883,127)		      4,960,855   
           
Principal
Amount		      Description    Value (†)  
     
  Short-Term Investments — 5.5%   
$ 300,045       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $300,045 on 1/03/2011 collateralized by $300,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $306,750 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $300,045)		    $ 300,045   
           
     
   Total Investments — 96.5%
(Identified Cost $5,183,172)(a)		      5,260,900   
   Other assets less liabilities — 3.5%      191,733   
           
   Net Assets — 100.0%    $ 5,452,633   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $5,183,172 for federal income tax purposes was as follows:     
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 116,898   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (39,170 ) 
           
   Net unrealized appreciation    $ 77,728   
           
     
  (b)       Non-income producing security.   

At December 31, 2010, the Fund had the following open forward foreign currency contracts:

 

Contract
to Sell1		   Delivery
Date		     Currency     Units     Notional
Value		     Unrealized
Depreciation		  
Sell     09/21/2011        Australian Dollar        50,000      $ 49,451      $ (466 ) 
Sell     09/21/2011        Japanese Yen        25,000,000        309,023        (2,256 ) 
Sell     06/15/2011        Swiss Franc        155,000        166,139        (735 ) 
               
Total           $ (3,457 ) 
               

1 Counterparty is State Street Bank and Trust Company.

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

 

 

Portfolio of Investments – as of December 31, 2010

Natixis Oakmark Global Fund – (continued)

 

Industry Summary at December 31, 2010 (Unaudited)

 

Capital Markets      12.3 % 
Software      9.3   
Semiconductors & Semiconductor Equipment      7.4   
Health Care Providers & Services      7.0   
Media      6.7   
Electronic Equipment, Instruments & Components      6.6   
Professional Services      4.3   
Machinery      4.1   
Office Electronics      3.9   
Chemicals      3.8   
Automobiles      3.6   
Food Products      2.5   
Health Care Equipment & Supplies      2.3   
Beverages      2.3   
Commercial Banks      2.3   
IT Services      2.0   
Textiles, Apparel & Luxury Goods      2.0   
Other Investments, less than 2% each      8.6   
Short-Term Investments      5.5   
        
Total Investments      96.5   
Other assets less liabilities (including open forward foreign currency contracts)      3.5   
        
Net Assets      100.0 % 
        

Currency Exposure at December 31, 2010 (Unaudited)

 

United States Dollar      44.1 % 
Japanese Yen      18.4   
Swiss Franc      12.6   
Euro      12.3   
Australian Dollar      5.0   
British Pound      2.3   
Other, less than 2% each      1.8   
        
Total Investments      96.5   
Other assets less liabilities (including open forward foreign currency contracts)      3.5   
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

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Portfolio of Investments — as of December 31, 2010

Natixis Oakmark International Fund

 

Shares      Description    Value (†)  
     
  Common Stocks — 83.3% of Net Assets   
   Australia — 4.0%   
  9,400       Amcor Ltd.    $ 64,905   
  17,300       Brambles Ltd.      126,015   
  9,400       Foster’s Group Ltd.      54,645   
           
        245,565   
           
   Canada — 1.0%   
  1,700       Thomson Reuters Corp.      63,671   
           
   France — 9.1%   
  2,100       BNP Paribas      133,741   
  1,400       Danone SA      88,027   
  1,650       Publicis Groupe      86,098   
  7,700       Societe Television Francaise 1      133,858   
  700       Sodexo      48,303   
  700       Vallourec SA      73,597   
           
        563,624   
           
   Germany — 5.3%   
  1,200       Allianz SE, (Registered)      142,578   
  650       Daimler AG, (Registered)(b)      43,982   
  2,800       SAP AG      142,806   
           
        329,366   
           
   Ireland — 1.9%   
  4,000       Experian PLC      49,821   
  134,000       Governor & Co. of the Bank of Ireland (The)(b)      66,652   
           
        116,473   
           
   Italy — 1.9%   
  44,000       Intesa Sanpaolo SpA      119,619   
           
   Japan — 19.9%   
  3,000       Canon, Inc.      154,096   
  41,000       Daiwa Securities Group, Inc.      210,314   
  2,600       Honda Motor Co. Ltd.      102,619   
  35       Japan Tobacco, Inc.      129,240   
  4,000       Olympus Corp.      120,441   
  3,300       Omron Corp.      86,967   
  2,300       Rohm Co. Ltd.      149,575   
  3,300       Sumitomo Mitsui Financial Group, Inc.      116,843   
  4,000       Toyota Motor Corp.      157,474   
           
        1,227,569   
           
   Korea — 1.6%   
  450       KT&G Corp.      25,657   
  85       Samsung Electronics Co. Ltd.      70,987   
           
        96,644   
           
   Mexico — 1.6%   
  600       Fomento Economico Mexicano, SAB de CV, Sponsored ADR      33,552   
  2,600       Grupo Televisa SA, Sponsored ADR(b)      67,418   
           
        100,970   
           
   Netherlands — 4.5%   
  950       Akzo Nobel NV      59,106   
  2,200       ArcelorMittal      83,724   
  1,950       Heineken Holding NV      84,804   
  3,900       Koninklijke Ahold NV      51,520   
           
        279,154   
           
   Spain — 2.1%   
  12,000       Banco Santander SA      127,869   
           
   Sweden — 2.2%   
  4,700       Assa Abloy AB, Series B      132,581   
           
   Switzerland — 16.3%   
  2,100       Adecco SA, (Registered)      137,717   
  850       Cie Financiere Richemont SA, Series A      49,983   
Shares      Description    Value (†)  
     
   Switzerland — continued   
  4,400       Credit Suisse Group AG, (Registered)    $ 177,210   
  200       Geberit AG, (Registered)      46,244   
  50       Givaudan SA, (Registered)      53,975   
  1,000       Holcim Ltd., (Registered)      75,672   
  425       Kuehne & Nagel International AG, (Registered)      59,130   
  1,500       Nestle SA, (Registered)      87,876   
  1,600       Novartis AG, (Registered)      94,185   
  670       Roche Holding AG      98,217   
  7,900       UBS AG, (Registered)(b)      129,707   
           
        1,009,916   
           
   United Kingdom — 11.9%   
  6,200       BAE Systems PLC      31,935   
  7,600       Diageo PLC      140,814   
  33,000       G4S PLC      130,911   
  3,300       GlaxoSmithKline PLC      63,997   
  12,900       Reed Elsevier PLC      108,967   
  2,100       Schroders PLC      60,897   
  1,900       Signet Jewelers Ltd.(b)      82,460   
  3,700       Wolseley PLC(b)      118,445   
           
        738,426   
           
   Total Common Stocks
(Identified Cost $5,066,156)		      5,151,447   
           
Principal
Amount		                
  Short-Term Investments — 10.8%   
$ 667,475       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2010 at 0.000% to be repurchased at $667,475 on 1/03/2011 collateralized by $670,000 U.S. Treasury Note, 1.7500% due 3/31/2014 valued at $685,075 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $667,475)		      667,475   
           
     
   Total Investments — 94.1%
(Identified Cost $5,733,631)(a)		      5,818,922   
   Other assets less liabilities — 5.9%      367,970   
           
   Net Assets — 100.0%    $ 6,186,892   
           
     
  (†)       See Note 2 of Notes to Financial Statements.   
     
  (a)       Federal Tax Information:   
   At December 31, 2010, the net unrealized appreciation on investments based on a cost of $5,733,631 for federal income tax purposes was as follows:     
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 112,021   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (26,730 ) 
           
   Net unrealized appreciation    $ 85,291   
           
     
  (b)       Non-income producing security.   
     
  ADR       An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.       

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of December 31, 2010

Natixis Oakmark International Fund – (continued)

 

At December 31, 2010, the Fund had the following open forward foreign currency contracts:

 

Contract
to Sell1		    Delivery
Date		      Currency    Units      Notional
Value		      Unrealized
Depreciation		  
Sell      09/21/2011       Australian Dollar      40,000       $ 39,561       $ (373 ) 
Sell      09/21/2011       Japanese Yen      25,000,000         309,023         (2,255 ) 
Sell      06/15/2011       Swiss Franc      190,000         203,654         (901 ) 
                    
Total                $ (3,529 ) 
                    

1 Counterparty is State Street Bank and Trust Company.

Industry Summary at December 31, 2010 (Unaudited)

 

Capital Markets      9.4 % 
Commercial Banks      9.2   
Media      7.5   
Beverages      5.1   
Automobiles      4.9   
Commercial Services & Supplies      4.1   
Pharmaceuticals      4.1   
Semiconductors & Semiconductor Equipment      3.6   
Professional Services      3.0   
Building Products      2.9   
Food Products      2.8   
Tobacco      2.5   
Office Electronics      2.5   
Software      2.3   
Insurance      2.3   
Other Investments, less than 2% each      17.1   
Short-Term Investments      10.8   
        
Total Investments      94.1   
Other assets less liabilities (including open forward foreign currency contracts)      5.9   
        
Net Assets      100.0 % 
        

Currency Exposure at December 31, 2010 (Unaudited)

 

Euro      24.0 % 
Japanese Yen      19.9   
Swiss Franc      16.3   
United States Dollar      13.8   
British Pound      11.4   
Australian Dollar      4.0   
Swedish Krona      2.1   
Other, less than 2% each      2.6   
        
Total Investments      94.1   
Other assets less liabilities (including open forward foreign currency contracts)      5.9   
        
Net Assets      100.0 % 
        

 

See accompanying notes to financial statements.

 

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Statements of Assets and Liabilities

December 31, 2010

 

     Absolute Asia
Dynamic Equity Fund		     Hansberger
International Fund		     Natixis Oakmark
Global Fund		      Natixis Oakmark
International Fund		  

ASSETS

          

Investments at cost

    $ 2,413,263      $ 79,971,774      $ 4,883,127       $ 5,066,156   

Repurchase agreement(s) at cost

      205,212        968,106        300,045         667,475   

Net unrealized appreciation

      550,250        16,549,319        77,728         85,291   
                                 

Investments at value

      3,168,725        97,489,199        5,260,900         5,818,922   

Cash

      —        15,287        —         —   

Foreign currency at value (identified cost $0, $20,412, $0 and $0)

      —        20,568        —         —   

Receivable for Fund shares sold

      —        93,528        191,343         570,488   

Receivable from investment adviser (Note 6)

      20,467        —        48,413         48,672   

Receivable for securities sold

      —        660,457        5,388         3,167   

Dividends receivable

      2,845        155,500        2,422         4,080   

Tax reclaims receivable

      —        92,026        —         —   
                                 

TOTAL ASSETS

      3,192,037        98,526,565        5,508,466         6,445,329   
                                 

LIABILITIES

          

Payable for securities purchased

      —        169,536        1,775         203,796   

Payable for Fund shares redeemed

      —        241,857        —         —   

Unrealized depreciation on forward foreign currency contracts (Note 2)

      —        —        3,457         3,529   

Management fees payable (Note 6)

      —        65,653        —         —   

Deferred Trustees’ fees (Note 6)

      10,977        131,648        8         8   

Administrative fees payable (Note 6)

      8,493        3,841        3,836         3,836   

Other accounts payable and accrued expenses

      42,895        122,701        46,757         47,268   
                                 

TOTAL LIABILITIES

      62,365        735,236        55,833         258,437   
                                 

NET ASSETS

    $ 3,129,672      $ 97,791,329      $ 5,452,633       $ 6,186,892   
                                 

NET ASSETS CONSIST OF:

          

Paid-in capital

    $ 2,590,383      $ 100,801,286      $ 5,375,964       $ 6,101,591   

Undistributed net investment income (Distributions in excess of net investment income)

      (10,986 )      (399,332 )      2,387         3,360   

Accumulated net realized gain (loss) on investments and foreign currency transactions

      —        (19,174,519 )      —         199   

Net unrealized appreciation on investments and foreign currency translations

      550,275        16,563,894        74,282         81,742   
                                 

NET ASSETS

    $ 3,129,672      $ 97,791,329      $ 5,452,633       $ 6,186,892   
                                 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

          

Class A shares:

          

Net assets

    $ 28,865      $ 78,366,861      $ 5,078,253       $ 5,486,530   
                                 

Shares of beneficial interest

      2,391        4,587,399        500,295         539,937   
                                 

Net asset value and redemption price per share

    $ 12.07      $ 17.08      $ 10.15       $ 10.16   
                                 

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

    $ 12.81      $ 18.12      $ 10.77       $ 10.78   
                                 

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

          

Net assets

    $ —      $ 6,346,784      $ —       $ —   
                                 

Shares of beneficial interest

      —        417,575        —         —   
                                 

Net asset value and offering price per share

    $ —      $ 15.20      $ —       $ —   
                                 

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

          

Net assets

    $ 46,428      $ 13,077,684      $ 374,380       $ 700,362   
                                 

Shares of beneficial interest

      3,854        865,948        36,864         68,972   
                                 

Net asset value and offering price per share

    $ 12.05      $ 15.10      $ 10.16       $ 10.15   
                                 

Class Y shares:

          

Net assets

    $ 3,054,379      $ —      $ —       $ —   
                                 

Shares of beneficial interest

      252,463        —        —         —   
                                 

Net asset value, offering and redemption price per share

    $ 12.10      $ —      $ —       $ —   
                                 

 

See accompanying notes to financial statements.

 

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Table of Contents

Statements of Operations

For the Year Ended December 31, 2010

 

     Absolute Asia
Dynamic Equity Fund (a)		     Hansberger
International Fund		     Natixis Oakmark
Global Fund (b)		     Natixis Oakmark
International Fund  (b)		  

INVESTMENT INCOME

         

Dividends

    $ 39,285      $ 2,330,296      $ 2,539      $ 4,467   

Interest

      —        6,819        —        —   

Less net foreign taxes withheld

      (2,948 )      (205,709 )      (144 )      (434 ) 
                                
     36,337        2,131,406        2,395        4,033   
                                

Expenses

         

Management fees (Note 6)

      23,062        761,268        1,805        2,015   

Service and distribution fees (Note 6)

      259        387,713        599        663   

Administrative fees (Note 6)

      84,088        43,516        3,836        3,836   

Trustees’ fees and expenses (Note 6)

      16,668        36,150        14        14   

Transfer agent fees and expenses (Note 6)

      223        204,664        4        4   

Audit and tax services fees

      40,731        54,519        43,338        43,338   

Custodian fees and expenses

      22,600        152,883        2,550        3,002   

Legal fees

      38        1,634        4        4   

Registration fees

      35,692        44,434        110        110   

Shareholder reporting expenses

      1,125        35,076        461        518   

Miscellaneous expenses

      6,989        19,199        691        691   
                                

Total expenses

      231,475        1,741,056        53,412        54,195   

Less waiver and/or expense reimbursement (Note 6)

      (196,623 )      —        (50,218 )      (50,687 ) 
                                

Net expenses

      34,852        1,741,056        3,194        3,508   
                                

Net investment income (loss)

      1,485        390,350        (799 )      525   
                                

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS

         

Net realized gain (loss) on:

         

Investments

      11,678        1,963,305        156        199   

Foreign currency transactions

      (2,237 )      (20,965 )      2,321        3,389   

Net change in unrealized appreciation (depreciation) on:

         

Investments

      550,250        5,152,166        77,728        85,291   

Foreign currency translations

      25        9,938        (3,446 )      (3,549 ) 
                                

Net realized and unrealized gain on investments and foreign currency transactions

      559,716        7,104,444        76,759        85,330   
                                

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 561,201      $ 7,494,794      $ 75,960      $ 85,855   
                                

 

 

(a) From commencement of operations on February 26, 2010 through December 31, 2010.

(b) From commencement of operations on December 15, 2010 through December 31, 2010.

 

See accompanying notes to financial statements.

 

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Table of Contents

Statements of Changes in Net Assets

 

     Absolute Asia
Dynamic Equity Fund		     Hansberger International Fund     Natixis Oakmark
Global Fund		     Natixis Oakmark
International Fund		  
     Period Ended
December 31,
2010 (a)		     Year Ended
December 31,
2010		     Year Ended
December 31,
2009 		    Period Ended
December 31,
2010 (b) 		    Period Ended
December 31,
2010 (b)		  

FROM OPERATIONS:

           

Net investment income (loss)

    $ 1,485      $ 390,350      $ 474,846        $(799 )    $ 525   

Net realized gain (loss) on investments and foreign currency transactions

      9,441        1,942,340        (14,907,900 )      2,477        3,588   

Net change in unrealized appreciation (depreciation) on investments and foreign currency translations

      550,275        5,162,104        46,126,182        74,282        81,742   
                                        

Net increase in net assets resulting from operations

      561,201        7,494,794        31,693,128        75,960        85,855   
                                        

FROM DISTRIBUTIONS TO SHAREHOLDERS:

           

Net investment income

           

Class A

      (112 )      (632,902 )      (56,901 )      —        (1,241 ) 

Class B

      —        (21,344 )      —        —        —   

Class C

      (88 )      (35,852 )      —        —        (86 ) 

Class Y

      (18,450 )      —        —        —        —   

Net realized capital gains

           

Class A

      (108 )      —        —        —        —   

Class B

      —        —        —        —        —   

Class C

      (176 )      —        —        —        —   

Class Y

      (11,400 )      —        —        —        —   
                                        

Total distributions

      (30,334 )      (690,098 )      (56,901 )      —        (1,327 ) 
                                        

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      2,598,805        (15,402,231 )      (6,383,119 )      5,376,673        6,102,364   
                                        

Increase from regulatory settlements (Note 7)

      —        93,153        613,370        —        —   

Net increase (decrease) in net assets

      3,129,672        (8,504,382 )      25,866,478        5,452,633        6,186,892   

NET ASSETS

           

Beginning of the year

      —        106,295,711        80,429,233        —        —   
                                        

End of the year

    $ 3,129,672      $ 97,791,329      $ 106,295,711      $ 5,452,633      $ 6,186,892   
                                        

UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)

    $ (10,986 )    $ (399,332 )    $ (172,342 )    $ 2,387      $ 3,360   
                                        

 

 

 

(a) From commencement of operations on February 26, 2010 through December 31, 2010.
(b) From commencement of operations on December 15, 2010 through December 31, 2010.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights

For a share outstanding throughout each period.

 

            Income (Loss) from Investment Operations:     Less Distributions:  
     Net asset
value,
beginning
of
the period		      Net
investment
income
(loss) (a)(b)		     Net realized
and unrealized
gain (loss)		     Total from
investment
operations		     Dividends
from
net investment
income		     Distributions
from net
realized
capital gains		     Distributions
from paid-in
capital		     Total
distributions		  
                 

ABSOLUTE ASIA DYNAMIC EQUITY  FUND

                  

Class A

                  

12/31/2010(g)

    $ 10.00       $ (0.04 )    $ 2.20      $ 2.16      $ (0.04 )    $ (0.05 )    $ —      $ (0.09 ) 

Class C

                  

12/31/2010(g)

      10.00         (0.10 )      2.22        2.12        (0.02 )      (0.05 )      —        (0.07 ) 

Class Y

                  

12/31/2010(g)

      10.00         0.01        2.21        2.22        (0.07 )      (0.05 )      —        (0.12 ) 

HANSBERGER INTERNATIONAL FUND

                  

Class A

                  

12/31/2010

    $ 15.84       $ 0.09      $ 1.28      $ 1.37      $ (0.14 )    $ —      $ —      $ (0.14 ) 

12/31/2009

      10.88         0.09        4.79        4.88        (0.01 )      —        —        (0.01 ) 

12/31/2008

      22.17         0.26        (10.63 )      (10.37 )      (0.15 )      (0.68 )      (0.09 )      (0.92 ) 

12/31/2007

      21.50         0.18        3.29        3.47        (0.40 )      (2.40 )      —        (2.80 ) 

12/31/2006

      19.88         0.16        4.51        4.67        (0.35 )      (2.70 )      —        (3.05 ) 

Class B

                  

12/31/2010

      14.12         (0.02 )      1.13        1.11        (0.04 )      —        —        (0.04 ) 

12/31/2009

      9.76         0.00        4.27        4.27        —        —        —        —   

12/31/2008

      19.88         0.12        (9.48 )      (9.36 )      (0.03 )      (0.68 )      (0.05 )      (0.76 ) 

12/31/2007

      19.51         0.01        2.98        2.99        (0.22 )      (2.40 )      —        (2.62 ) 

12/31/2006

      18.27         0.01        4.11        4.12        (0.18 )      (2.70 )      —        (2.88 ) 

Class C

                  

12/31/2010

      14.03         (0.02 )      1.12        1.10        (0.04 )      —        —        (0.04 ) 

12/31/2009

      9.70         (0.00 )      4.24        4.24        —        —        —        —   

12/31/2008

      19.81         0.11        (9.43 )      (9.32 )      (0.03 )      (0.68 )      (0.08 )      (0.79 ) 

12/31/2007

      19.48         0.01        2.97        2.98        (0.25 )      (2.40 )      —        (2.65 ) 

12/31/2006

      18.28         0.00        4.11        4.11        (0.21 )      (2.70 )      —        (2.91 ) 

 

 

 

(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, if applicable.
(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

 

See accompanying notes to financial statements.

 

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Table of Contents

 

 

 

                              Ratios to Average Net Assets:        
    
Increase
from
regulatory
settlements		     Redemption
fees (b)		     Net asset
value, end
of the period		     Total
return
(%) (c)(d)		     Net assets,
end of
the period
(000’s)		     Net
expenses
(%) (e)(f)		     Gross
expenses
(%) (f)		     Net investment
income (loss)
(%) (f)		     Portfolio
turnover
rate (%)		  
               
               
               
               
$ —      $ —      $ 12.07        21.63      $ 29        1.75        10.75        (0.49 )      5   
               
  —        —        12.05        21.18        46        2.50        10.45        (1.06 )      5   
               
  —        —        12.10        22.19        3,054        1.50        10.03        0.08        5   
               
               
$ 0.01      $ —      $ 17.08        8.70      $ 78,367        1.67        1.67        0.57        39   
  0.09        —        15.84        45.82        83,183        1.69        1.69        0.71        46   
  —        0.00 (h)      10.88        (47.63 )      60,091        1.49        1.49        1.48        47   
  —        0.00        22.17        16.38        128,224        1.45        1.45        0.79        47   
  —        0.00        21.50        24.08        112,814        1.49        1.49        0.75        49   
               
  0.01        —        15.20        7.93        6,347        2.42        2.42        (0.17 )      39   
  0.09        —        14.12        44.67        9,157        2.44        2.44        0.01        46   
  —        0.00 (h)      9.76        (48.03 )      9,328        2.23        2.23        0.72        47   
  —        0.00        19.88        15.63        29,770        2.20        2.20        0.06        47   
  —        0.00        19.51        23.15        33,016        2.25        2.25        0.03        49   
               
  0.01        —        15.10        7.91        13,078        2.42        2.42        (0.17 )      39   
  0.09        —        14.03        44.64        13,956        2.44        2.44        (0.03 )      46   
  —        0.00 (h)      9.70        (48.00 )      11,010        2.24        2.24        0.73        47   
  —        0.00        19.81        15.54        26,414        2.20        2.20        0.04        47   
  —        0.00        19.48        23.14        23,541        2.25        2.25        0.01        49   

 

 

 

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) For the period February 26, 2010 (inception) through December 31, 2010.
(h) Effective June 2, 2008, redemption fees were eliminated.

 

|  28

Table of Contents

 

Financial Highlights (continued)

For a share outstanding throughout each period.

 

 

            Income (Loss) from Investment
Operations:		      Less Distributions:  
     Net asset
value,
beginning
of
the period		      Net
investment
income
(loss) (a)(b)		     Net realized
and unrealized
gain (loss)		      Total from
investment
operations		      Dividends
from
net investment
income (b)		     Distributions
from net
realized
capital gains		      Total
distributions (b)		  
                  

NATIXIS OAKMARK GLOBAL FUND

                   

Class A

                   

12/31/2010(g)

    $ 10.00       $ (0.00 )    $ 0.15       $ 0.15       $ —      $     —       $ —   

Class C

                   

12/31/2010(g)

      10.00         (0.00 )      0.16         0.16         —        —         —   

NATIXIS OAKMARK INTERNATIONAL FUND

                   

Class A

                   

12/31/2010(g)

    $ 10.00       $ 0.00      $ 0.16       $ 0.16       $ (0.00 )    $ —       $ (0.00 ) 

Class C

                   

12/31/2010(g)

      10.00         (0.00 )      0.15         0.15         (0.00 )      —         (0.00 ) 

 

 

 

 

 

(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, if applicable.
(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

 

See accompanying notes to financial statements.

 

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Table of Contents

 

                  Ratios to Average Net Assets:        
Net asset
value, end
of the period		     Total
return
(%) (c)(d)		     Net assets,
end of
the period
(000’s)		     Net
expenses
(%) (e)(f)		     Gross
expenses
(%) (f)		     Net investment
income (loss)
(%) (f)		     Portfolio
turnover
rate (%)		  
           
           
           
$ 10.15        1.50      $ 5,078        1.40        23.55        (0.35 )      0 (h) 
           
  10.16        1.50        374        2.15        29.67        (0.32 )      0 (h) 
           
           
$ 10.16        1.62      $ 5,487        1.45        22.77        0.23        0 (h) 
           
  10.15        1.52        700        2.20        25.08        (0.08 )      0 (h) 

 

 

 

 

 

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/ reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) For the period December 15, 2010 (inception) through December 31, 2010.
(h) Amount rounds to less than 1%.

 

|  30

Table of Contents

Notes to Financial Statements

December 31, 2010

 

1.  Organization.  Natixis Funds Trust I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (“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:

Natixis Funds Trust I:

Absolute Asia Dynamic Equity Fund (the “Dynamic Equity Fund”)

Hansberger International Fund (the “International Fund”)

Natixis Oakmark Global Fund

Natixis Oakmark International Fund

The Dynamic Equity Fund commenced operations on February 26, 2010 via contribution by Natixis Global Asset Management, L.P. (“Natixis US”) and its affiliates of $2,502,000. Natixis Oakmark Global Fund and Natixis Oakmark International Fund commenced operations on December 15, 2010 via contribution by Natixis US and its affiliates of $5,001,000 and $5,001,000, respectively.

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

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

Most expenses of the Trust can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the 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 (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements 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.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where

 

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Notes to Financial Statements (continued)

December 31, 2010

 

broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies are valued at their net asset value each day. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities may be fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values. As of December 31, 2010, the following percentages of the Funds’ total market value of investments were fair valued pursuant to procedures approved by the Board of Trustees:

 

Fund

   

Percentage

  

Dynamic Equity Fund

      89%   

International Fund

      73%   

Natixis Oakmark Global Fund

      54%   

Natixis Oakmark International Fund

      84%   

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. Investment income is recorded net of foreign taxes withheld when 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.

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

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

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

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

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statement of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has

 

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Notes to Financial Statements (continued)

December 31, 2010

 

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. 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.

e.  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, 2010 and has concluded that no provisions for income tax are required. International Fund’s 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 taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as ordinary loss netting to reduce short term capital gains, distribution in excess of earnings, distribution redesignations, foreign currency transactions, non-deductible expenses, gains realized from passive foreign investment companies (“PFICs”) and regulatory settlements. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, securities lending collateral gain/loss adjustments, wash sales, forward contracts mark to market and PFIC unrealized gains. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2010 and 2009 was as follows:

 

      2010 Distributions Paid From:  

Fund

   

Ordinary

Income

     

Long-Term

Capital Gains

     

Total

  

Dynamic Equity Fund

    $ 30,334       $         —       $ 30,334   

International Fund

      690,098         —         690,098   

Natixis Oakmark International Fund

      1,327         —         1,327   

 

      2009 Distributions Paid From:  

Fund

   

Ordinary

Income

     

Long-Term

Capital Gains

     

Total

  

International Fund

    $ 56,901       $       —       $ 56,901   

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

 

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Notes to Financial Statements (continued)

December 31, 2010

 

As of December 31, 2010, the components of distributable earnings on a tax basis were as follows:

 

     

Dynamic

Equity Fund

     International
Fund		     Natixis
Oakmark
Global
Fund		     Natixis
Oakmark
International
Fund		  

Undistributed ordinary income

    $ —      $ 65,612      $ —      $ 831   
                                

Total undistributed earnings

      —        65,612        —        831   

Capital loss carryforward:

         

Expires December 31, 2017

      —        (17,192,025 )      —        —   
                                

Total capital loss carryforward

      —        (17,192,025 )      —        —   

Deferred net currency losses (post-October 2010)

      (9 )      —        (1,111 )      —   

Unrealized appreciation (depreciation)

      550,275        14,248,105        77,780        84,470   
                                

Total accumulated earnings (losses)

    $ 550,266      $ (2,878,308 )    $ 76,669      $ 85,301   
                                

Capital loss carryforward utilized in the current year

    $ —      $ 1,639,337      $ —      $ —   
                                

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect as of the report date limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. Management is currently evaluating the complete impact of the Act on the Fund’s financial statements.

g.  Repurchase Agreements.  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.

h.  Securities Lending.  The International Fund has 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 Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent.

For the year ended December 31, 2010, the International Fund did not loan securities under this agreement.

Effective January 1, 2011, Dynamic Equity Fund, Natixis Oakmark Global Fund and Natixis Oakmark International Fund became party to the securities lending agreement with State Street Bank.

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

 

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Notes to Financial Statements (continued)

December 31, 2010

 

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.);

 

  •  

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, 2010, at value:

Dynamic Equity Fund

Asset Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

     

Level 3

     

Total

  
           

Common Stocks

    $ 136,944       $ 2,826,060       $ —       $ 2,963,004   

Warrants

      509         —         —         509   

Short-Term Investments

      —         205,212         —         205,212   
                                   

Total

    $ 137,453       $ 3,031,272       $ —       $ 3,168,725   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

 

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Notes to Financial Statements (continued)

December 31, 2010

 

International Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —       $ 4,973,083       $             —       $ 4,973,083   

Belgium

      —         657,496         —         657,496   

Brazil

      5,652,654         —         —         5,652,654   

Canada

      7,032,198         —         —         7,032,198   

Chile

      641,802         —         —         641,802   

China

      1,515,994         9,499,605         —         11,015,599   

Denmark

      —         1,453,492         —         1,453,492   

France

      519,719         6,224,458         —         6,744,177   

Germany

      —         5,985,205         —         5,985,205   

Hong Kong

      —         1,266,723         —         1,266,723   

India

      928,817         —         —         928,817   

Israel

      559,772         —         —         559,772   

Italy

      —         1,395,889         —         1,395,889   

Japan

      —         10,778,593         —         10,778,593   

Korea

      1,629,398         593,782         —         2,223,180   

Mexico

      1,304,363         —         —         1,304,363   

Norway

      —         1,223,771         —         1,223,771   

Russia

      3,338,982         —         —         3,338,982   

Singapore

      —         613,886         —         613,886   

South Africa

      —         923,437         —         923,437   

Spain

      —         433,348         —         433,348   

Sweden

      785,641         1,988,896         —         2,774,537   

Switzerland

      565,534         8,281,271         —         8,846,805   

Taiwan

      —         523,197         —         523,197   

United Kingdom

      677,148         14,039,010         —         14,716,158   
                                   

Total Common Stocks

      25,152,022         70,855,142         —         96,007,164   
                                   

Preferred Stocks(a)

      —         513,929         —         513,929   

Short-Term Investments

      —         968,106         —         968,106   
                                   

Total

    $ 25,152,022       $ 72,337,177       $ —       $ 97,489,199   
                                   

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

 

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Notes to Financial Statements (continued)

December 31, 2010

 

Natixis Oakmark Global Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —       $ 273,801       $           —       $ 273,801   

France

      —         217,560         —         217,560   

Germany

      —         274,741         —         274,741   

Ireland

      127,848         —         —         127,848   

Italy

      —         54,131         —         54,131   

Japan

      —         1,000,466         —         1,000,466   

Spain

      —         122,541         —         122,541   

Sweden

      —         95,910         —         95,910   

Switzerland

      152,220         687,282         —         839,502   

United Kingdom

      —         125,991         —         125,991   

United States

      1,828,364         —         —         1,828,364   
                                   

Total Common Stocks

      2,108,432         2,852,423         —         4,960,855   
                                   

Short-Term Investments

      —         300,045         —         300,045   
                                   

Total

    $ 2,108,432       $ 3,152,468       $ —       $ 5,260,900   
                                   

Liability Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

    

Level 3

     

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

    $      —       $ (3,457 )    $      —       $ (3,457 ) 
                                  

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Natixis Oakmark International Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —       $ 245,565       $           —       $ 245,565   

Canada

      63,671         —         —         63,671   

France

      —         563,624         —         563,624   

Germany

      —         329,366         —         329,366   

Ireland

      —         116,473         —         116,473   

Italy

      —         119,619         —         119,619   

Japan

      —         1,227,569         —         1,227,569   

Korea

      —         96,644         —         96,644   

Mexico

      100,970         —         —         100,970   

Netherlands

      —         279,154         —         279,154   

Spain

      —         127,869         —         127,869   

Sweden

      —         132,581         —         132,581   

Switzerland

      —         1,009,916         —         1,009,916   

United Kingdom

      82,460         655,966         —         738,426   
                                   

Total Common Stocks

      247,101         4,904,346         —         5,151,447   
                                   

Short-Term Investments

      —         667,475         —         667,475   
                                   

Total

    $ 247,101       $ 5,571,821       $ —       $ 5,818,922   
                                   

 

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Notes to Financial Statements (continued)

December 31, 2010

 

Liability Valuation Inputs

 

Description(a)

   

Level 1

     

Level 2

    

Level 3

     

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

    $      —       $ (3,529 )    $      —       $ (3,529 ) 

 

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds currently use include forward foreign currency contracts.

The Funds are 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. Certain Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. During the year ended December 31, 2010, Natixis Oakmark Global Fund and Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for Natixis Oakmark Global Fund as of December 31, 2010:

 

Statements of Assets and Liabilities Caption

  

Foreign Exchange Contracts

Liabilities  

Unrealized depreciation on forward foreign currency contracts

                     $(3,457)

Transactions in derivative instruments for Natixis Oakmark Global Fund during the period ended December 31, 2010 were as follows:

 

Statements of Operations Caption

  

Foreign Exchange Contracts

Net Change in Unrealized Appreciation (Depreciation) on:  

Foreign currency translations*

                     $(3,457)
*Represents change in unrealized appreciation (depreciation) for forward foreign currency contracts during the period.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of December 31, 2010:

 

Statements of Assets and Liabilities Caption

  

Foreign Exchange Contracts

Liabilities  

Unrealized depreciation on forward foreign currency contracts

                     $(3,529)

Transactions in derivative instruments for Natixis Oakmark International Fund during the period ended December 31, 2010 were as follows:

 

Statements of Operations Caption

  

Foreign Exchange Contracts

Net Change in Unrealized Appreciation (Depreciation) on:  

Foreign currency translations*

                     $(3,529)

 

*Represents change in unrealized appreciation (depreciation) for forward foreign currency contracts during the period.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

 

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Table of Contents

Notes to Financial Statements (continued)

December 31, 2010

 

Volume of derivative activity, as a percentage of net assets, for Natixis Oakmark Global Fund and Natixis Oakmark International Fund based on notional amounts outstanding, at absolute value, was as follows as of December 31, 2010:

 

Natixis Oakmark Global Fund

  

Forwards

Notional Amount Outstanding as of December 31, 2010   9.62%

 

Natixis Oakmark International Fund

  

Forwards

Notional Amount Outstanding as of December 31, 2010   8.93%

Notional amounts outstanding as of December 31, 2010 are representative of amounts outstanding during the period.

5.  Purchases and Sales of Securities.  For the year ended December 31, 2010, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   

Purchases

     

Sales

  

Dynamic Equity Fund

    $ 2,515,801       $ 114,104   

International Fund

      36,445,125         52,900,163   

Natixis Oakmark Global Fund

      4,893,831         10,859   

Natixis Oakmark International Fund

      5,069,132         3,175   

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Natixis Asset Management 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

$200 million

     

Over

$200 million

Dynamic Equity Fund

      1.00%      1.00%

International Fund

      0.80%      0.75%

Natixis Oakmark Global Fund

      0.80%      0.80%

Natixis Oakmark International Fund

      0.85%      0.85%

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

 

Dynamic Equity Fund

   

Absolute Asia Asset Management Limited (“Absolute Asia”)

International Fund

   

Hansberger Global Investors, Inc. (“Hansberger”)

Natixis Oakmark Global Fund

   

Harris Associates L.P. (“Harris”)

Natixis Oakmark International Fund

   

Harris

Payments to Natixis Advisors are reduced by the amount of payments to the subadvisers.

Natixis Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2011 for Dynamic Equity Fund and until April 30, 2012 for Natixis Oakmark Global Fund and Natixis Oakmark International Fund and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, are net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected in the Statements of Assets and Liabilities as receivable from investment adviser.

 

39  |

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Notes to Financial Statements (continued)

December 31, 2010

 

For the year ended December 31, 2010, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

      Expense limit as a
Percentage of Average
Daily Net Assets

Fund

   

Class A

   

Class C

   

Class Y

Dynamic Equity Fund

    1.75%    2.50%    1.50%

Natixis Oakmark Global Fund

    1.40%    2.15%        —

Natixis Oakmark International Fund

    1.45%    2.20%        —

Natixis Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the 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, 2010, the management fees and waivers of management fees for each fund were as follows:

 

Fund

   

Gross
Management
Fees

   

Waivers of
Management
Fees1

   

Net
Management
Fees

   

Percentage of
Average
Daily Net Assets

            Gross    Net

Dynamic Equity Fund

    $  23,062    $  23,062    $          —    1.00%        —

International Fund

      761,268              —        761,268    0.80%    0.80%

Natixis Oakmark Global Fund

          1,805          1,805                —    0.80%        —

Natixis Oakmark International Fund

          2,015          2,015                —    0.85%        —

 

1

Management fee waivers are subject to possible recovery until December 31, 2011.

For the year ended December 31, 2010, expenses have been reimbursed as follows:

 

Fund

    Reimbursement2

Dynamic Equity Fund

    $173,561

Natixis Oakmark Global Fund

        48,413

Natixis Oakmark International Fund

        48,672

 

2

Expense reimbursements are subject to possible recovery until December 31, 2011.

No expenses were recovered during the year ended December 31, 2010 under the terms of the expense limitation agreement.

Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, Absolute Asia, Hansberger and Harris are subsidiaries of Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b.  Service and Distribution Fees.  Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors 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 B (if applicable) and Class C shares (the “Class B and Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distributors 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 Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

 

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Notes to Financial Statements (continued)

December 31, 2010

 

Under the Class B (if applicable) and Class C Plans, each Fund pays Natixis Distributors 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 B (if applicable) and Class C shares, as compensation for services provided by Natixis Distributors in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.

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

For the year ended December 31, 2010, the Funds paid the following service and distribution fees:

 

      Service Fees        Distribution Fees  

Fund

   

Class A

     

Class B

     

Class C

       

Class B

     

Class C

  
                

Dynamic Equity Fund

    $ 63       $ —       $ 49         $ —       $ 147   

International Fund

      187,957         17,942         31,997           53,826         95,991   

Natixis Oakmark Global Fund

      553         —         11           —         35   

Natixis Oakmark International Fund

      569         —         24           —         70   

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays 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 Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers. Dynamic Equity Fund, Natixis Oakmark Global Fund and Natixis Oakmark International Fund were subject to the new fund fee during the period.

Prior to July 1, 2010, 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 Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion and 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which was reevaluated on an annual basis. New funds were subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers.

For the year ended December 31, 2010, each Fund paid the following administrative fees to Natixis Advisors:

 

Fund

   

Administrative
Fees

Dynamic Equity Fund

    $84,088

International Fund

      43,516

Natixis Oakmark Global Fund

        3,836

Natixis Oakmark International Fund

        3,836

d.  Sub-Transfer Agent Fees.  Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Funds held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

 

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Notes to Financial Statements (continued)

December 31, 2010

 

For the year ended December 31, 2010, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:

 

Fund

   

Sub-Transfer
Agent Fees

Dynamic Equity Fund

    $      24

International Fund

      38,272

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the year ended December 31, 2010 were as follows:

 

Fund

   

Commissions

International Fund

    $48,395

Natixis Oakmark International Fund

      18,219

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 Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance 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 $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. Each member of the ad hoc Committee on Alternative Investments received a one-time fee of $10,000. The ad hoc Committee on Alternative Investments is not a standing committee. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series 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 Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

g.  Interfund Transactions.  A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common Trustees. For the year ended December 31, 2010, the International Fund purchased securities from an affiliated fund in compliance with Rule 17a-7 of the 1940 Act in the amount of $249,893.

7.  Regulatory Settlements.  During the year ended December 31, 2010, the International Fund received a payment of $93,153 relating to a regulatory settlement. The payment has been included in “Increase from Regulatory Settlements” on the Statements of Changes in Net Assets.

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% 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.

Prior to March 10, 2010, International Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with

 

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Notes to Financial Statements (continued)

December 31, 2010

 

an individual limit of $125,000,000 for each fund that participated in the line of credit. Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 0.75%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended December 31, 2010, none of the Funds had borrowings under these agreements.

9.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2010, amounts rebated under these agreements were as follows:

 

Fund

   

Rebates

International Fund

    $3,096

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

Dynamic Equity Fund invests principally in issuers domiciled or principally operating in Asia. Social, political, and economic conditions in one Asian country could significantly affect the markets or economy of the entire region.

11.  Concentration of Ownership.  From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of December 31, 2010, Natixis US owned shares equating to 97.61%, 93.07% and 82.13% of Dynamic Equity Fund’s, Natixis Oakmark Global Fund’s and Natixis Oakmark International Fund’s net assets, respectively.

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:

 

      
 		 Period Ended
December 31, 2010*		  
  

Dynamic Equity Fund

        Shares         Amount   
Class A        

Issued from the sale of shares

              10,145       $ 104,638   

Issued in connection with the reinvestment of distributions

        18         220   

Redeemed

        (7,772 )       (76,792 ) 
                   

Net change

        2,391       $ 28,066   
                   
Class C        

Issued from the sale of shares

        4,513       $ 48,792   

Issued in connection with the reinvestment of distributions

        8         95   

Redeemed

        (667 )       (8,000 ) 
                   

Net change

        3,854       $ 40,887   
                   
Class Y        

Issued from the sale of shares

        250,000       $ 2,500,002   

Issued in connection with the reinvestment of distributions

        2,463         29,850   

Redeemed

        —         —   
                   

Net change

        252,463       $ 2,529,852   
                   

Increase (decrease) from capital share transactions

        258,708       $ 2,598,805   
                   

 

* From commencement of operations on February 26, 2010 through December 31, 2010.

 

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Notes to Financial Statements (continued)

December 31, 2010

 

12.  Capital Shares (continued).

 

    
 		 Year Ended
December 31, 2010		  
  		     
 		 Year Ended
December 31, 2009		   
  

International Fund

      Shares        Amount         Shares        Amount   
Class A          

Issued from the sale of shares

      432,998      $ 6,581,522         814,057      $ 11,422,735   

Issued in connection with the reinvestment of distributions

      35,040        586,241         3,394        53,003   

Redeemed

      (1,133,188 )      (17,649,699 )       (1,090,297 )      (13,377,887 ) 
                                 

Net change

      (665,150 )    $ (10,481,936 )       (272,846 )    $ (1,902,149 ) 
                                 
Class B          

Issued from the sale of shares

      20,705      $ 281,485         30,044      $ 349,812   

Issued in connection with the reinvestment of distributions

      1,404        20,429         —        —   

Redeemed

      (253,159 )      (3,483,764 )       (337,051 )      (3,628,763 ) 
                                 

Net change

      (231,050 )    $ (3,181,850 )       (307,007 )    $ (3,278,951 ) 
                                 
Class C          

Issued from the sale of shares

      118,347      $ 1,677,813         142,702      $ 1,676,028   

Issued in connection with the reinvestment of distributions

      1,974        28,544         —        —   

Redeemed

      (249,135 )      (3,444,802 )       (283,079 )      (2,878,047 ) 
                                 

Net change

      (128,814 )    $ (1,738,445 )       (140,377 )    $ (1,202,019 ) 
                                 

Increase (decrease) from capital share transactions

      (1,025,014 )    $ (15,402,231 )       (720,230 )    $ (6,383,119 ) 
                                 

 

      
 		 Period Ended
December 31, 2010*		  
  

Natixis Oakmark Global Fund

        Shares           Amount   
Class A          

Issued from the sale of shares

        500,295         $ 5,003,001   

Issued in connection with the reinvestment of distributions

        —           —   

Redeemed

        —           —   
                     

Net change

        500,295         $ 5,003,001   
                     
Class C          

Issued from the sale of shares

        36,864         $ 373,672   

Issued in connection with the reinvestment of distributions

        —           —   

Redeemed

        —           —   
                     

Net change

        36,864         $ 373,672   
                     

Increase (decrease) from capital share transactions

        537,159         $ 5,376,673   
                     

 

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

 

      
 		 Period Ended
December 31, 2010*		  
  

Natixis Oakmark International Fund

        Shares         Amount   
Class A        

Issued from the sale of shares

        539,938       $ 5,404,357   

Issued in connection with the reinvestment of distributions

        —         —   

Redeemed

        (1 )       (6 ) 
                   

Net change

        539,937       $ 5,404,351   
                   
Class C        

Issued from the sale of shares

        68,972       $ 698,013   

Issued in connection with the reinvestment of distributions

        —         —   

Redeemed

        —         —   
                   

Net change

        68,972       $ 698,013   
                   

Increase (decrease) from capital share transactions

        608,909       $ 6,102,364   
                   

 

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

 

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Report of Independent Registered Public Accounting Firm

 

To the Trustees of Natixis Funds Trust I and Shareholders of Absolute Asia Dynamic Equity Fund, Hansberger International Fund, Natixis Oakmark Global Fund and Natixis Oakmark International Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Absolute Asia Dynamic Equity Fund, Hansberger International Fund, Natixis Oakmark Global Fund and Natixis Oakmark International Fund each a series of Natixis Funds Trust I (collectively, the “Funds”), at December 31, 2010, and the results of each of their operations, the changes in each of their net assets and their financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 23, 2011

 

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2010 U.S. Tax Distribution Information to Shareholders (Unaudited)

 

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2010 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. These percentages are noted below:

 

Fund

    Qualifying
Percentage

Dynamic Equity

    59.19%

International

    100.00%

Natixis Oakmark International

    100.00%

Foreign Tax Credit.  For the year ended December 31, 2010, the International Fund intends to pass through a foreign tax credit of $190,795 and has derived gross income from sources within foreign countries of $2,316,266.

 

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Trustee and Officer Information

 

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

 

Name and Year of Birth

  

Position(s) Held

with the Trust,
Length of Time
Served and Term
of Office*

  

Principal Occupation(s)

During Past 5 Years

  

Number of Portfolios
in Fund Complex
Overseen** and Other
Directorships Held
During Past 5 Years

  

Experience,
Qualifications,
Attributes, Skills

for Board
Membership

INDEPENDENT TRUSTEES      

Graham T. Allison, Jr.

(1940)

  

Trustee

From 1984 to 1993 and

since 1995

Contract Review and Governance Committee Member

   Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University  

44

Director, Taubman Centers, Inc. (real estate investment trust)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; government experience (including as Assistant Secretary of Defense under President Clinton); academic experience

Charles D. Baker1

(1956)

  

Trustee

From 2005 to 2009 and

since 2011

Contract Review and Governance Committee Member

   Formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)  

44

Formerly, Trustee, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Hansberger International Series (investment companies)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including president and chief executive officer of a corporation

Edward A. Benjamin

(1938)

  

Trustee

Since 2003

Chairman of the Contract Review and Governance Committee

   Retired  

44

Formerly, Director, Precision Optics Corporation (optics manufacturer)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; significant experience providing legal counsel to boards, funds, advisers and other financial institutions (former partner at Ropes & Gray LLP)

 

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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  Office*

  

Principal Occupation(s)
During Past 5 Years

  

Number of Portfolios
in Fund Complex
Overseen** and Other
Directorships Held
During Past 5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES
continued		      

Daniel M. Cain

(1945)

  

Trustee

Since 1996

Contract Review and Governance Committee Member

   Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)  

44

Director, Sheridan Healthcare Inc. (physician practice management)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; experience in the financial industry, including roles as chairman and former chief executive officer of an investment banking firm

Kenneth A. Drucker

(1945)

  

Trustee

Since 2008

Chairman of the Audit Committee

   Formerly, Vice President and Treasurer, Sequa Corp. (aerospace, automotive and metal manufacturing)  

44

Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including as treasurer of a corporation

Wendell J. Knox

(1948)

  

Trustee

Since 2009

Audit Committee

Member

   Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including roles as president and chief executive officer of a consulting company

Sandra O. Moose

(1942)

  

Chairperson of the Board of Trustees since November 2005

Trustee since 1982

Ex officio member of the Audit Committee and Contract Review and Governance Committee

   President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)  

44

Director, Verizon Communications;

Director, AES Corporation (international power company); Formerly, Director, Rohm and Haas Company (specialty chemicals)

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience at a management consulting company

 

|  48

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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  Office*

  

Principal Occupation(s)
During Past 5 Years

  

Number of Portfolios
in Fund Complex
Overseen** 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

Contract Review and Governance Committee

Member

   Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission  

44

None

   Experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience and training as an economist

Peter J. Smail

(1952)

  

Trustee

Since 2009

Contract Review and Governance Committee

Member

   Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)  

44

None

   Mutual fund industry and executive experience, including roles as president and chief executive officer for an investment adviser

Cynthia L. Walker

(1956)

  

Trustee

Since 2005

Audit Committee Member

   Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School  

44

None

   Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience in a variety of academic organizations, including roles as dean for finance and administration

Robert J. Blanding2

(1947)

555 California Street

San Francisco, CA 94104

  

Trustee

Since 2003

   President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.  

44

None

   Significant experience on Board of Trustees of the Trusts; continuing service as president, chairman, and chief executive officer of Loomis, Sayles & Company, L.P.

 

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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  Office*

  

Principal Occupation(s)
During Past 5 Years

  

Number of Portfolios
in Fund Complex
Overseen** and Other
Directorships Held
During Past 5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INTERESTED TRUSTEES
continued
David L. Giunta1, 3
(1965)		  

Trustee

Since 2011

President and Chief Executive Officer since 2008

   President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company.  

44

None

   Experience on Board of Trustees of the Trusts; continuing experience as President and Chief Executive Officer of Natixis Global Associates – U.S.

John T. Hailer4

(1960)

  

Trustee

Since 2000

   President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.  

44

None

   Significant experience on Board of Trustees of the Trusts; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

 

* Each trustee serves until retirement, resignation or removal from the Board of Trustees. The current retirement age is 72; however, the trustees designated 2010 as a transition period so that any trustees who were age 72 or older during 2010 will not be required to retire until the end of calendar year 2011. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two-year term as the Chairperson of the Board of Trustees on November 20, 2009.

 

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

 

1

Mr. Baker and Mr. Giunta were appointed as trustees effective January 1, 2011.

 

2

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

 

3

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 Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

 

4

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

 

 

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Trustee and Officer Information

 

Name and Year of Birth

  

Position(s) Held with
the Trusts

   

Term of Office* and
Length of Time Served

   

Principal Occupation During
Past 5 Years**

OFFICERS OF THE TRUST

Coleen Downs Dinneen

(1960)

   Secretary, Clerk and Chief Legal Officer    Since September 2004    Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

Russell L. Kane

(1969)

   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   

Chief Compliance Officer since May 2006; Assistant Secretary since June 2004;

and Anti-Money Laundering Officer since April 2007

    Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

Michael C. Kardok

(1959)

   Treasurer, Principal Financial and Accounting Officer    Since October 2004    Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

 

* 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.

 

** 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 Distributors, L.P., Natixis Asset Management Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted if not materially different from a trustee’s or officer’s current position with such entity.

 

51  |

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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.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Ms. Cynthia L. Walker, Mr. Wendell J. Knox and Mr. Kenneth A. Drucker 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//09 –
12/31/09		      1/1/10 –
12/31/10		      1/1/09 –
12/31/09		      1/1/10 –
12/31/10		      1/1/09 –
12/31/09		      1/1/10 –
12/31/10		      1/1/09 –
12/31/09		      1/1/10 –
12/31/10		  

Natixis Funds Trust I

    $ 192,280       $ 274,280       $ 587       $ 1,051       $ 43,068       $ 72,184       $ —         $ —     

 

1. Audit-related fees consist of:

2009 & 2010 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan and consulting services with respect to regulatory matters.

 

2. Tax fees consist of:

2009 - review of the Registrant’s tax returns, quarterly review of asset diversification tests and consulting services with respect to new deferred compensation tax rules and new security types.

2010 – review of the Registrant’s tax returns, quarterly review of asset diversification tests and consulting services related to new Massachusetts filing requirements and new security types.

Aggregate fees billed to the Registrant for non-audit services during 2009 and 2010 were $43,655 and $73,235, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth fees billed by the Registrant’s principal accountant for non-audit services rendered to Natixis Asset Management Advisors, L.P. and entities controlling, controlled by or under common control with Natixis Asset Management Advisors, L.P. (“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  
     1/1/09 –
12/31/09		      1/1/10 –
12/31/10		      1/1/09 –
12/31/09		      1/1/10 –
12/31/10		      1/1/09 –
12/31/09		      1/1/10 –
12/31/10		  

Control Affiliates

    $ 12,000       $ 12,000       $ —         $ —         $ —         $ —     

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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 Natixis Asset Management Advisors, L.P. 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  
     1/1/09 –
12/31/09		      1/1/10 –
12/31/10		  

Control Affiliates

    $ 325,191       $ 331,690   

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

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Item 12. Exhibits.

 

(a) (1)    Code of Ethics required by Item 2 hereof, filed herewith as exhibit (a)(1).
(a) (2)    Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a) (3)    Not applicable.
(b)    Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are 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 I
By:  

/s/ David L. Giunta

Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   February 23, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:  

/s/ David L. Giunta

Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   February 23, 2011
By:  

/s/ Michael C. Kardok

Name:   Michael C. Kardok
Title:   Treasurer
Date:   February 23, 2011