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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: June 30, 2011
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Item 1. Reports to Stockholders.
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
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SEMIANNUAL REPORT
June 30, 2011
Absolute Asia Dynamic Equity Fund
Hansberger International Fund
Natixis Oakmark Global Fund
Natixis Oakmark International Fund
Management Discussion and Investment Results page 1
Portfolio of Investments page 15
Financial Statements page 24
Table of Contents
ABSOLUTE ASIA DYNAMIC EQUITY FUND
1 |
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ABSOLUTE ASIA DYNAMIC EQUITY FUND
Investment Results through June 30, 2011
| 2
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HANSBERGER INTERNATIONAL FUND
Management Discussion
3 |
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HANSBERGER INTERNATIONAL FUND
Investment Results through June 30, 2011
| 4
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NATIXIS OAKMARK GLOBAL FUND
Management Discussion
5 |
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NATIXIS OAKMARK GLOBAL FUND
Investment Results through June 30, 2011
| 6
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NATIXIS OAKMARK INTERNATIONAL FUND
Management Discussion
7 |
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NATIXIS OAKMARK INTERNATIONAL FUND
Investment Results through June 30, 2011
| 8
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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 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.
9 |
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UNDERSTANDING FUND EXPENSES
| ABSOLUTE ASIA DYNAMIC EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,008.30 | $8.71 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,016.12 | $8.75 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,004.10 | $12.42 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,012.40 | $12.47 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $1,009.90 | $7.48 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.36 | $7.50 | |||||||||
| * | 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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UNDERSTANDING FUND EXPENSES
| HANSBERGER INTERNATIONAL FUND | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,025.90 | $8.09 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,016.81 | $8.05 | |||||||||
| Class B |
||||||||||||
| Actual |
$1,000.00 | $1,021.80 | $11.83 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,013.09 | $11.78 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,022.00 | $11.83 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,013.09 | $11.78 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.61%, 2.36% and 2.36% 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 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,019.70 | $7.01 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.85 | $7.00 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,016.70 | $10.75 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.13 | $10.74 | |||||||||
| * | 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 half-year, divided by 365 (to reflect the half-year period). |
| NATIXIS OAKMARK INTERNATIONAL FUND | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,038.40 | $7.33 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.60 | $7.25 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,035.50 | $11.10 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,013.88 | $10.99 | |||||||||
| * | 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 half-year, divided by 365 (to reflect the half-year period). |
11 |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS FOR HANSBERGER INTERNATIONAL FUND AND ABSOLUTE ASIA DYNAMIC EQUITY FUND
The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion of a questionnaire by the Advisers (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund (and segment, in the case of Funds managed by multiple sub-advisers) based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its category. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by Natixis Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.
With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group and/or category for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that although the Fund’s performance lagged that of its relevant peer group for certain periods, performance was stronger when compared to the Fund’s relevant performance benchmark or on an absolute basis.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally (as noted by certain financial publications), and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that, as of December 31, 2010, Absolute Asia Dynamic Equity Fund had an expense cap in place, and they considered the amounts waived or reimbursed, if any, by the Adviser under this cap.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that one Fund had breakpoints in its advisory fees and that the remaining Funds were subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.
13 |
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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
| · | The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund. |
| · | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
| · | The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
| · | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits 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. |
| · | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2012.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
Absolute Asia Dynamic Equity Fund
| Shares |
Description | Value (†) | ||||||
| Common Stocks — 95.6% of Net Assets | ||||||||
| Australia — 17.9% | ||||||||
| 3,451 | BHP Billiton Ltd. | $ | 163,098 | |||||
| 25,534 | Incitec Pivot Ltd. | 106,342 | ||||||
| 2,994 | Newcrest Mining Ltd. | 121,316 | ||||||
| 23,497 | Paladin Energy Ltd.(b) | 64,050 | ||||||
| 1,421 | Rio Tinto Ltd. | 127,192 | ||||||
|
|
|
|||||||
| 581,998 | ||||||||
|
|
|
|||||||
| China — 25.0% | ||||||||
| 70,000 | Ausnutria Dairy Corp. Ltd. | 20,785 | ||||||
| 48,000 | China National Building Material Co. Ltd., Class H | 94,763 | ||||||
| 40,000 | China Resources Land Ltd. | 72,298 | ||||||
| 42,000 | CNOOC Ltd. | 99,144 | ||||||
| 31,000 | Digital China Holdings Ltd. | 49,938 | ||||||
| 564,000 | Qingling Motors Co. Ltd., Class H | 174,451 | ||||||
| 42,000 | Shanghai Friendship Group, Inc., Co., Class B | 75,498 | ||||||
| 34,800 | Shanghai Jinjiang International Hotels Development Co. Ltd., Class B(b) | 52,808 | ||||||
| 30,000 | Weichai Power Co. Ltd., Class H | 175,939 | ||||||
|
|
|
|||||||
| 815,624 | ||||||||
|
|
|
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| Hong Kong — 12.4% | ||||||||
| 11,230 | Henderson Land Development Co. Ltd. | 72,837 | ||||||
| 5,200 | Hong Kong Aircraft Engineering Co. Ltd. | 74,934 | ||||||
| 4,500 | Hong Kong Exchanges & Clearing Ltd. | 94,814 | ||||||
| 30,000 | Lifestyle International Holdings Ltd. | 88,541 | ||||||
| 5,000 | Sun Hung Kai Properties Ltd. | 72,894 | ||||||
|
|
|
|||||||
| 404,020 | ||||||||
|
|
|
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| India — 3.6% | ||||||||
| 1,800 | Infosys Technologies Ltd., Sponsored ADR | 117,414 | ||||||
|
|
|
|||||||
| Indonesia — 8.3% | ||||||||
| 19,000 | PT Astra International Tbk | 141,236 | ||||||
| 44,787 | PT United Tractors Tbk | 130,407 | ||||||
|
|
|
|||||||
| 271,643 | ||||||||
|
|
|
|||||||
| Korea — 14.3% | ||||||||
| 787 | Hyundai Motor Co. | 175,449 | ||||||
| 347 | Lotte Shopping Co. Ltd. | 165,802 | ||||||
| 222 | POSCO | 96,449 | ||||||
| 309 | Samsung Life Insurance Co. Ltd., | 27,568 | ||||||
|
|
|
|||||||
| 465,268 | ||||||||
|
|
|
|||||||
| Malaysia — 4.0% | ||||||||
| 17,800 | Kuala Lumpur Kepong Berhad | 130,760 | ||||||
|
|
|
|||||||
| Singapore — 3.6% | ||||||||
| 10,000 | Singapore Airlines Ltd. | 115,742 | ||||||
|
|
|
|||||||
| Taiwan — 6.5% | ||||||||
| 16,500 | Simplo Technology Co. Ltd. | 133,363 | ||||||
| 25,000 | Taiwan Fertilizer Co. Ltd. | 77,073 | ||||||
|
|
|
|||||||
| 210,436 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $2,561,772) |
3,112,905 | |||||||
|
|
|
|||||||
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 5.6% | ||||||||
| $ | 183,695 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $183,695 on 7/01/2011 collateralized by $185,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $187,544 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $183,695) | $ | 183,695 | ||||
| Total Investments — 101.2% (Identified Cost $2,745,467)(a) |
3,296,600 | |||||||
| Other assets less liabilities — (1.2)% | (39,382 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 3,257,218 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $2,745,467 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 | $ | 627,568 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (76,435 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 551,133 | ||||||
|
|
|
|||||||
| (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.
15 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Absolute Asia Dynamic Equity Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
| Metals & Mining |
15.6 | % | ||
| Automobiles |
15.1 | |||
| Machinery |
9.4 | |||
| Multiline Retail |
7.8 | |||
| Real Estate Management & Development |
6.7 | |||
| Chemicals |
5.7 | |||
| Oil, Gas & Consumable Fuels |
5.1 | |||
| Food Products |
4.6 | |||
| Computers & Peripherals |
4.1 | |||
| IT Services |
3.6 | |||
| Airlines |
3.6 | |||
| Diversified Financial Services |
2.9 | |||
| Construction Materials |
2.9 | |||
| Food & Staples Retailing |
2.3 | |||
| Transportation Infrastructure |
2.3 | |||
| Other Investments, less than 2% each |
3.9 | |||
| Short-Term Investments |
5.6 | |||
|
|
|
|||
| Total Investments |
101.2 | |||
| Other assets less liabilities |
(1.2 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
Currency Exposure at June 30, 2011 (Unaudited)
| Hong Kong Dollar |
33.5 | % | ||
| Australian Dollar |
17.9 | |||
| South Korean Won |
14.3 | |||
| United States Dollar |
13.1 | |||
| Indonesian Rupiah |
8.3 | |||
| New Taiwan Dollar |
6.5 | |||
| Malaysian Ringgit |
4.0 | |||
| Singapore Dollar |
3.6 | |||
|
|
|
|||
| 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 June 30, 2011 (Unaudited)
Hansberger International Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 98.1% of Net Assets | ||||||||
| Australia — 4.8% | ||||||||
| 18,921 | BHP Billiton Ltd. | $ | 894,223 | |||||
| 10,486 | Commonwealth Bank of Australia | 590,574 | ||||||
| 14,139 | CSL Ltd. | 502,585 | ||||||
| 15,478 | Macquarie Group Ltd. | 522,158 | ||||||
| 27,341 | Westpac Banking Corp. | 655,959 | ||||||
| 12,490 | Woodside Petroleum Ltd. | 551,022 | ||||||
| 23,567 | WorleyParsons Ltd. | 717,547 | ||||||
|
|
|
|||||||
| 4,434,068 | ||||||||
|
|
|
|||||||
| Austria — 0.6% | ||||||||
| 9,874 | Erste Group Bank AG | 517,132 | ||||||
|
|
|
|||||||
| Belgium — 0.7% | ||||||||
| 11,268 | Anheuser-Busch InBev NV | 653,965 | ||||||
|
|
|
|||||||
| Brazil — 4.2% | ||||||||
| 65,763 | Cia Energetica de Minas Gerais, Sponsored Preference ADR | 1,357,348 | ||||||
| 33,354 | Gafisa SA, ADR | 315,529 | ||||||
| 55,421 | Hypermarcas SA | 522,019 | ||||||
| 27,280 | Itau Unibanco Holding SA, Preference ADR | 642,444 | ||||||
| 13,964 | Petroleo Brasileiro SA, Sponsored Preference ADR | 428,416 | ||||||
| 22,798 | Vale SA, Sponsored Preference ADR | 660,230 | ||||||
|
|
|
|||||||
| 3,925,986 | ||||||||
|
|
|
|||||||
| Canada — 5.6% | ||||||||
| 24,450 | Bank of Nova Scotia | 1,472,907 | ||||||
| 26,691 | Cameco Corp. | 703,308 | ||||||
| 9,409 | Canadian National Railway Co. | 751,779 | ||||||
| 36,865 | Manulife Financial Corp. | 652,863 | ||||||
| 29,859 | Suncor Energy, Inc. | 1,167,487 | ||||||
| 9,578 | Teck Resources Ltd., Class B | 485,988 | ||||||
|
|
|
|||||||
| 5,234,332 | ||||||||
|
|
|
|||||||
| Chile — 0.6% | ||||||||
| 8,123 | Sociedad Quimica y Minera de Chile SA, Sponsored ADR | 525,721 | ||||||
|
|
|
|||||||
| China — 11.3% | ||||||||
| 642,000 | Agile Property Holdings Ltd. | 999,156 | ||||||
| 485,930 | China Construction Bank Corp., Class H | 405,157 | ||||||
| 244,000 | China Merchants Bank Co. Ltd., Class H | 593,564 | ||||||
| 248,000 | China Overseas Land & Investment Ltd. | 534,160 | ||||||
| 406,000 | China Resources Land Ltd. | 733,819 | ||||||
| 127,500 | China Shenhua Energy Co. Ltd., Class H | 612,617 | ||||||
| 1,378,240 | China State Construction International Holdings Ltd., Class H | 1,406,307 | ||||||
| 1,188,000 | GOME Electrical Appliances Holdings Ltd. | 475,054 | ||||||
| 497,194 | Guangzhou Automobile Group Co. Ltd., Class H | 609,689 | ||||||
| 784,000 | Industrial & Commercial Bank of China Ltd., Class H | 597,993 | ||||||
| 4,916 | New Oriental Education & Technology Group, Inc., Sponsored ADR(b) | 549,215 | ||||||
| 124,500 | Ping An Insurance (Group) Co. of China Ltd., Class H | 1,292,077 | ||||||
| 26,400 | Tencent Holdings Ltd. | 721,201 | ||||||
| 159,200 | Weichai Power Co. Ltd., Class H | 933,651 | ||||||
|
|
|
|||||||
| 10,463,660 | ||||||||
|
|
|
|||||||
| Denmark — 1.1% | ||||||||
| 4,386 | Novo Nordisk A/S, Class B | 549,475 | ||||||
| 20,696 | Vestas Wind Systems A/S(b) | 480,434 | ||||||
|
|
|
|||||||
| 1,029,909 | ||||||||
|
|
|
|||||||
| France — 7.1% | ||||||||
| 19,825 | ArcelorMittal | 689,440 | ||||||
| 15,221 | ArcelorMittal, (Registered) | 529,082 | ||||||
| Shares | Description | Value (†) | ||||||
| France — continued | ||||||||
| 29,353 | AXA SA | $ | 666,317 | |||||
| 18,384 | BNP Paribas | 1,417,571 | ||||||
| 10,217 | Carrefour SA(b) | 420,016 | ||||||
| 5,980 | Faurecia | 256,453 | ||||||
| 11,736 | GDF Suez | 428,922 | ||||||
| 3,987 | Iliad SA | 535,049 | ||||||
| 2,955 | PPR | 526,301 | ||||||
| 54,643 | STMicroelectronics NV | 543,900 | ||||||
| 9,621 | Total SA | 556,223 | ||||||
|
|
|
|||||||
| 6,569,274 | ||||||||
|
|
|
|||||||
| Germany — 7.0% | ||||||||
| 18,688 | Adidas AG | 1,481,615 | ||||||
| 18,692 | Aixtron SE AG | 637,985 | ||||||
| 13,598 | Bayer AG, (Registered) | 1,092,144 | ||||||
| 7,528 | Bayerische Motoren Werke AG | 751,738 | ||||||
| 6,844 | Deutsche Boerse AG | 519,662 | ||||||
| 9,969 | SAP AG | 604,403 | ||||||
| 5,481 | Siemens AG, (Registered) | 753,203 | ||||||
| 2,983 | Wacker Chemie AG | 644,329 | ||||||
|
|
|
|||||||
| 6,485,079 | ||||||||
|
|
|
|||||||
| Hong Kong — 0.8% | ||||||||
| 226,000 | Li & Fung Ltd. | 451,703 | ||||||
| 30,000 | Wing Hang Bank Ltd. | 329,579 | ||||||
|
|
|
|||||||
| 781,282 | ||||||||
|
|
|
|||||||
| India — 1.3% | ||||||||
| 3,453 | HDFC Bank Ltd., ADR | 609,075 | ||||||
| 4,871 | ICICI Bank Ltd., Sponsored ADR | 240,140 | ||||||
| 26,435 | Sterlite Industries India Ltd., ADR(b) | 397,847 | ||||||
|
|
|
|||||||
| 1,247,062 | ||||||||
|
|
|
|||||||
| Israel — 0.7% | ||||||||
| 12,526 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 604,004 | ||||||
|
|
|
|||||||
| Italy — 1.4% | ||||||||
| 23,119 | ENI SpA | 547,896 | ||||||
| 13,966 | Saipem SpA | 721,208 | ||||||
|
|
|
|||||||
| 1,269,104 | ||||||||
|
|
|
|||||||
| Japan — 13.1% | ||||||||
| 34,000 | Asahi Glass Co. Ltd. | 397,877 | ||||||
| 12,000 | Astellas Pharma, Inc. | 465,613 | ||||||
| 83,000 | Bank of Yokohama (The) Ltd. | 414,921 | ||||||
| 31,800 | Canon, Inc. | 1,512,608 | ||||||
| 8,700 | FANUC Ltd. | 1,454,840 | ||||||
| 23,100 | Komatsu Ltd. | 721,254 | ||||||
| 39,300 | Mitsui & Co. Ltd. | 679,502 | ||||||
| 42,000 | NGK Insulators Ltd. | 782,441 | ||||||
| 2,300 | Nintendo Co. Ltd. | 431,913 | ||||||
| 675 | Rakuten, Inc. | 698,641 | ||||||
| 12,600 | Shin-Etsu Chemical Co. Ltd. | 675,382 | ||||||
| 4,800 | SMC Corp. | 865,296 | ||||||
| 31,600 | Sumitomo Corp. | 429,894 | ||||||
| 146,000 | Sumitomo Mitsui Trust Holdings, Inc. | 508,186 | ||||||
| 23,000 | THK Co. Ltd. | 587,802 | ||||||
| 23,700 | Toyota Motor Corp. | 975,947 | ||||||
| 7,090 | Yamada Denki Co. Ltd. | 577,690 | ||||||
|
|
|
|||||||
| 12,179,807 | ||||||||
|
|
|
|||||||
| Korea — 1.9% | ||||||||
| 9,165 | KB Financial Group, Inc., ADR | 438,087 | ||||||
| 653 | Samsung Electronics Co. Ltd. | 507,531 | ||||||
| 2,140 | Samsung Electronics Co. Ltd., GDR, 144A | 829,464 | ||||||
|
|
|
|||||||
| 1,775,082 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Hansberger International Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Mexico — 1.1% | ||||||||
| 10,364 | America Movil SAB de CV, Series L, ADR |
$ | 558,412 | |||||
| 16,388 | Wal-Mart de Mexico SA de CV, Series V, Sponsored ADR |
487,871 | ||||||
|
|
|
|||||||
| 1,046,283 | ||||||||
|
|
|
|||||||
| Norway — 1.5% | ||||||||
| 24,055 | Subsea 7 SA(b) | 615,259 | ||||||
| 47,880 | Telenor ASA | 783,570 | ||||||
|
|
|
|||||||
| 1,398,829 | ||||||||
|
|
|
|||||||
| Russia — 3.5% | ||||||||
| 17,259 | Evraz Group SA, GDR(b) | 537,618 | ||||||
| 73,191 | Gazprom, Sponsored ADR(b) | 1,064,929 | ||||||
| 11,043 | LUKOIL, Sponsored ADR | 703,991 | ||||||
| 18,648 | MMC Norilsk Nickel, ADR(b) | 488,578 | ||||||
| 129,719 | Sberbank | 478,452 | ||||||
|
|
|
|||||||
| 3,273,568 | ||||||||
|
|
|
|||||||
| Singapore — 0.6% | ||||||||
| 50,000 | DBS Group Holdings Ltd. | 598,113 | ||||||
|
|
|
|||||||
| South Africa — 1.0% | ||||||||
| 41,581 | MTN Group Ltd. | 885,835 | ||||||
|
|
|
|||||||
| Spain — 0.5% | ||||||||
| 37,955 | Banco Santander SA | 437,247 | ||||||
|
|
|
|||||||
| Sweden — 1.8% | ||||||||
| 20,481 | Atlas Copco AB, Class A | 539,394 | ||||||
| 6,368 | Millicom International Cellular SA | 667,172 | ||||||
| 25,859 | Sandvik AB | 453,033 | ||||||
|
|
|
|||||||
| 1,659,599 | ||||||||
|
|
|
|||||||
| Switzerland — 8.3% | ||||||||
| 56,212 | ABB Ltd., (Registered)(b) | 1,460,517 | ||||||
| 10,681 | Adecco SA, (Registered)(b) | 685,564 | ||||||
| 9,666 | Cie Financiere Richemont SA, Series A |
633,442 | ||||||
| 22,168 | Credit Suisse Group AG, (Registered)(b) | 863,936 | ||||||
| 7,879 | Holcim Ltd., (Registered)(b) | 595,849 | ||||||
| 4,517 | Lonza Group AG, (Registered)(b) | 353,876 | ||||||
| 23,619 | Nestle SA, (Registered) | 1,469,775 | ||||||
| 7,496 | Novartis AG, (Registered) | 459,408 | ||||||
| 7,306 | Roche Holding AG | 1,223,176 | ||||||
|
|
|
|||||||
| 7,745,543 | ||||||||
|
|
|
|||||||
| Taiwan — 1.2% | ||||||||
| 167,000 | Hon Hai Precision Industry Co. Ltd. | 574,947 | ||||||
| 196,927 | Taiwan Semiconductor Manufacturing Co. Ltd. | 496,307 | ||||||
|
|
|
|||||||
| 1,071,254 | ||||||||
|
|
|
|||||||
| United Kingdom — 16.4% | ||||||||
| 16,528 | Anglo American PLC | 819,689 | ||||||
| 53,516 | ARM Holdings PLC | 503,244 | ||||||
| 30,491 | Autonomy Corp. PLC(b) | 835,211 | ||||||
| 130,874 | Barclays PLC | 536,891 | ||||||
| 26,241 | BG Group PLC | 595,826 | ||||||
| 17,114 | BHP Billiton PLC | 672,474 | ||||||
| 55,527 | British Sky Broadcasting Group PLC | 753,840 | ||||||
| 37,749 | Eurasian Natural Resources Corp. PLC | 473,655 | ||||||
| 28,715 | GlaxoSmithKline PLC | 615,485 | ||||||
| 43,176 | HSBC Holdings PLC | 429,380 | ||||||
| 13,203 | HSBC Holdings PLC, Sponsored ADR | 655,133 | ||||||
| 55,656 | ICAP PLC | 422,114 | ||||||
| 18,525 | Kazakhmys PLC | 410,644 | ||||||
| 526,024 | Lloyds Banking Group PLC(b) | 413,367 | ||||||
| 138,426 | Man Group PLC | 526,539 | ||||||
| 64,937 | Prudential PLC | 749,815 | ||||||
| 65,242 | Rolls-Royce Holdings PLC(b) | 675,639 | ||||||
| Shares | Description | Value (†) | ||||||
| United Kingdom — continued | ||||||||
| 44,341 | Standard Chartered PLC | $ | 1,164,735 | |||||
| 180,983 | Tesco PLC | 1,169,328 | ||||||
| 28,710 | Unilever PLC | 926,358 | ||||||
| 21,985 | Vedanta Resources PLC | 739,043 | ||||||
| 211,393 | Vodafone Group PLC | 560,538 | ||||||
| 47,228 | WPP PLC | 591,665 | ||||||
|
|
|
|||||||
| 15,240,613 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $76,993,873) |
91,052,351 | |||||||
|
|
|
|||||||
| Preferred Stocks — 0.6% | ||||||||
| Germany — 0.6% | ||||||||
| 7,617 | Henkel AG & Co. KGaA (Identified Cost $274,162) |
529,672 | ||||||
|
|
|
|||||||
| Exchange Traded Funds — 0.6% | ||||||||
| United States — 0.6% | ||||||||
| 6,904 | iShares MSCI EAFE Index Fund | 415,207 | ||||||
| 2,507 | Vanguard MSCI Emerging Markets | 121,890 | ||||||
|
|
|
|||||||
| Total Exchange Traded Funds (Identified Cost $514,747) |
537,097 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 0.6% | ||||||||
| $ | 615,542 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $615,542 on 7/01/2011 collateralized by $440,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $446,050; $160,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $185,200 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $615,542) | 615,542 | |||||
|
|
|
|||||||
| Total Investments — 99.9% (Identified Cost $78,398,324)(a) |
92,734,662 | |||||||
| Other assets less liabilities — 0.1% | 58,002 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 92,792,664 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $78,571,593 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 | $ | 17,534,590 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,371,521 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 14,163,069 | ||||||
|
|
|
|||||||
| (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 June 30, 2011, the value of Rule 144A holdings amounted to $67,055 or 0.1% 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 may be 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 June 30, 2011 (Unaudited)
Hansberger International Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
| Commercial Banks |
15.1 | % | ||
| Metals & Mining |
8.3 | |||
| Oil, Gas & Consumable Fuels |
7.4 | |||
| Machinery |
6.8 | |||
| Pharmaceuticals |
5.5 | |||
| Semiconductors & Semiconductor Equipment |
3.8 | |||
| Insurance |
3.6 | |||
| Wireless Telecommunication Services |
2.9 | |||
| Food Products |
2.6 | |||
| Automobiles |
2.6 | |||
| Capital Markets |
2.6 | |||
| Real Estate Management & Development |
2.5 | |||
| Textiles, Apparel & Luxury Goods |
2.3 | |||
| Energy Equipment & Services |
2.3 | |||
| Food & Staples Retailing |
2.2 | |||
| Electrical Equipment |
2.1 | |||
| Software |
2.0 | |||
| Chemicals |
2.0 | |||
| Other Investments, less than 2% each |
22.7 | |||
| Short-Term Investments |
0.6 | |||
|
|
|
|||
| Total Investments |
99.9 | |||
| Other assets less liabilities |
0.1 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
Currency Exposure at June 30, 2011 (Unaudited)
| United States Dollar |
18.6 | % | ||
| Euro |
17.3 | |||
| British Pound |
15.2 | |||
| Japanese Yen |
13.1 | |||
| Hong Kong Dollar |
12.0 | |||
| Swiss Franc |
8.3 | |||
| Australian Dollar |
4.8 | |||
| Canadian Dollar |
2.3 | |||
| Other, less than 2% each |
8.3 | |||
|
|
|
|||
| Total Investments |
99.9 | |||
| Other assets less liabilities |
0.1 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Oakmark Global Fund
| Shares |
Description | Value (†) | ||||||
| Common Stocks — 95.3% of Net Assets | ||||||||
| Australia — 4.7% | ||||||||
| 190,300 | Incitec Pivot Ltd. | $ | 792,548 | |||||
| 247,900 | Primary Health Care Ltd. | 914,626 | ||||||
|
|
|
|||||||
| 1,707,174 | ||||||||
|
|
|
|||||||
| France — 2.4% | ||||||||
| 5,100 | Neopost SA | 438,190 | ||||||
| 23,700 | Societe Television Francaise 1 | 432,328 | ||||||
|
|
|
|||||||
| 870,518 | ||||||||
|
|
|
|||||||
| Germany — 4.4% | ||||||||
| 5,150 | Daimler AG, (Registered) | 388,369 | ||||||
| 5,700 | Rheinmetall AG | 504,237 | ||||||
| 12,000 | SAP AG | 727,539 | ||||||
|
|
|
|||||||
| 1,620,145 | ||||||||
|
|
|
|||||||
| Ireland — 1.4% | ||||||||
| 9,600 | Covidien PLC | 511,008 | ||||||
|
|
|
|||||||
| Japan — 20.4% | ||||||||
| 22,900 | Canon, Inc. | 1,089,268 | ||||||
| 321,300 | Daiwa Securities Group, Inc. | 1,415,614 | ||||||
| 10,800 | Hirose Electric Co. Ltd. | 1,107,097 | ||||||
| 18,600 | Omron Corp. | 517,235 | ||||||
| 16,500 | Rohm Co. Ltd. | 946,629 | ||||||
| 76,100 | Square Enix Holdings Co. Ltd. | 1,369,616 | ||||||
| 25,500 | Toyota Motor Corp. | 1,050,069 | ||||||
|
|
|
|||||||
| 7,495,528 | ||||||||
|
|
|
|||||||
| Spain — 2.3% | ||||||||
| 74,800 | Banco Santander SA | 861,706 | ||||||
|
|
|
|||||||
| Sweden — 2.0% | ||||||||
| 26,700 | Assa Abloy AB, Series B | 717,649 | ||||||
|
|
|
|||||||
| Switzerland — 15.5% | ||||||||
| 14,000 | Adecco SA, (Registered)(b) | 898,595 | ||||||
| 26,700 | Credit Suisse Group AG, (Registered)(b) | 1,040,558 | ||||||
| 5,900 | Holcim Ltd., (Registered)(b) | 446,187 | ||||||
| 27,900 | Julius Baer Group Ltd.(b) | 1,152,494 | ||||||
| 6,100 | Nestle SA, (Registered) | 379,594 | ||||||
| 28,800 | TE Connectivity Ltd. | 1,058,688 | ||||||
| 38,200 | UBS AG, (Registered)(b) | 697,133 | ||||||
|
|
|
|||||||
| 5,673,249 | ||||||||
|
|
|
|||||||
| United Kingdom — 2.0% | ||||||||
| 36,200 | Diageo PLC | 740,614 | ||||||
|
|
|
|||||||
| United States — 40.2% | ||||||||
| 6,500 | Apache Corp. | 802,035 | ||||||
| 61,800 | Applied Materials, Inc. | 804,018 | ||||||
| 25,400 | Discovery Communications, Inc., Series C(b) | 928,370 | ||||||
| 30,100 | Equifax, Inc. | 1,045,072 | ||||||
| 48,300 | Intel Corp. | 1,070,328 | ||||||
| 11,000 | International Flavors & Fragrances, Inc. | 706,640 | ||||||
| 14,800 | Laboratory Corp. of America Holdings(b) | 1,432,492 | ||||||
| 67,300 | Live Nation Entertainment, Inc.(b) | 771,931 | ||||||
| 2,750 | MasterCard, Inc., Class A | 828,685 | ||||||
| 47,700 | Oracle Corp. | 1,569,807 | ||||||
| 36,900 | Sara Lee Corp. | 700,731 | ||||||
| 26,400 | Snap-on, Inc. | 1,649,472 | ||||||
| 91,200 | Tenet Healthcare Corp.(b) | 569,088 | ||||||
| 32,100 | Texas Instruments, Inc. | 1,053,843 | ||||||
| 7,900 | Union Pacific Corp. | 824,760 | ||||||
|
|
|
|||||||
| 14,757,272 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $34,437,338) |
34,954,863 | |||||||
|
|
|
|||||||
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 4.1% | ||||||||
| $ | 1,486,904 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $1,486,904 on 7/01/2011 collateralized by $1,500,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $1,520,625 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,486,904) | $ | 1,486,904 | ||||
|
|
|
|||||||
| Total Investments — 99.4% | ||||||||
| (Identified Cost $35,924,242)(a) | 36,441,767 | |||||||
| Other assets less liabilities — 0.6% | 234,967 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 36,676,734 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $35,924,242 for federal income tax purposes was as follows: | ||||||||
| Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 1,330,957 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (813,432 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 517,525 | ||||||
|
|
|
|||||||
| (b) | Non-income producing security. | |||||||
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
| Contract to Buy/Sell1 |
Delivery Date |
Currency | Units | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Sell |
09/21/2011 | Australian Dollar | 60,000 | $ | 63,725 | $ | 717 | |||||||||||
| Sell |
09/21/2011 | Australian Dollar | 1,052,000 | 1,117,304 | (77,259 | ) | ||||||||||||
| Sell |
03/21/2012 | Euro | 117,000 | 168,308 | 1,761 | |||||||||||||
| Sell |
03/21/2012 | Euro | 351,000 | 504,923 | (3,764 | ) | ||||||||||||
| Sell |
09/21/2011 | Japanese Yen | 44,500,000 | 553,002 | 12,041 | |||||||||||||
| Sell |
09/21/2011 | Japanese Yen | 262,000,000 | 3,255,879 | (81,155 | ) | ||||||||||||
| Sell |
12/21/2011 | Swedish Krona | 376,000 | 58,860 | 1,914 | |||||||||||||
| Sell |
12/21/2011 | Swedish Krona | 940,000 | 147,149 | (2,504 | ) | ||||||||||||
| Sell |
03/21/2012 | Swiss Franc | 153,000 | 182,410 | 832 | |||||||||||||
| Sell |
03/21/2012 | Swiss Franc | 2,510,000 | 2,992,476 | (33,022 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| Total | $ | (180,439 | ) | |||||||||||||||
|
|
|
|||||||||||||||||
1 Counterparty is State Street Bank and Trust Company.
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Oakmark Global Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
| Capital Markets |
11.7 | % | ||
| Semiconductors & Semiconductor Equipment |
10.6 | |||
| Software |
10.0 | |||
| Health Care Providers & Services |
8.0 | |||
| Electronic Equipment, Instruments & Components |
7.3 | |||
| Media |
5.8 | |||
| Professional Services |
5.3 | |||
| Machinery |
4.5 | |||
| Office Electronics |
4.2 | |||
| Chemicals |
4.1 | |||
| Automobiles |
3.9 | |||
| Food Products |
2.9 | |||
| Commercial Banks |
2.3 | |||
| IT Services |
2.3 | |||
| Road & Rail |
2.2 | |||
| Oil, Gas & Consumable Fuels |
2.2 | |||
| Beverages |
2.0 | |||
| Building Products |
2.0 | |||
| Other Investments, less than 2% each |
4.0 | |||
| Short-Term Investments |
4.1 | |||
|
|
|
|||
| Total Investments |
99.4 | |||
| Other assets less liabilities (including open forward foreign currency contracts) |
0.6 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
Currency Exposure at June 30, 2011 (Unaudited)
| United States Dollar |
48.6 | % | ||
| Japanese Yen |
20.4 | |||
| Swiss Franc |
12.6 | |||
| Euro |
9.1 | |||
| Australian Dollar |
4.7 | |||
| British Pound |
2.0 | |||
| Other, less than 2% each |
2.0 | |||
|
|
|
|||
| Total Investments |
99.4 | |||
| Other assets less liabilities (including open forward foreign currency contracts) |
0.6 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Oakmark International Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 96.8% of Net Assets | ||||||||
| Australia — 5.7% | ||||||||
| 164,600 | Amcor Ltd. | $ | 1,275,476 | |||||
| 48,600 | Brambles Ltd. | 377,872 | ||||||
| 71,200 | Foster’s Group Ltd. | 393,283 | ||||||
| 19,500 | Orica Ltd. | 565,334 | ||||||
| 27,333 | Treasury Wine Estates Ltd.(b) | 99,676 | ||||||
|
|
|
|||||||
| 2,711,641 | ||||||||
|
|
|
|||||||
| Canada — 0.8% | ||||||||
| 9,500 | Thomson Reuters Corp. | 356,675 | ||||||
|
|
|
|||||||
| France — 8.9% | ||||||||
| 17,000 | BNP Paribas | 1,310,852 | ||||||
| 7,000 | Danone SA | 522,572 | ||||||
| 22,600 | Publicis Groupe | 1,261,624 | ||||||
| 37,000 | Societe Television Francaise 1 | 674,942 | ||||||
| 3,200 | Sodexo | 250,668 | ||||||
| 1,300 | Vallourec SA | 158,490 | ||||||
|
|
|
|||||||
| 4,179,148 | ||||||||
|
|
|
|||||||
| Germany — 6.0% | ||||||||
| 9,000 | Allianz SE, (Registered) | 1,255,021 | ||||||
| 7,700 | Daimler AG, (Registered) | 580,668 | ||||||
| 16,700 | SAP AG | 1,012,492 | ||||||
|
|
|
|||||||
| 2,848,181 | ||||||||
|
|
|
|||||||
| Ireland — 1.1% | ||||||||
| 28,400 | Experian PLC | 361,757 | ||||||
| 828,000 | Governor & Co. of the Bank of Ireland (The)(b) | 138,131 | ||||||
|
|
|
|||||||
| 499,888 | ||||||||
|
|
|
|||||||
| Italy — 2.8% | ||||||||
| 495,300 | Intesa Sanpaolo SpA | 1,318,872 | ||||||
|
|
|
|||||||
| Japan — 24.1% | ||||||||
| 29,900 | Canon, Inc. | 1,422,232 | ||||||
| 375,400 | Daiwa Securities Group, Inc. | 1,653,973 | ||||||
| 29,000 | Honda Motor Co. Ltd. | 1,117,280 | ||||||
| 150 | Japan Tobacco, Inc. | 579,011 | ||||||
| 31,100 | Olympus Corp. | 1,049,378 | ||||||
| 33,600 | Omron Corp. | 934,361 | ||||||
| 21,700 | Rohm Co. Ltd. | 1,244,960 | ||||||
| 21,600 | Secom Co. Ltd. | 1,035,646 | ||||||
| 30,400 | Sumitomo Mitsui Financial Group, Inc. | 937,374 | ||||||
| 34,300 | Toyota Motor Corp. | 1,412,446 | ||||||
|
|
|
|||||||
| 11,386,661 | ||||||||
|
|
|
|||||||
| Korea — 1.8% | ||||||||
| 1,125 | Samsung Electronics Co. Ltd. | 874,383 | ||||||
|
|
|
|||||||
| Mexico — 1.3% | ||||||||
| 2,700 | Fomento Economico Mexicano, SAB de CV, Sponsored ADR | 179,523 | ||||||
| 16,800 | Grupo Televisa SA, Sponsored ADR | 413,280 | ||||||
|
|
|
|||||||
| 592,803 | ||||||||
|
|
|
|||||||
| Netherlands — 6.3% | ||||||||
| 11,500 | Akzo Nobel NV | 726,578 | ||||||
| 16,000 | ArcelorMittal | 556,421 | ||||||
| 12,100 | Heineken Holding NV | 619,440 | ||||||
| 40,200 | Koninklijke Ahold NV | 540,500 | ||||||
| 21,300 | Koninklijke Philips Electronics | 547,030 | ||||||
|
|
|
|||||||
| 2,989,969 | ||||||||
|
|
|
|||||||
| Spain — 2.8% | ||||||||
| 114,200 | Banco Santander SA | 1,315,600 | ||||||
|
|
|
|||||||
| Shares | Description | Value (†) | ||||||
| Sweden — 3.3% | ||||||||
| 48,400 | Assa Abloy AB, Series B | $ | 1,300,907 | |||||
| 6,900 | Hennes & Mauritz AB | 238,204 | ||||||
|
|
|
|||||||
| 1,539,111 | ||||||||
|
|
|
|||||||
| Switzerland — 21.9% | ||||||||
| 21,000 | Adecco SA, (Registered)(b) | 1,347,892 | ||||||
| 4,400 | Cie Financiere Richemont SA, Series A | 288,346 | ||||||
| 41,000 | Credit Suisse Group AG, (Registered)(b) | 1,597,861 | ||||||
| 910 | Geberit AG, (Registered)(b) | 215,888 | ||||||
| 1,005 | Givaudan SA, (Registered)(b) | 1,063,156 | ||||||
| 11,000 | Holcim Ltd., (Registered)(b) | 831,875 | ||||||
| 5,300 | Kuehne & Nagel International AG, (Registered) | 805,202 | ||||||
| 19,900 | Nestle SA, (Registered) | 1,238,347 | ||||||
| 13,900 | Novartis AG, (Registered) | 851,891 | ||||||
| 6,200 | Roche Holding AG | 1,038,008 | ||||||
| 59,100 | UBS AG, (Registered)(b) | 1,078,549 | ||||||
|
|
|
|||||||
| 10,357,015 | ||||||||
|
|
|
|||||||
| United Kingdom — 10.0% | ||||||||
| 41,600 | BAE Systems PLC | 212,811 | ||||||
| 54,100 | Diageo PLC | 1,106,828 | ||||||
| 207,900 | G4S PLC | 934,568 | ||||||
| 27,800 | GlaxoSmithKline PLC | 595,873 | ||||||
| 82,200 | Reed Elsevier PLC | 748,376 | ||||||
| 3,200 | Schroders PLC | 79,451 | ||||||
| 10,700 | Signet Jewelers Ltd.(b) | 500,867 | ||||||
| 15,000 | Tesco PLC | 96,915 | ||||||
| 13,600 | Wolseley PLC | 443,924 | ||||||
|
|
|
|||||||
| 4,719,613 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $44,634,667) |
45,689,560 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 4.5% | ||||||||
| $ | 2,117,791 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $2,117,791 on 7/01/2011 collateralized by $2,135,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $2,164,356 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,117,791) | 2,117,791 | |||||
|
|
|
|||||||
| Total Investments — 101.3% | ||||||||
| (Identified Cost $46,752,458)(a) | 47,807,351 | |||||||
| Other assets less liabilities — (1.3)% | (610,620 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 47,196,731 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $46,752,458 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 | $ | 2,081,362 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,026,469 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 1,054,893 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Oakmark International Fund – (continued)
| (b) | Non-income producing security. | |||||
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||||
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
|
Contract |
Delivery Date |
Currency | Units | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Sell |
09/21/2011 | Australian Dollar | 415,000 | $ | 440,762 | $ | 4,957 | |||||||||||
| Sell |
09/21/2011 | Australian Dollar | 1,394,000 | 1,480,534 | (91,054 | ) | ||||||||||||
| Sell |
03/21/2012 | Euro | 480,000 | 690,493 | 7,225 | |||||||||||||
| Sell |
03/21/2012 | Euro | 1,170,000 | 1,683,078 | (12,547 | ) | ||||||||||||
| Sell |
09/21/2011 | Japanese Yen | 60,000,000 | 745,621 | 16,235 | |||||||||||||
| Sell |
09/21/2011 | Japanese Yen | 410,000,000 | 5,095,078 | (108,651 | ) | ||||||||||||
| Sell |
12/21/2011 | Swedish Krona | 840,000 | 131,495 | 6,119 | |||||||||||||
| Sell |
12/21/2011 | Swedish Krona | 1,986,000 | 310,892 | (5,233 | ) | ||||||||||||
| Sell |
03/21/2012 | Swiss Franc | 587,000 | 699,834 | 3,194 | |||||||||||||
| Sell |
03/21/2012 | Swiss Franc | 5,641,000 | 6,725,322 | (95,264 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| Total | $ | (275,019 | ) | |||||||||||||||
|
|
|
|||||||||||||||||
1 Counterparty is State Street Bank and Trust Company.
Industry Summary at June 30, 2011 (Unaudited)
| Commercial Banks |
10.7 | % | ||
| Capital Markets |
9.4 | |||
| Media |
7.4 | |||
| Automobiles |
6.6 | |||
| Pharmaceuticals |
5.3 | |||
| Beverages |
5.0 | |||
| Chemicals |
5.0 | |||
| Commercial Services & Supplies |
4.9 | |||
| Semiconductors & Semiconductor Equipment |
4.4 | |||
| Food Products |
3.7 | |||
| Professional Services |
3.6 | |||
| Building Products |
3.3 | |||
| Office Electronics |
3.0 | |||
| Containers & Packaging |
2.7 | |||
| Insurance |
2.7 | |||
| Health Care Equipment & Supplies |
2.2 | |||
| Software |
2.1 | |||
| Electronic Equipment, Instruments & Components |
2.0 | |||
| Other Investments, less than 2% each |
12.8 | |||
| Short-Term Investments |
4.5 | |||
|
|
|
|||
| Total Investments |
101.3 | |||
| Other assets less liabilities (including open forward foreign currency contracts) |
(1.3 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
Currency Exposure at June 30, 2011 (Unaudited)
| Euro |
27.1 | % | ||
| Japanese Yen |
24.1 | |||
| Swiss Franc |
21.9 | |||
| British Pound |
9.7 | |||
| United States Dollar |
6.9 | |||
| Australian Dollar |
5.7 | |||
| Swedish Krona |
3.3 | |||
| Other, less than 2% each |
2.6 | |||
|
|
|
|||
| Total Investments |
101.3 | |||
| Other assets less liabilities (including open forward foreign currency contracts) |
(1.3 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Statements of Assets and Liabilities
June 30, 2011 (Unaudited)
| Absolute Asia Dynamic Equity Fund |
Hansberger International Fund |
Natixis Oakmark Global Fund |
Natixis Oakmark International Fund |
|||||||||||||
| ASSETS |
||||||||||||||||
| Investments at cost |
$ | 2,745,467 | $ | 78,398,324 | $ | 35,924,242 | $ | 46,752,458 | ||||||||
| Net unrealized appreciation |
551,133 | 14,336,338 | 517,525 | 1,054,893 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investments at value |
3,296,600 | 92,734,662 | 36,441,767 | 47,807,351 | ||||||||||||
| Cash |
— | 5,757 | — | — | ||||||||||||
| Foreign currency at value (identified cost $0, $121,315, $16,979 and $28,889) |
— | 121,867 | 17,051 | 29,011 | ||||||||||||
| Receivable for Fund shares sold |
— | 4,663 | 553,906 | 282,864 | ||||||||||||
| Receivable from investment adviser (Note 6) |
9,251 | — | — | — | ||||||||||||
| Receivable for securities sold |
— | 67,544 | 188,311 | 387,909 | ||||||||||||
| Dividends receivable |
3,927 | 407,327 | 31,405 | 68,518 | ||||||||||||
| Unrealized appreciation on forward foreign currency contracts (Note 2) |
— | — | 17,265 | 37,730 | ||||||||||||
| Tax reclaims receivable |
— | 101,986 | 6,793 | 48,846 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL ASSETS |
3,309,778 | 93,443,806 | 37,256,498 | 48,662,229 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| Payable for securities purchased |
— | 142,839 | 291,618 | 1,004,881 | ||||||||||||
| Payable for Fund shares redeemed |
— | 194,999 | 21,840 | 69,679 | ||||||||||||
| Unrealized depreciation on forward foreign currency contracts (Note 2) |
— | — | 197,704 | 312,749 | ||||||||||||
| Management fees payable (Note 6) |
— | 60,058 | 18,090 | 24,444 | ||||||||||||
| Deferred Trustees’ fees (Note 6) |
14,958 | 136,963 | 3,847 | 4,333 | ||||||||||||
| Administrative fees payable (Note 6) |
120 | 3,464 | 7,005 | 7,005 | ||||||||||||
| Other accounts payable and accrued expenses |
37,482 | 112,819 | 39,660 | 42,407 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL LIABILITIES |
52,560 | 651,142 | 579,764 | 1,465,498 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS |
$ | 3,257,218 | $ | 92,792,664 | $ | 36,676,734 | $ | 47,196,731 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||
| Paid-in capital |
$ | 2,694,893 | $ | 93,477,504 | $ | 36,309,489 | $ | 46,100,515 | ||||||||
| Accumulated net investment (loss)/Undistributed net investment income |
(4,826 | ) | 210,017 | 117,516 | 447,404 | |||||||||||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
16,009 | (15,244,944 | ) | (87,632 | ) | (133,222 | ) | |||||||||
| Net unrealized appreciation on investments and foreign currency translations |
551,142 | 14,350,087 | 337,361 | 782,034 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS |
$ | 3,257,218 | $ | 92,792,664 | $ | 36,676,734 | $ | 47,196,731 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||||||
| Class A shares: |
||||||||||||||||
| Net assets |
$ | 119,869 | $ | 76,012,770 | $ | 31,242,229 | $ | 35,237,997 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
9,852 | 4,342,653 | 3,017,998 | 3,340,035 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value and redemption price per share |
$ | 12.17 | $ | 17.50 | $ | 10.35 | $ | 10.55 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Offering price per share (100/94.25 of net asset value) (Note 1) |
$ | 12.91 | $ | 18.57 | $ | 10.98 | $ | 11.19 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||
| Net assets |
$ | — | $ | 5,110,925 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
— | 329,435 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value and offering price per share |
$ | — | $ | 15.51 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||
| Net assets |
$ | 34,958 | $ | 11,668,969 | $ | 5,434,505 | $ | 11,958,734 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
2,890 | 757,021 | 526,635 | 1,137,733 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value and offering price per share |
$ | 12.10 | $ | 15.41 | $ | 10.32 | $ | 10.51 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y shares: |
||||||||||||||||
| Net assets |
$ | 3,102,391 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
254,106 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, offering and redemption price per share |
$ | 12.21 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
| 24
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2011 (Unaudited)
| Absolute Asia Dynamic Equity Fund |
Hansberger International Fund |
Natixis Oakmark Global Fund |
Natixis Oakmark International Fund |
|||||||||||||
| INVESTMENT INCOME |
||||||||||||||||
| Dividends |
$ | 32,558 | $ | 1,649,123 | $ | 359,713 | (a) | $ | 819,986 | |||||||
| Less net foreign taxes withheld |
(2,461 | ) | (136,848 | ) | (19,475 | ) | (79,253 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 30,097 | 1,512,275 | 340,238 | 740,733 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Expenses |
||||||||||||||||
| Management fees (Note 6) |
15,748 | 382,602 | 120,934 | 157,655 | ||||||||||||
| Service and distribution fees (Note 6) |
293 | 187,288 | 51,267 | 73,363 | ||||||||||||
| Administrative fees (Note 6) |
16,413 | 22,202 | 43,391 | 43,391 | ||||||||||||
| Trustees’ fees and expenses (Note 6) |
8,358 | 12,436 | 7,965 | 8,883 | ||||||||||||
| Transfer agent fees and expenses (Note 6) |
200 | 88,387 | 1,622 | 3,189 | ||||||||||||
| Audit and tax services fees |
20,673 | 27,281 | 13,398 | 13,398 | ||||||||||||
| Custodian fees and expenses |
14,819 | 74,195 | 19,248 | 34,400 | ||||||||||||
| Legal fees |
27 | 818 | 288 | 360 | ||||||||||||
| Registration fees |
20,955 | 19,817 | 16,832 | 23,149 | ||||||||||||
| Shareholder reporting expenses |
53 | 10,306 | 2,124 | 3,086 | ||||||||||||
| Miscellaneous expenses |
9,245 | 11,948 | 4,365 | 4,930 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses |
106,784 | 837,280 | 281,434 | 365,804 | ||||||||||||
| Less waiver and/or expense reimbursement (Note 6) |
(82,847 | ) | — | (56,325 | ) | (69,871 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net expenses |
23,937 | 837,280 | 225,109 | 295,933 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net investment income |
6,160 | 674,995 | 115,129 | 444,800 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
||||||||||||||||
| Net realized gain (loss) on: |
||||||||||||||||
| Investments |
14,473 | 3,938,421 | 159,571 | 302,062 | ||||||||||||
| Foreign currency transactions |
1,536 | (8,846 | ) | (247,203 | ) | (435,105 | ) | |||||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
| Investments |
883 | (2,212,981 | ) | 439,797 | 969,602 | |||||||||||
| Foreign currency translations |
(16 | ) | (826 | ) | (176,718 | ) | (269,310 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized and unrealized gain on investments and foreign currency transactions |
16,876 | 1,715,768 | 175,447 | 567,249 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 23,036 | $ | 2,390,763 | $ | 290,576 | $ | 1,012,049 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Includes a non-recurring dividend of $37,655. |
See accompanying notes to financial statements.
25 |
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 |
|||||||||||||||||||||||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Period Ended December 31, 2010 (a) |
Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
Six Months Ended June 30, 2011 (Unaudited) |
Period Ended December 31, 2010 (b) |
Six Months Ended June 30, 2011 (Unaudited) |
Period Ended December 31, 2010 (b) |
|||||||||||||||||||||||||
| FROM OPERATIONS: |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$ | 6,160 | $ | 1,485 | $ | 674,995 | $ | 390,350 | $ | 115,129 | $ | (799 | ) | $ | 444,800 | $ | 525 | |||||||||||||||
| Net realized gain (loss) on investments and foreign currency transactions |
16,009 | 9,441 | 3,929,575 | 1,942,340 | (87,632 | ) | 2,477 | (133,043 | ) | 3,588 | ||||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currency translations |
867 | 550,275 | (2,213,807 | ) | 5,162,104 | 263,079 | 74,282 | 700,292 | 81,742 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net increase in net assets resulting from operations |
23,036 | 561,201 | 2,390,763 | 7,494,794 | 290,576 | 75,960 | 1,012,049 | 85,855 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
— | (112 | ) | (52,082 | ) | (632,902 | ) | — | — | (591 | ) | (1,241 | ) | |||||||||||||||||||
| Class B |
— | — | (4,222 | ) | (21,344 | ) | — | — | — | — | ||||||||||||||||||||||
| Class C |
— | (88 | ) | (9,342 | ) | (35,852 | ) | — | — | (165 | ) | (86 | ) | |||||||||||||||||||
| Class Y |
— | (18,450 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
| Net realized capital gains |
||||||||||||||||||||||||||||||||
| Class A |
— | (108 | ) | — | — | — | — | (296 | ) | — | ||||||||||||||||||||||
| Class C |
— | (176 | ) | — | — | — | — | (82 | ) | — | ||||||||||||||||||||||
| Class Y |
— | (11,400 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total distributions |
— | (30,334 | ) | (65,646 | ) | (690,098 | ) | — | — | (1,134 | ) | (1,327 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
104,510 | 2,598,805 | (7,323,782 | ) | (15,402,231 | ) | 30,933,525 | 5,376,673 | 39,998,924 | 6,102,364 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Increase from regulatory settlements |
— | — | — | 93,153 | — | — | — | — | ||||||||||||||||||||||||
| Net increase (decrease) in net assets |
127,546 | 3,129,672 | (4,998,665 | ) | (8,504,382 | ) | 31,224,101 | 5,452,633 | 41,009,839 | 6,186,892 | ||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of the period |
3,129,672 | — | 97,791,329 | 106,295,711 | 5,452,633 | — | 6,186,892 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| End of the period |
$ | 3,257,218 | $ | 3,129,672 | $ | 92,792,664 | $ | 97,791,329 | $ | 36,676,734 | $ | 5,452,633 | $ | 47,196,731 | $ | 6,186,892 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | (4,826 | ) | $ | (10,986 | ) | $ | 210,017 | $ | (399,332 | ) | $ | 117,516 | $ | 2,387 | $ | 447,404 | $ | 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.
| 26
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 |
||||||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 12.07 | $ | 0.03 | $ | 0.07 | $ | 0.10 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
| 12/31/2010(h) |
10.00 | (0.04 | ) | 2.20 | 2.16 | (0.04 | ) | (0.05 | ) | — | (0.09 | ) | ||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||
| 6/30/2011(g) |
12.05 | (0.04 | ) | 0.09 | 0.05 | — | — | — | — | |||||||||||||||||||||||
| 12/31/2010(h) |
10.00 | (0.10 | ) | 2.22 | 2.12 | (0.02 | ) | (0.05 | ) | — | (0.07 | ) | ||||||||||||||||||||
| Class Y |
||||||||||||||||||||||||||||||||
| 6/30/2011(g) |
12.10 | 0.02 | 0.09 | 0.11 | — | — | — | — | ||||||||||||||||||||||||
| 12/31/2010(h) |
10.00 | 0.01 | 2.21 | 2.22 | (0.07 | ) | (0.05 | ) | — | (0.12 | ) | |||||||||||||||||||||
| HANSBERGER INTERNATIONAL FUND |
||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 17.08 | $ | 0.14 | $ | 0.29 | $ | 0.43 | $ | (0.01 | ) | $ | — | $ | — | $ | (0.01 | ) | ||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||
| 6/30/2011(g) |
15.20 | 0.06 | 0.26 | 0.32 | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||
| 6/30/2011(g) |
15.10 | 0.06 | 0.26 | 0.32 | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||||||
| 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.
27 |
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 (%) |
||||||||||||||||||||||||||
| $ | — | $ | — | $ | 12.17 | 0.83 | $ | 120 | 1.75 | 6.77 | 0.45 | 8 | ||||||||||||||||||||||
| — | — | 12.07 | 21.63 | 29 | 1.75 | 10.75 | (0.49 | ) | 5 | |||||||||||||||||||||||||
| — | — | 12.10 | 0.41 | 35 | 2.50 | 7.89 | (0.71 | ) | 8 | |||||||||||||||||||||||||
| — | — | 12.05 | 21.18 | 46 | 2.50 | 10.45 | (1.06 | ) | 5 | |||||||||||||||||||||||||
| — | — | 12.21 | 0.99 | 3,102 | 1.50 | 6.77 | 0.40 | 8 | ||||||||||||||||||||||||||
| — | — | 12.10 | 22.19 | 3,054 | 1.50 | 10.03 | 0.08 | 5 | ||||||||||||||||||||||||||
| $ | — | $ | — | $ | 17.50 | 2.59 | $ | 76,013 | 1.61 | 1.61 | 1.56 | 22 | ||||||||||||||||||||||
| 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 | (i) | 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 | ||||||||||||||||||||||||||
| — | — | 15.51 | 2.18 | 5,111 | 2.36 | 2.36 | 0.73 | 22 | ||||||||||||||||||||||||||
| 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 | (i) | 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 | ||||||||||||||||||||||||||
| — | — | 15.41 | 2.20 | 11,669 | 2.36 | 2.36 | 0.77 | 22 | ||||||||||||||||||||||||||
| 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 | (i) | 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 six months ended June 30, 2011 (Unaudited). |
| (h) | For the period February 26, 2010 (inception) through December 31, 2010. |
| (i) | 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 (b) |
Total distributions (b) |
||||||||||||||||||||||
| NATIXIS OAKMARK GLOBAL FUND |
||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 10.15 | $ | 0.04 | (h) | $ | 0.16 | $ | 0.20 | $ | — | $ | — | $ | — | |||||||||||||
| 12/31/2010(i) |
10.00 | (0.00 | ) | 0.15 | 0.15 | — | — | — | ||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
10.16 | 0.02 | (h) | 0.14 | 0.16 | — | — | — | ||||||||||||||||||||
| 12/31/2010(i) |
10.00 | (0.00 | ) | 0.16 | 0.16 | — | — | — | ||||||||||||||||||||
| NATIXIS OAKMARK INTERNATIONAL FUND |
||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 10.16 | $ | 0.13 | $ | 0.26 | $ | 0.39 | $ | (0.00 | ) | $ | (0.00 | ) | $ | (0.00 | ) | |||||||||||
| 12/31/2010(i) |
10.00 | 0.00 | 0.16 | 0.16 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
10.15 | 0.12 | 0.24 | 0.36 | (0.00 | ) | (0.00 | ) | (0.00 | ) | ||||||||||||||||||
| 12/31/2010(i) |
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.
29 |
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 (%) |
||||||||||||||||||||
| $ | 10.35 | 1.97 | (h) | $ | 31,242 | 1.40 | 1.78 | 0.82 | (h) | 10 | ||||||||||||||||
| 10.15 | 1.50 | 5,078 | 1.40 | 23.55 | (0.35 | ) | 0 | (j) | ||||||||||||||||||
| 10.32 | 1.67 | (h) | 5,435 | 2.15 | 2.48 | 0.31 | (h) | 10 | ||||||||||||||||||
| 10.16 | 1.50 | 374 | 2.15 | 29.67 | (0.32 | ) | 0 | (j) | ||||||||||||||||||
| $ | 10.55 | 3.84 | $ | 35,238 | 1.45 | 1.84 | 2.42 | 10 | ||||||||||||||||||
| 10.16 | 1.62 | 5,487 | 1.45 | 22.77 | 0.23 | 0 | (j) | |||||||||||||||||||
| 10.51 | 3.55 | 11,959 | 2.20 | 2.52 | 2.30 | 10 | ||||||||||||||||||||
| 10.15 | 1.52 | 700 | 2.20 | 25.08 | (0.08 | ) | 0 | (j) | ||||||||||||||||||
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.03 and less than $0.01 for Class A and Class C shares, respectively, the ratio of net investment income to average net assets would have been 0.58% and 0.02% for Class A and Class C shares, respectively, and total return would have been 1.87% and 1.58% for Class A and Class C shares, respectively. |
| (i) | For the period December 15, 2010 (inception) through December 31, 2010. |
| (j) | Amount rounds to less than 1%. |
| 30
Table of Contents
Notes to Financial Statements
June 30, 2011 (Unaudited)
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
Each Fund is a diversified investment company, except for Dynamic Equity Fund, which is a non-diversified investment company.
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 period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. 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) and equity securities for which market quotations are not readily available 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
31 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
utilizing interpolated prices determined from information provided by an independent pricing service. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. 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 June 30, 2011, 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 |
91% | |||
| International Fund |
79% | |||
| Natixis Oakmark Global Fund |
51% | |||
| Natixis Oakmark International Fund |
90% | |||
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. Each Fund may enter into forward foreign currency contracts, including forward foreign cross 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 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.
| 32
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 June 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
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, distributions 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 foreign currency contract 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 year ended December 31, 2010 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 | |||||||||
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
As of December 31, 2010, capital loss carryforwards and post-October losses were as follows:
| Dynamic Equity Fund |
International Fund |
Natixis Oakmark Global Fund |
Natixis Oakmark International Fund |
|||||||||||||
| Capital loss carryforward: |
$ | — | $ | (17,192,025 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Deferred net currency losses |
$ | (9 | ) | $ | — | $ | (1,111 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
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 previously limited 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.
33 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2011, none of the Funds had loaned securities under this agreement.
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.
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 June 30, 2011, at value:
Dynamic Equity Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 117,414 | $ | 2,995,491 | $ | — | $ | 3,112,905 | ||||||||
| Short-Term Investments |
— | 183,695 | — | 183,695 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 117,414 | $ | 3,179,186 | $ | — | $ | 3,296,600 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| 34
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
International Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 4,434,068 | $ | — | $ | 4,434,068 | ||||||||
| Austria |
— | 517,132 | — | 517,132 | ||||||||||||
| Belgium |
— | 653,965 | — | 653,965 | ||||||||||||
| Brazil |
3,925,986 | — | — | 3,925,986 | ||||||||||||
| Canada |
5,234,332 | — | — | 5,234,332 | ||||||||||||
| Chile |
525,721 | — | — | 525,721 | ||||||||||||
| China |
549,215 | 9,914,445 | — | 10,463,660 | ||||||||||||
| Denmark |
— | 1,029,909 | — | 1,029,909 | ||||||||||||
| France |
529,082 | 6,040,192 | — | 6,569,274 | ||||||||||||
| Germany |
— | 6,485,079 | — | 6,485,079 | ||||||||||||
| Hong Kong |
— | 781,282 | — | 781,282 | ||||||||||||
| India |
1,247,062 | — | — | 1,247,062 | ||||||||||||
| Israel |
604,004 | — | — | 604,004 | ||||||||||||
| Italy |
— | 1,269,104 | — | 1,269,104 | ||||||||||||
| Japan |
— | 12,179,807 | — | 12,179,807 | ||||||||||||
| Korea |
1,267,551 | 507,531 | — | 1,775,082 | ||||||||||||
| Mexico |
1,046,283 | — | — | 1,046,283 | ||||||||||||
| Norway |
— | 1,398,829 | — | 1,398,829 | ||||||||||||
| Russia |
2,795,116 | 478,452 | — | 3,273,568 | ||||||||||||
| Singapore |
— | 598,113 | — | 598,113 | ||||||||||||
| South Africa |
— | 885,835 | — | 885,835 | ||||||||||||
| Spain |
— | 437,247 | — | 437,247 | ||||||||||||
| Sweden |
— | 1,659,599 | — | 1,659,599 | ||||||||||||
| Switzerland |
— | 7,745,543 | — | 7,745,543 | ||||||||||||
| Taiwan |
— | 1,071,254 | — | 1,071,254 | ||||||||||||
| United Kingdom |
655,133 | 14,585,480 | — | 15,240,613 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
18,379,485 | 72,672,866 | — | 91,052,351 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks(a) |
— | 529,672 | — | 529,672 | ||||||||||||
| Exchange Traded Funds(a) |
537,097 | — | — | 537,097 | ||||||||||||
| Short-Term Investments |
— | 615,542 | — | 615,542 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 18,916,582 | $ | 73,818,080 | $ | — | $ | 92,734,662 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
A common stock valued at $749,183 was transferred from Level 1 to Level 2 during the six months ended June 30, 2011. At December 31, 2010, the security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies; At June 30, 2011, the security was fair valued due to events occurring after the close of the foreign market but before the close of regular trading on the New York Stock Exchange, using a modeling tool approved by the Board of Trustees.
All transfers are recognized as of the beginning of the reporting period.
35 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Natixis Oakmark Global Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $1,707,174 | $ | — | $ | 1,707,174 | |||||||||
| France |
— | 870,518 | — | 870,518 | ||||||||||||
| Germany |
— | 1,620,145 | — | 1,620,145 | ||||||||||||
| Ireland |
511,008 | — | — | 511,008 | ||||||||||||
| Japan |
— | 7,495,528 | — | 7,495,528 | ||||||||||||
| Spain |
— | 861,706 | — | 861,706 | ||||||||||||
| Sweden |
— | 717,649 | — | 717,649 | ||||||||||||
| Switzerland |
1,058,688 | 4,614,561 | — | 5,673,249 | ||||||||||||
| United Kingdom |
— | 740,614 | — | 740,614 | ||||||||||||
| United States |
14,757,272 | — | — | 14,757,272 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
16,326,968 | 18,627,895 | — | 34,954,863 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
— | 1,486,904 | — | 1,486,904 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
16,326,968 | 20,114,799 | — | 36,441,767 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 17,265 | — | 17,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 16,326,968 | $20,132,064 | $ | — | $ | 36,459,032 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ | — | $ | (197,704 | ) | $ | — | $ | (197,704 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
Natixis Oakmark International Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | 492,959 | $ | 2,218,682 | $ | — | $ | 2,711,641 | ||||||||
| Canada |
356,675 | — | — | 356,675 | ||||||||||||
| France |
— | 4,179,148 | — | 4,179,148 | ||||||||||||
| Germany |
— | 2,848,181 | — | 2,848,181 | ||||||||||||
| Ireland |
— | 499,888 | — | 499,888 | ||||||||||||
| Italy |
— | 1,318,872 | — | 1,318,872 | ||||||||||||
| Japan |
— | 11,386,661 | — | 11,386,661 | ||||||||||||
| Korea |
— | 874,383 | — | 874,383 | ||||||||||||
| Mexico |
592,803 | — | — | 592,803 | ||||||||||||
| Netherlands |
547,030 | 2,442,939 | — | 2,989,969 | ||||||||||||
| Spain |
— | 1,315,600 | — | 1,315,600 | ||||||||||||
| Sweden |
— | 1,539,111 | — | 1,539,111 | ||||||||||||
| Switzerland |
— | 10,357,015 | — | 10,357,015 | ||||||||||||
| United Kingdom |
500,867 | 4,218,746 | — | 4,719,613 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
2,490,334 | 43,199,226 | — | 45,689,560 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
— | 2,117,791 | — | 2,117,791 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
2,490,334 | 45,317,017 | — | 47,807,351 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 37,730 | — | 37,730 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,490,334 | $ | 45,354,747 | $ | — | $ | 47,845,081 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 36
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Liability Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ — | $(312,749) | $ — | $(312,749) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds used during the period include forward foreign currency contracts.
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 six months ended June 30, 2011, 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 June 30, 2011:
| Statements of Assets and Liabilities Caption |
Foreign Exchange Contracts | |
| Assets |
||
| Unrealized appreciation on forward foreign currency contracts |
$17,265 | |
| Liabilities |
||
| Unrealized depreciation on forward foreign currency contracts |
(197,704) |
Transactions in derivative instruments for Natixis Oakmark Global Fund during the six months ended June 30, 2011 were as follows:
| Statements of Operations Caption |
Foreign Exchange Contracts | |
| Net Realized Gain (Loss) on: |
||
| Foreign currency transactions* |
$(228,532) | |
| Net Change in Unrealized Appreciation (Depreciation) on: |
||
| Foreign currency translations* |
(176,982) |
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2011:
| Statements of Assets and Liabilities Caption |
Foreign Exchange Contracts | |
| Assets |
||
| Unrealized appreciation on forward foreign currency contracts |
$37,730 | |
| Liabilities |
||
| Unrealized depreciation on forward foreign currency contracts |
(312,749) |
37 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2011 were as follows:
| Statements of Operations Caption |
Foreign Exchange Contracts | |
| Net Realized Gain (Loss) on: |
||
| Foreign currency transactions* |
$(392,328) | |
| Net Change in Unrealized Appreciation (Depreciation) on: |
||
| Foreign currency translations* |
(271,489) |
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, 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.
Volume of forwards activity, as a percentage of net assets, for Natixis Oakmark Global Fund and Natixis Oakmark International Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2011:
| Natixis Oakmark Global Fund |
Forwards | |
| Average Notional Amount Outstanding |
21.56% | |
| Highest Notional Amount Outstanding |
24.66% | |
| Lowest Notional Amount Outstanding |
18.31% | |
| Notional Amount Outstanding as of June 30, 2011 |
24.66% |
| Natixis Oakmark International Fund |
Forwards | |
| Average Notional Amount Outstanding |
29.57% | |
| Highest Notional Amount Outstanding |
38.14% | |
| Lowest Notional Amount Outstanding |
20.35% | |
| Notional Amount Outstanding as of June 30, 2011 |
38.14% |
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
5. Purchases and Sales of Securities. For the six months ended June 30, 2011, purchases and sales of securities (excluding short-term investments) were as follows:
| Fund |
Purchases | Sales |
||||||
| Dynamic Equity Fund |
$ | 379,635 | $ | 245,597 | ||||
| International Fund |
21,107,394 | 27,245,826 | ||||||
| Natixis Oakmark Global Fund |
32,084,704 | 2,690,033 | ||||||
| Natixis Oakmark International Fund |
42,522,352 | 3,255,865 | ||||||
| 38
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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, 2012 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 six months ended June 30, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
| Fund |
Expense limit as a Percentage of Average Daily Net Assets |
|||||||
| 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 six months ended June 30, 2011, the management fees and waivers of management fees for each Fund were as follows:
| Fund |
Gross |
Waivers of |
Net |
Percentage of Average | ||||||
| Gross | Net | |||||||||
| Dynamic Equity Fund |
$ 15,748 | $ 15,748 | $ — | 1.00% | — | |||||
| International Fund |
382,602 | — | 382,602 | 0.80% | 0.80% | |||||
| Natixis Oakmark Global Fund |
120,934 | 56,325 | 64,609 | 0.80% | 0.43% | |||||
| Natixis Oakmark International Fund |
157,655 | 69,871 | 87,784 | 0.85% | 0.47% | |||||
39 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
| 1 | Management fee waivers are subject to possible recovery until December 31, 2012. |
For the six months ended June 30, 2011, expenses have been reimbursed as follows:
| Fund |
Reimbursement2 | |
| Dynamic Equity Fund |
$67,099 |
| 2 | Expense reimbursements are subject to possible recovery until December 31, 2012. |
No expenses were recovered during the six months ended June 30, 2011 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 Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
b. Service and Distribution Fees. 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.
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 six months ended June 30, 2011, 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 |
$ | 104 | $ | — | $ | 47 | $ | — | $ | 142 | ||||||||||
| International Fund |
96,988 | 7,145 | 15,430 | 21,435 | 46,290 | |||||||||||||||
| Natixis Oakmark Global Fund |
33,300 | — | 4,492 | — | 13,475 | |||||||||||||||
| Natixis Oakmark International Fund |
37,371 | — | 8,998 | — | 26,994 | |||||||||||||||
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. Funds that commenced operations prior to July 1, 2011 are subject to a new fund 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 for all or part of the period.
| 40
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, each Fund paid the following administrative fees to Natixis Advisors:
| Fund |
Administrative Fees | |
| Dynamic Equity Fund |
$16,413 | |
| International Fund |
22,202 | |
| Natixis Oakmark Global Fund |
43,391 | |
| Natixis Oakmark International Fund |
43,391 |
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 Fund held by the intermediaries (which generally are a percentage of the value of shares held) not to exceed 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 six months ended June 30, 2011, 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 |
$ 115 | |
| International Fund |
17,198 | |
| Natixis Oakmark Global Fund |
876 | |
| Natixis Oakmark International Fund |
2,337 |
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the six months ended June 30, 2011 were as follows:
| Fund |
Commissions | |
| Dynamic Equity Fund |
$ 3,086 | |
| International Fund |
20,453 | |
| Natixis Oakmark Global Fund |
7,106 | |
| Natixis Oakmark International Fund |
92,051 |
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. 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.
41 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
7. 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 0.125% 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 April 21, 2011, each 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 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 1.25%. In addition, a commitment fee of 0.15% 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 six months ended June 30, 2011, none of the Funds had borrowings under these agreements.
8. Brokerage Commission Recapture. Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2011, amounts rebated under these agreements were as follows:
| Fund |
Rebates | |
| International Fund |
$1,192 |
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
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.
10. 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 June 30, 2011, Natixis US owned shares equating to 94.64%, 69.17% and 54.84% of Dynamic Equity Fund’s, Natixis Oakmark Global Fund’s and Natixis Oakmark International Fund’s net assets, respectively.
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
|
|
Six Months Ended June 30, 2011 |
|
|
Period Ended December 31, 2010* |
| |||||||||||
| Dynamic Equity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
7,876 | $ | 93,153 | 10,145 | $ | 104,638 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | —- | 18 | 220 | ||||||||||||
| Redeemed |
(415 | ) | (5,068 | ) | (7,772 | ) | (76,792 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
7,461 | $ | 88,085 | 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 |
(964 | ) | (11,000 | ) | (667 | ) | (8,000 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(964 | ) | $ | (11,000 | ) | 3,854 | $ | 40,887 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
26,835 | $ | 312,700 | 250,000 | $ | 2,500,002 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 2,463 | 29,850 | ||||||||||||
| Redeemed |
(25,192 | ) | (285,275 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1,643 | $ | 27,425 | 252,463 | $ | 2,529,852 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
8,140 | $ | 104,510 | 258,708 | $ | 2,598,805 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | From commencement of operations on February 26, 2010 through December 31, 2010. |
| 42
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
|
|
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| International Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
155,733 | $ | 2,723,858 | 432,998 | $ | 6,581,522 | ||||||||||
| Issued in connection with the reinvestment of distributions |
2,740 | 48,412 | 35,040 | 586,241 | ||||||||||||
| Redeemed |
(403,219 | ) | (7,042,931 | ) | (1,133,188 | ) | (17,649,699 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(244,746 | ) | $ | (4,270,661 | ) | (665,150 | ) | $ | (10,481,936 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B | ||||||||||||||||
| Issued from the sale of shares |
5,642 | $ | 88,135 | 20,705 | $ | 281,485 | ||||||||||
| Issued in connection with the reinvestment of distributions |
257 | 4,031 | 1,404 | 20,429 | ||||||||||||
| Redeemed |
(94,039 | ) | (1,458,820 | ) | (253,159 | ) | (3,483,764 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(88,140 | ) | $ | (1,366,654 | ) | (231,050 | ) | $ | (3,181,850 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
20,746 | $ | 320,673 | 118,347 | $ | 1,677,813 | ||||||||||
| Issued in connection with the reinvestment of distributions |
459 | 7,158 | 1,974 | 28,544 | ||||||||||||
| Redeemed |
(130,132 | ) | (2,014,298 | ) | (249,135 | ) | (3,444,802 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(108,927 | ) | $ | (1,686,467 | ) | (128,814 | ) | $ | (1,738,445 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(441,813 | ) | $ | (7,323,782 | ) | (1,025,014 | ) | $ | (15,402,231 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
|
Six Months Ended June 30, 2011 |
|
|
Period Ended December 31, 2010* |
| |||||||||||
| Natixis Oakmark Global Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
2,530,037 | $ | 25,961,101 | 500,295 | $ | 5,003,001 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | — | — | ||||||||||||
| Redeemed |
(12,334 | ) | (126,407 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
2,517,703 | $ | 25,834,694 | 500,295 | $ | 5,003,001 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
507,122 | $ | 5,274,650 | 36,864 | $ | 373,672 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | — | — | ||||||||||||
| Redeemed |
(17,351 | ) | (175,819 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
489,771 | $ | 5,098,831 | 36,864 | $ | 373,672 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
3,007,474 | $ | 30,933,525 | 537,159 | $ | 5,376,673 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | From commencement of operations on December 15, 2010 through December 31, 2010. |
|
|
Six Months Ended June 30, 2011 |
|
|
Period Ended December 31, 2010* |
| |||||||||||
| Natixis Oakmark International Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
2,840,591 | $ | 29,245,508 | 539,938 | $ | 5,404,357 | ||||||||||
| Issued in connection with the reinvestment of distributions |
85 | 885 | — | — | ||||||||||||
| Redeemed |
(40,578 | ) | (417,497 | ) | (1 | ) | (6 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
2,800,098 | $ | 28,828,896 | 539,937 | $ | 5,404,351 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
1,081,841 | $ | 11,306,001 | 68,972 | $ | 698,013 | ||||||||||
| Issued in connection with the reinvestment of distributions |
23 | 240 | — | — | ||||||||||||
| Redeemed |
(13,103 | ) | (136,213 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1,068,761 | $ | 11,170,028 | 68,972 | $ | 698,013 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
3,868,859 | $ | 39,998,924 | 608,909 | $ | 6,102,364 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | From commencement of operations on December 15, 2010 through December 31, 2010. |
43 |
Table of Contents
SEMIANNUAL REPORT
June 30, 2011
CGM Advisor Targeted Equity Fund
Harris Associates Large Cap Value Fund
Natixis Diversified Income Fund
(Formerly Natixis Income Diversified Portfolio)
Natixis U.S. Multi-Cap Equity Fund
(Formerly Natixis U.S. Diversified Portfolio)
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
Westpeak ActiveBeta® Equity Fund
Management Discussion and Performance page 1
Portfolio of Investments page 44
Financial Statements page 93
Table of Contents
CGM ADVISOR TARGETED EQUITY FUND
1 |
Table of Contents
| 2
Table of Contents
CGM ADVISOR TARGETED EQUITY FUND
Investment Results through June 30, 2011
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 Shares
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 2011
| 6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
| Class A (Inception 11/27/68) | ||||||||||||||||
| NAV | -3.51 | % | 26.26 | % | 4.03 | % | 4.68 | % | ||||||||
| With 5.75% Maximum Sales Charge | -9.07 | 19.01 | 2.80 | 4.06 | ||||||||||||
| Class B (Inception 2/28/97) | ||||||||||||||||
| NAV | -3.90 | 25.26 | 3.26 | 3.90 | ||||||||||||
| With CDSC1 | -8.70 | 20.26 | 2.91 | 3.90 | ||||||||||||
| Class C (Inception 9/1/98) | ||||||||||||||||
| NAV | -3.92 | 25.26 | 3.25 | 3.89 | ||||||||||||
| With CDSC1 | -4.88 | 24.26 | 3.25 | 3.89 | ||||||||||||
| Class Y (Inception 6/30/99) | ||||||||||||||||
| NAV | -3.42 | 26.57 | 4.32 | 5.04 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| S&P 500 Index2 | 6.02 | 30.69 | 2.94 | 2.72 | ||||||||||||
| Morningstar Large Growth Fund Avg.3 | 5.65 | 33.08 | 4.07 | 2.24 | ||||||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
3 |
Table of Contents
NOTES TO CHARTS
| 1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
| 2 | S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 3 | Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4
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HARRIS ASSOCIATES LARGE CAP VALUE FUND
Management Discussion
5 |
Table of Contents
| 6
Table of Contents
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Investment Results through June 30, 2011
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 Shares4
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 20114
| 6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
| Class A (Inception 5/6/31) | ||||||||||||||||
| NAV | 5.39 | % | 30.02 | % | 2.75 | % | 1.87 | % | ||||||||
| With 5.75% Maximum Sales Charge | -0.64 | 22.57 | 1.54 | 1.27 | ||||||||||||
| Class B (Inception 9/13/93) | ||||||||||||||||
| NAV | 5.00 | 29.11 | 1.99 | 1.11 | ||||||||||||
| With CDSC1 | 0.00 | 24.11 | 1.62 | 1.11 | ||||||||||||
| Class C (Inception 5/1/95) | ||||||||||||||||
| NAV | 5.02 | 29.00 | 1.99 | 1.11 | ||||||||||||
| With CDSC1 | 4.02 | 28.00 | 1.99 | 1.11 | ||||||||||||
| Class Y (Inception 11/18/98) | ||||||||||||||||
| NAV | 5.49 | 30.43 | 3.12 | 2.27 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| Russell 1000 Value Index2 | 5.92 | 28.94 | 1.15 | 3.99 | ||||||||||||
| Morningstar Large Blend Fund Avg.3 | 5.45 | 29.68 | 2.49 | 2.68 | ||||||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
7 |
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NOTES TO CHARTS
| 1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
| 2 | 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. |
| 3 | Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 5 | Before fee waivers and/or expense reimbursements. |
| 6 | 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. |
| 8
Table of Contents
NATIXIS DIVERSIFIED INCOME FUND*
Management Discussion
9 |
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| 10
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dividend payment. CMS Energy was added to the index to replace BancorpSouth. These changes were also made in the portfolio.
AEW Diversified REIT Segment
During the six-month period, the U.S. REIT sector posted solid performance, rising more than 10% as measured by the MSCI U.S. REIT Index. Positive performance was fueled largely by continued positive fund flows into the sector and improving prospects for commercial property. Attractive yields also aided sector returns. The segment benefited from solid security selection, particularly among its holdings in the apartment, office, regional mall and storage sectors. However, stock selection in the industrial and hotel sectors detracted from returns. Among the main contributors to the segment’s returns were regional mall REIT Simon Property Group, apartment REIT Equity Residential and office REIT Boston Properties. Host Hotels & Resorts, Starwood Hotels & Resorts Worldwide and First Potomac Realty were the main detractors from the segment’s performance.
REITs have had an impressive performance run against a backdrop of a slowly expanding economy and gradually improving commercial property fundamentals. While we believe that a recovery in REIT business fundamentals will continue and that at least some of that improvement is already reflected in REIT prices, incrementally positive news will likely provide continued support. However, a quick and substantial rise in interest rates looms as a potential risk over the coming months. Higher interest rates would make REIT dividend yields less competitive and would increase borrowing costs. A sustained run of disappointing job growth numbers is another potential risk, because it would indicate that the economy is not growing fast enough to bring vacancy rates down, particularly in the office, industrial and retail property sectors.
Loomis Sayles Inflation Protected Securities Segment
Higher prices for energy and imported goods contributed to mounting inflationary pressures during the six-month period, and TIPS were among the fixed-income market’s top performers. In addition, supply chain disruptions resulting from earthquake-recovery efforts in Japan, combined with renewed sovereign debt concerns in Europe, sparked a flight to quality in May. This benefited U.S. government securities, including TIPS. For the six months ended June 30, 2011, TIPS breakeven rates (the difference in yield between TIPS and traditional Treasuries of the same maturity, and an indication of longer-term inflation expectations) widened, while real yields rallied lower.
In this environment, TIPS contributed favorably to the segment’s performance. Furthermore, a “barbelled” maturity structure (overweighting securities at the short and long ends of the maturity spectrum and underweighting intermediate-term securities) helped overall TIPS performance.
A small allocation to a Temporary Liquidity Guarantee Program (TLGP) bond detracted slightly from performance. (TLGP bonds were created in 2008, when the Federal Deposit Insurance Corporation increased its insurance coverage for depository accounts held at certain financial institutions and also lent its guarantee to short-term bonds issued by financial institutions.)
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Loomis Sayles Multi-Sector Bond Segment
Riskier fixed-income sectors generally outperformed Treasuries during the six-month period. Corporate balance sheets remained strong and earnings continued to beat analyst expectations.
This backdrop, combined with strong security selection, led to favorable results for the investment-grade corporate bond component. In addition, an allocation to high-yield corporates contributed favorably to the segment’s performance, particularly within the technology, communication and consumer cyclical industries. Commodity-linked currencies also continued to perform well, with non-dollar holdings in Brazil, Canada, Australia, New Zealand and Mexico contributing nicely to the segment’s performance.
An allocation to equity-sensitive convertible bonds detracted from performance during the period. These securities mirrored the swings in the stock market, which sold off in May and June. Holdings in the automotive, technology and manufacturing industries suffered the most. In addition, a modest position in commercial mortgage-backed securities (CMBS) weighed on performance, as lower-quality holdings declined during May’s flight to quality.
| 12
Table of Contents
NATIXIS DIVERSIFIED INCOME FUND*
Investment Results through June 30, 2011
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 $10,000 Investment in Class A shares6
November 17, 2005 (inception) through June 30, 2011
Average Annual Total Returns — June 30, 20116
| 6 Months | 1 Year | 5 Years | Since Inception5 | |||||||||||||
| Class A (Inception 11/17/05) | ||||||||||||||||
| NAV | 7.12 | % | 19.72 | % | 5.90 | % | 6.17 | % | ||||||||
| With 4.50% Maximum Sales Charge | 2.31 | 14.28 | 4.92 | 5.30 | ||||||||||||
| Class C (Inception 11/17/05) | ||||||||||||||||
| NAV | 6.74 | 18.87 | 5.15 | 5.38 | ||||||||||||
| With CDSC1 | 5.74 | 17.87 | 5.15 | 5.38 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| Barclays Capital U.S. Aggregate Bond Index2 | 2.72 | 3.90 | 6.52 | 5.86 | ||||||||||||
| Blended Index3 | 6.23 | 16.73 | 5.61 | 5.80 | ||||||||||||
| Morningstar Conservative Allocation Fund Avg.4 | 3.83 | 14.45 | 4.42 | 4.35 | ||||||||||||
| * | Formerly Natixis Income Diversified Portfolio |
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
13 |
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NOTES TO CHARTS
| 1 | Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | 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. |
| 3 | 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. |
| 4 | Morningstar Conservative Allocation Fund Average is the average performance without sales charges of funds with similar current investment objectives, as calculated by Morningstar, Inc. |
| 5 | The since-inception comparative performance figures shown were calculated from 12/1/05. |
| 6 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, 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. |
| 14
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NATIXIS U.S. MULTI-CAP EQUITY FUND*
Management Discussion
15 |
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| 16
Table of Contents
areas of secular growth, including data mobility, cloud computing and software as a service, which led to particularly strong performance in the first calendar quarter. Performance in the healthcare sector was broad-based, with strong results in the biotech, healthcare services and pharmaceuticals industries.
While all sectors made positive contributions to performance, the energy sector was the weakest. The shortfall occurred in the second quarter of 2011 when commodity prices took a downturn. Holdings with above-average sensitivity to changes in oil prices suffered the most. On an individual basis, Finisar, a manufacturer of optical components and subsystems for high-speed communication networks, was among the largest performance detractors. A position in clothing retailer Abercrombie & Fitch also drove down results.
The portfolio used options (bought puts or sold calls) to hedge the stock-specific risks associated with three individual holdings and also purchased calls on one stock to express a directional view. The combined impact of these derivatives was a slight drag on performance.
Loomis Sayles Small/Mid Cap Core Segment
Robust stock selection, combined with a generally defensive posture, led to strong results for the Small/Mid Cap Core segment. In particular, stocks in the technology, consumer discretionary and financial services sectors made the greatest contributions to performance. In terms of individual contributors, WellCare Health Plans, a managed care provider, was among the top performers. The company reported strong earnings during the period and remained upbeat for the rest of the year on improving utilization trends and solid cost controls. Discover Financial Services, a credit card issuer and electronic payments provider, also was among the top performers. The company reported higher-than-expected earnings.
While all sectors made positive contributions to performance during the period, the energy and utilities sectors were the weakest. Individual laggards included commercial bank First Horizon National and energy transportation and storage provider SemGroup. First Horizon declined due to lower expectations for intermediate-term loan growth and credit improvement, and the position was exited. SemGroup reported a modestly disappointing cash-flow outlook and was sold.
Loomis Sayles Large Cap Growth Segment
Effective June 1, 2011, the investment strategy of the fund’s Large Cap Growth segment changed. New portfolio manager Aziz V. Hamzaogullari employs a disciplined, bottom-up approach that seeks to identify high quality stocks offering robust growth potential and attractive valuations.
During the one-month period in which Mr. Hamzaogullari managed the Large Cap Growth segment, performance was hindered by the stock market downturn. From a sector perspective, the technology and healthcare sectors were the largest negative contributors to performance. The consumer discretionary and energy sectors contributed positively to performance.
In terms of individual holdings, positions in Amazon.com, an Internet-based retailer, and Visa, a leading credit card processor, contributed the most to performance. On the negative side, positions in Cisco Systems, a network designer, and FactSet Research, a
17 |
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provider of economic and market information to investment companies, were the largest detractors from performance.
BlackRock Segment
During the five months that BlackRock managed the Large Cap Growth segment, financials and healthcare stocks delivered solid performance. In the financials sector, bond rating agency Moody’s was a standout, as the company reported better-than-expected results for the last quarter of 2010 and the first quarter of 2011.
Stock selection in the consumer discretionary, industrials and information technology sectors yielded some disappointing results. In consumer discretionary, rising energy costs hurt General Motors, whose mix of products is currently weighted toward less fuel efficient trucks and sport utility vehicles. Cree, a pioneer in energy efficient LED lighting, fell sharply in January after a disappointing earnings report. General Motors and Cree were sold.
| 18
Table of Contents
NATIXIS U.S. MULTI-CAP EQUITY FUND*
Investment Results through June 30, 2011
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
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 20116
| 6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
| Class A (Inception 7/7/94) | ||||||||||||||||
| NAV | 7.27 | % | 38.39 | % | 5.71 | % | 5.36 | % | ||||||||
| With 5.75% Maximum Sales Charge | 1.09 | 30.45 | 4.46 | 4.74 | ||||||||||||
| Class B (Inception 7/7/94) | ||||||||||||||||
| NAV | 6.90 | 37.36 | 4.93 | 4.58 | ||||||||||||
| With CDSC1 | 1.90 | 32.36 | 4.60 | 4.58 | ||||||||||||
| Class C (Inception 7/7/94) | ||||||||||||||||
| NAV | 6.90 | 37.34 | 4.92 | 4.57 | ||||||||||||
| With CDSC1 | 5.90 | 36.34 | 4.92 | 4.57 | ||||||||||||
| Class Y (Inception 11/15/94) | ||||||||||||||||
| NAV | 7.41 | 38.74 | 6.02 | 5.81 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| S&P 500 Index2 | 6.02 | 30.69 | 2.94 | 2.72 | ||||||||||||
| S&P MidCap 400 Index3 | 8.56 | 39.38 | 6.60 | 7.94 | ||||||||||||
| Wilshire 4500 Index4 | 7.02 | 38.97 | 5.74 | 7.30 | ||||||||||||
| Morningstar Large Growth Fund Avg.5 | 5.65 | 33.08 | 4.07 | 2.24 | ||||||||||||
| * | Formerly Natixis U.S. Diversified Portfolio |
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
19 |
Table of Contents
NOTES TO CHARTS
| 1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
| 2 | S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 3 | S&P MidCap 400 Index is an unmanaged index that measures the performance of the mid-cap segment of the U.S. equities market. |
| 4 | Wilshire 4500 Index is an unmanaged index that measures the performance of U.S. small- and mid-cap stocks. |
| 5 | Morningstar Large Growth 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, if any, 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. |
| 20
Table of Contents
VAUGHAN NELSON SMALL CAP VALUE FUND
Management Discussion
21 |
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| 22
Table of Contents
VAUGHAN NELSON SMALL CAP VALUE FUND
Investment Results through June 30, 2011
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 Shares5
June 30, 2001 through June 30, 2011
Average Annual Total Returns — June 30, 20115
| 6 Months | 1 Year | 5 Years | 10 Years | Since Inception4 | ||||||||||||||||
| Class A (Inception 12/31/96) | ||||||||||||||||||||
| NAV | 6.47 | % | 35.03 | % | 8.86 | % | 6.45 | % | — | % | ||||||||||
| With 5.75% Maximum Sales Charge | 0.37 | 27.27 | 7.57 | 5.82 | — | |||||||||||||||
| Class B (Inception 12/31/96) | ||||||||||||||||||||
| NAV | 6.07 | 34.07 | 8.04 | 5.66 | — | |||||||||||||||
| With CDSC1 | 1.07 | 29.07 | 7.75 | 5.66 | — | |||||||||||||||
| Class C (Inception 12/31/96) | ||||||||||||||||||||
| NAV | 6.01 | 34.00 | 8.03 | 5.66 | — | |||||||||||||||
| With CDSC1 | 5.01 | 33.00 | 8.03 | 5.66 | — | |||||||||||||||
| Class Y (Inception 8/31/06) | ||||||||||||||||||||
| NAV | 6.57 | 35.38 | — | — | 9.79 | |||||||||||||||
| Comparative Performance | ||||||||||||||||||||
| Russell 2000 Value Index2 | 3.77 | 31.35 | 2.24 | 7.53 | 1.99 | |||||||||||||||
| Morningstar Small Blend Fund Avg.3 | 6.36 | 36.82 | 3.72 | 6.97 | 4.24 | |||||||||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
23 |
Table of Contents
NOTES TO CHARTS
| 1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
| 2 | Russell 2000 Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. |
| 3 | Morningstar Small Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 9/1/06. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | 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. |
| 24
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VAUGHAN NELSON VALUE OPPORTUNITY FUND
Management Discussion
25 |
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| 26
Table of Contents
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Investment Results through June 30, 2011
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 Shares5
October 31, 2008 (inception) through June 30, 2011
Average Annual Total Returns — June 30, 20115
| 6 Months | 1 Year | Since Inception4 | ||||||||||
| Class A (Inception 10/31/08) | ||||||||||||
| NAV | 11.25 | % | 43.33 | % | 21.45 | % | ||||||
| With 5.75% Maximum Sales Charge | 4.86 | 35.14 | 18.78 | |||||||||
| Class C (Inception 10/31/08) | ||||||||||||
| NAV | 10.80 | 42.24 | 20.56 | |||||||||
| With CDSC1 | 9.80 | 41.24 | 20.56 | |||||||||
| Class Y (Inception 10/31/08) | ||||||||||||
| NAV | 11.35 | 43.56 | 21.76 | |||||||||
| Comparative Performance | ||||||||||||
| Russell Midcap Value Index2 | 6.69 | 34.28 | 21.58 | |||||||||
| Morningstar Mid-Cap Blend Fund Avg.3 | 7.08 | 35.49 | 21.88 | |||||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
27 |
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NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | Russell Midcap Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. |
| 3 | Morningstar Mid-Cap Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 11/1/08. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | 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. |
| 28
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WESTPEAK ACTIVEBETA® EQUITY FUND
Management Discussion
29 |
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| 30
Table of Contents
WESTPEAK ACTIVEBETA® EQUITY FUND
Investment Results through June 30, 2011
The charts 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.
Growth of $10,000 Investment in Class A Shares5
July 30, 2010 (Inception) through June 30, 2011
Total Returns — June 30, 20115
| 6 Months | Since Inception4 | |||||||
| Class A (Inception 7/30/10) | ||||||||
| NAV | 6.02 | % | 21.16 | % | ||||
| With 5.75% Maximum Sales Charge | -0.04 | 14.20 | ||||||
| Class C (Inception 7/30/10) | ||||||||
| NAV | 5.67 | 20.41 | ||||||
| With CDSC1 | 4.67 | 19.41 | ||||||
| Class Y (Inception 7/30/10) | ||||||||
| NAV | 6.20 | 21.48 | ||||||
| Comparative Performance | ||||||||
| S&P 500 Index2 | 6.02 | 22.13 | ||||||
| Morningstar Large Blend Fund Avg.3 | 5.45 | 21.38 | ||||||
Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.
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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NOTES TO CHARTS
| 1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
| 2 | S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 3 | Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc. |
| 4 | The since-inception comparative performance figures shown are calculated from 8/1/10. |
| 5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6 | Before fee waivers and/or expense reimbursements. |
| 7 | 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, 2011 is available from the funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 800-SEC-0330.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2011 through June 30, 2011. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.
The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
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Table of Contents
| CGM ADVISOR TARGETED EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES
PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $964.90 | $5.41 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.29 | $5.56 | |||||||||
| Class B |
||||||||||||
| Actual |
$1,000.00 | $961.00 | $9.04 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.57 | $9.30 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $960.80 | $9.04 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.57 | $9.30 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $965.80 | $4.19 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,020.53 | $4.31 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.11%, 1.86%, 1.86% and 0.86% 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 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES
PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,053.90 | $6.62 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.35 | $6.51 | |||||||||
| Class B |
||||||||||||
| Actual |
$1,000.00 | $1,050.00 | $10.42 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.63 | $10.24 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,050.20 | $10.42 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.63 | $10.24 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $1,054.90 | $5.35 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.59 | $5.26 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 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 DIVERSIFIED INCOME FUND** | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES
PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,071.20 | $5.85 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.14 | $5.71 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,067.40 | $9.69 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.42 | $9.44 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.14% and 1.89% 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). |
| ** | Formerly Natixis Income Diversified Portfolio. |
| NATIXIS U.S. MULTI-CAP EQUITY FUND** | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 - 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,072.70 | $7.04 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.00 | $6.85 | |||||||||
| Class B |
||||||||||||
| Actual |
$1,000.00 | $1,069.00 | $10.93 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.23 | $10.64 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,069.00 | $10.88 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.28 | $10.59 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $1,074.10 | $5.76 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.24 | $5.61 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.37%, 2.13%, 2.12% and 1.12% 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). |
| ** | Formerly Natixis U.S. Diversified Portfolio. |
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Table of Contents
| VAUGHAN NELSON SMALL CAP
VALUE FUND |
BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,064.70 | $6.91 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.10 | $6.76 | |||||||||
| Class B |
||||||||||||
| Actual |
$1,000.00 | $1,060.70 | $10.73 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.38 | $10.49 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,060.10 | $10.73 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.38 | $10.49 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $1,065.70 | $5.63 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.34 | $5.51 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.35%, 2.10%, 2.10% and 1.10% 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 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES
PAID DURING PERIOD* 1/1/2011 - 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,112.50 | $7.33 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.85 | $7.00 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,108.00 | $11.24 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.13 | $10.74 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $1,113.50 | $6.03 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.09 | $5.76 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 1.40%, 2.15% and 1.15%, for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
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| WESTPEAK ACTIVEBETA® EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2011 |
ENDING ACCOUNT VALUE 6/30/2011 |
EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011 |
|||||||||
| Class A |
||||||||||||
| Actual |
$1,000.00 | $1,060.20 | $6.13 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.84 | $6.01 | |||||||||
| Class C |
||||||||||||
| Actual |
$1,000.00 | $1,056.70 | $9.94 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.12 | $9.74 | |||||||||
| Class Y |
||||||||||||
| Actual |
$1,000.00 | $1,062.00 | $4.86 | |||||||||
| Hypothetical (5% return before expenses) |
$1,000.00 | $1,020.08 | $4.76 | |||||||||
| * | 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 half-year, divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion of a questionnaire by the Advisers (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things,
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an internal performance rating for each Fund (and segment, in the case of Funds managed by multiple sub-advisers) based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its category. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by Natixis Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.
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With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group and/or category for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain recent periods, was stronger over the long term; (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups; and (4) that the Fund had a limited operating history.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally (as noted by certain financial publications), and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that, as of December 31, 2010, six of the seven Natixis Equity Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed, if any, by the Advisers under these caps. The Trustees noted that several Funds had total advisory fee rates that were above the median of a peer group of funds. The Trustees considered the circumstances that accounted for such relatively higher fees. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s advisory fee rate was only slightly above its peer group median; (2) that although the Fund’s advisory fee rate was above its peer group median, it is subject to an
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expense cap which resulted in the reduction of the advisory fee; and (3) that the Fund’s investment discipline was capacity restrained. The Trustees also noted that although the Natixis U.S. Multi-Cap Equity Fund’s advisory fees were above the median of a peer group of funds, that difference is due at least in part to the fact that the Fund employs a more complex multiple manager structure, whereas its peer group consists of mostly large cap growth strategies. Furthermore, the Trustees noted that effective June 1, 2011, the investment advisory fee, sub-investment advisory fee and expense cap were reduced for the Fund.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that three Funds had breakpoints in their advisory fees and that the remaining four Funds were subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
| · | The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund. |
| · | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
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| · | The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
| · | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits 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. |
| · | Plans for maintaining continuity of portfolio management where that was thought to be a potential issue. |
| · | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2012.
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Portfolio of Investments – as of June 30, 2011 (Unaudited)
CGM Advisor Targeted Equity Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 98.8% of Net Assets | ||||||||
| Air Freight & Logistics — 3.5% | ||||||||
| 320,000 | FedEx Corp. | $ | 30,352,000 | |||||
|
|
|
|||||||
| Automobiles — 5.0% | ||||||||
| 3,120,000 | Ford Motor Co.(b) | 43,024,800 | ||||||
|
|
|
|||||||
| Commercial Banks — 5.0% | ||||||||
| 720,000 | PNC Financial Services Group, Inc. | 42,919,200 | ||||||
|
|
|
|||||||
| Computers & Peripherals — 5.0% | ||||||||
| 1,570,000 | EMC Corp.(b) | 43,253,500 | ||||||
|
|
|
|||||||
| Diversified Financial Services — 14.2% | ||||||||
| 1,120,000 | Citigroup, Inc. | 46,636,800 | ||||||
| 980,000 | JPMorgan Chase & Co. | 40,121,200 | ||||||
| 900,000 | Moody’s Corp. | 34,515,000 | ||||||
|
|
|
|||||||
| 121,273,000 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 10.4% | ||||||||
| 590,000 | National-Oilwell Varco, Inc. | 46,143,900 | ||||||
| 495,000 | Schlumberger Ltd. | 42,768,000 | ||||||
|
|
|
|||||||
| 88,911,900 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 8.6% | ||||||||
| 740,000 | UnitedHealth Group, Inc. | 38,169,200 | ||||||
| 450,000 | WellPoint, Inc. | 35,446,500 | ||||||
|
|
|
|||||||
| 73,615,700 | ||||||||
|
|
|
|||||||
| Insurance — 3.2% | ||||||||
| 620,000 | MetLife, Inc. | 27,199,400 | ||||||
|
|
|
|||||||
| Internet Software & Services — 5.6% | ||||||||
| 345,000 | Baidu, Inc., Sponsored ADR(b) | 48,344,850 | ||||||
|
|
|
|||||||
| Machinery — 8.6% | ||||||||
| 380,000 | Cummins, Inc. | 39,326,200 | ||||||
| 1,536,600 | Tata Motors Ltd., Sponsored ADR | 34,588,866 | ||||||
|
|
|
|||||||
| 73,915,066 | ||||||||
|
|
|
|||||||
| Media — 6.7% | ||||||||
| 2,000,000 | CBS Corp., Class B | 56,980,000 | ||||||
|
|
|
|||||||
| Multiline Retail — 4.8% | ||||||||
| 1,400,000 | Macy’s, Inc. | 40,936,000 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 8.0% | ||||||||
| 250,000 | Chevron Corp. | 25,710,000 | ||||||
| 410,000 | Occidental Petroleum Corp. | 42,656,400 | ||||||
|
|
|
|||||||
| 68,366,400 | ||||||||
|
|
|
|||||||
| Road & Rail — 6.2% | ||||||||
| 2,040,000 | CSX Corp. | 53,488,800 | ||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 4.0% | ||||||||
| 530,000 | Coach, Inc. | 33,882,900 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $818,105,916) |
846,463,516 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
CGM Advisor Targeted Equity Fund – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 1.7% | ||||||||
| $ | 14,000,000 | American Express Credit Corp., Commercial Paper, 0.030%, 7/01/2011 | $ | 14,000,000 | ||||
| 608,293 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $608,293 on 7/01/2011 collateralized by $615,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $623,456 including accrued interest (Note 2 of Notes to Financial Statements) | 608,293 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $14,608,293) |
14,608,293 | |||||||
|
|
|
|||||||
| Total Investments — 100.5% (Identified Cost $832,714,209)(a) |
861,071,809 | |||||||
| Other assets less liabilities — (0.5)% | (4,065,109 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 857,006,700 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $832,714,209 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 | $ | 57,928,531 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (29,570,931 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 28,357,600 | ||||||
|
|
|
|||||||
| (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.
49 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
CGM Advisor Targeted Equity Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
| Diversified Financial Services |
14.2 | % | ||
| Energy Equipment & Services |
10.4 | |||
| Machinery |
8.6 | |||
| Health Care Providers & Services |
8.6 | |||
| Oil, Gas & Consumable Fuels |
8.0 | |||
| Media |
6.7 | |||
| Road & Rail |
6.2 | |||
| Internet Software & Services |
5.6 | |||
| Computers & Peripherals |
5.0 | |||
| Automobiles |
5.0 | |||
| Commercial Banks |
5.0 | |||
| Multiline Retail |
4.8 | |||
| Textiles, Apparel & Luxury Goods |
4.0 | |||
| Air Freight & Logistics |
3.5 | |||
| Insurance |
3.2 | |||
| Short-Term Investments |
1.7 | |||
|
|
|
|||
| Total Investments |
100.5 | |||
| Other assets less liabilities |
(0.5 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
| 50
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Harris Associates Large Cap Value Fund
| Shares | Description |
Value (†) | ||||||
| Common Stocks — 96.0% of Net Assets | ||||||||
| Aerospace & Defense — 5.2% | ||||||||
| 63,600 | Boeing Co. (The) | $ | 4,701,948 | |||||
| 15,800 | General Dynamics Corp. | 1,177,416 | ||||||
| 20,600 | Northrop Grumman Corp. | 1,428,610 | ||||||
|
|
|
|||||||
| 7,307,974 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics — 2.2% | ||||||||
| 32,000 | FedEx Corp. | 3,035,200 | ||||||
|
|
|
|||||||
| Automobiles — 1.7% | ||||||||
| 28,700 | Toyota Motor Corp., Sponsored ADR | 2,365,454 | ||||||
|
|
|
|||||||
| Capital Markets — 3.3% | ||||||||
| 35,800 | Franklin Resources, Inc. | 4,700,182 | ||||||
|
|
|
|||||||
| Commercial Banks — 4.1% | ||||||||
| 203,900 | Wells Fargo & Co. | 5,721,434 | ||||||
|
|
|
|||||||
| Commercial Services & Supplies — 2.6% | ||||||||
| 118,500 | Republic Services, Inc. | 3,655,725 | ||||||
|
|
|
|||||||
| Consumer Finance — 0.8% | ||||||||
| 43,150 | Discover Financial Services | 1,154,262 | ||||||
|
|
|
|||||||
| Diversified Financial Services — 6.9% | ||||||||
| 15,200 | CME Group, Inc., Class A | 4,432,168 | ||||||
| 128,200 | JPMorgan Chase & Co. | 5,248,508 | ||||||
|
|
|
|||||||
| 9,680,676 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 2.0% | ||||||||
| 32,900 | Rockwell Automation, Inc. | 2,854,404 | ||||||
|
|
|
|||||||
| Energy Equipment & Services — 4.1% | ||||||||
| 39,000 | National-Oilwell Varco, Inc. | 3,050,190 | ||||||
| 43,100 | Transocean Ltd. | 2,782,536 | ||||||
|
|
|
|||||||
| 5,832,726 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 1.0% | ||||||||
| 33,200 | Walgreen Co. | 1,409,672 | ||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 6.2% | ||||||||
| 90,700 | Baxter International, Inc. | 5,413,883 | ||||||
| 87,000 | Medtronic, Inc. | 3,352,110 | ||||||
|
|
|
|||||||
| 8,765,993 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 8.8% | ||||||||
| 154,600 | Carnival Corp. | 5,817,598 | ||||||
| 82,300 | Marriott International, Inc., Class A | 2,920,827 | ||||||
| 28,900 | McDonald’s Corp. | 2,436,848 | ||||||
| 21,700 | Starwood Hotels & Resorts Worldwide, Inc. | 1,216,068 | ||||||
|
|
|
|||||||
| 12,391,341 | ||||||||
|
|
|
|||||||
| Household Products — 1.6% | ||||||||
| 26,600 | Colgate-Palmolive Co. | 2,325,106 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Harris Associates Large Cap Value Fund – (continued)
| Shares | Description |
Value (†) | ||||||
| Independent Power Producers & Energy Traders — 0.8% | ||||||||
| 69,300 | Calpine Corp.(b) | $ | 1,117,809 | |||||
|
|
|
|||||||
| Insurance — 2.2% | ||||||||
| 103,700 | Allstate Corp. (The) | 3,165,961 | ||||||
|
|
|
|||||||
| IT Services — 6.3% | ||||||||
| 16,200 | MasterCard, Inc., Class A | 4,881,708 | ||||||
| 48,000 | Visa, Inc., Class A | 4,044,480 | ||||||
|
|
|
|||||||
| 8,926,188 | ||||||||
|
|
|
|||||||
| Machinery — 3.9% | ||||||||
| 11,700 | Caterpillar, Inc. | 1,245,582 | ||||||
| 74,900 | Illinois Tool Works, Inc. | 4,231,101 | ||||||
|
|
|
|||||||
| 5,476,683 | ||||||||
|
|
|
|||||||
| Media — 6.6% | ||||||||
| 198,700 | Comcast Corp., Special Class A | 4,814,501 | ||||||
| 62,900 | Omnicom Group, Inc. | 3,029,264 | ||||||
| 37,200 | Walt Disney Co. (The) | 1,452,288 | ||||||
|
|
|
|||||||
| 9,296,053 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 11.4% | ||||||||
| 31,500 | Apache Corp. | 3,886,785 | ||||||
| 61,100 | Range Resources Corp. | 3,391,050 | ||||||
| 69,800 | Ultra Petroleum Corp.(b) | 3,196,840 | ||||||
| 185,300 | Williams Cos., Inc. (The) | 5,605,325 | ||||||
|
|
|
|||||||
| 16,080,000 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 12.2% | ||||||||
| 376,100 | Applied Materials, Inc. | 4,893,061 | ||||||
| 362,400 | Intel Corp. | 8,030,784 | ||||||
| 130,700 | Texas Instruments, Inc. | 4,290,881 | ||||||
|
|
|
|||||||
| 17,214,726 | ||||||||
|
|
|
|||||||
| Specialty Retail — 1.2% | ||||||||
| 50,200 | CarMax, Inc.(b) | 1,660,114 | ||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 0.9% | ||||||||
| 13,500 | NIKE, Inc., Class B | 1,214,730 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $118,438,034) |
135,352,413 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 3.4% | ||||||||
| $ | 4,762,475 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $4,762,475 on 7/01/2011, collateralized by $4,795,000 Federal Home
Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $4,860,931 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,762,475) |
4,762,475 | |||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Harris Associates Large Cap Value Fund – (continued)
| Description | Value (†) | |||||||
| Total Investments — 99.4% (Identified Cost $123,200,509)(a) |
$ | 140,114,888 | ||||||
| Other assets less liabilities — 0.6% | 879,811 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 140,994,699 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $123,200,509 for federal income tax purposes was as follows: | ||||||||
| Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 19,455,548 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,541,169 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 16,914,379 | ||||||
|
|
|
|||||||
| (b) | Non-income producing security. | |||||||
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||||||
Industry Summary at June 30, 2011 (Unaudited)
| Semiconductors & Semiconductor Equipment |
12.2 | % | ||
| Oil, Gas & Consumable Fuels |
11.4 | |||
| Hotels, Restaurants & Leisure |
8.8 | |||
| Diversified Financial Services |
6.9 | |||
| Media |
6.6 | |||
| IT Services |
6.3 | |||
| Health Care Equipment & Supplies |
6.2 | |||
| Aerospace & Defense |
5.2 | |||
| Energy Equipment & Services |
4.1 | |||
| Commercial Banks |
4.1 | |||
| Machinery |
3.9 | |||
| Capital Markets |
3.3 | |||
| Commercial Services & Supplies |
2.6 | |||
| Insurance |
2.2 | |||
| Air Freight & Logistics |
2.2 | |||
| Electrical Equipment |
2.0 | |||
| Other Investments, less than 2% each |
8.0 | |||
| Short-Term Investments |
3.4 | |||
|
|
|
|||
| Total Investments |
99.4 | |||
| Other assets less liabilities |
0.6 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
49 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund*
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Bonds and Notes — 47.2% of Net Assets | ||||||||
| Non-Convertible Bonds — 44.7% | ||||||||
| ABS Home Equity — 0.1% | ||||||||
| $ | 25,000 | Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035 |
$ | 20,682 | ||||
| 15,756 | Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.506%, 7/25/2045(b) |
10,192 | ||||||
| 25,000 | JP Morgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M2, 0.656%, 6/25/2035(b) |
14,168 | ||||||
| 14,553 | WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.088%, 12/25/2046(b) | 10,064 | ||||||
|
|
|
|||||||
| 55,106 | ||||||||
|
|
|
|||||||
| ABS Other — 0.0% | ||||||||
| 23,491 | Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A |
23,847 | ||||||
|
|
|
|||||||
| Airlines — 1.4% | ||||||||
| 34,283 | American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021 | 39,597 | ||||||
| 41,190 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
44,073 | ||||||
| 14,205 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
14,613 | ||||||
| 894,828 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 | 884,010 | ||||||
|
|
|
|||||||
| 982,293 | ||||||||
|
|
|
|||||||
| Automotive — 1.0% | ||||||||
| 115,000 | Cummins, Inc., 7.125%, 3/01/2028 | 128,934 | ||||||
| 40,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 38,200 | ||||||
| 480,000 | Harley-Davidson Funding Corp., 6.800%, 6/15/2018, 144A | 542,493 | ||||||
|
|
|
|||||||
| 709,627 | ||||||||
|
|
|
|||||||
| Banking — 2.5% | ||||||||
| 200,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) | 184,670 | ||||||
| 105,000 | Citigroup, Inc., 5.875%, 2/22/2033 | 98,711 | ||||||
| 25,000 | Citigroup, Inc., 6.000%, 10/31/2033 | 23,909 | ||||||
| 20,000 | Citigroup, Inc., 6.125%, 8/25/2036 | 19,221 | ||||||
| 437,254 | HSBC Bank USA, Zero Coupon, 11/28/2011, 144A | 429,558 | ||||||
| 3,339,258,780 | JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR) | 373,508 | ||||||
| 100,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 | 93,760 | ||||||
| 100,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 | 96,566 | ||||||
| 110,000 | Morgan Stanley, 5.500%, 7/24/2020 | 111,341 | ||||||
| 100,000 | Morgan Stanley, 5.750%, 1/25/2021 | 101,183 | ||||||
| 100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 109,240 | ||||||
| 25,000 | National Australia Bank Ltd., 6.500%, 11/05/2015, (AUD) | 26,815 | ||||||
|
|
|
|||||||
| 1,668,482 | ||||||||
|
|
|
|||||||
| Building Materials — 1.0% | ||||||||
| 170,000 | Masco Corp., 5.850%, 3/15/2017 | 169,147 | ||||||
| 30,000 | Masco Corp., 6.500%, 8/15/2032 | 26,892 | ||||||
See accompanying notes to financial statements.
| 54
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Building Materials — continued | ||||||||
| $ | 10,000 | Masco Corp., 7.750%, 8/01/2029 | $ | 9,933 | ||||
| 525,000 | USG Corp., 6.300%, 11/15/2016 | 462,000 | ||||||
| 10,000 | USG Corp., 9.750%, 1/15/2018 | 9,850 | ||||||
|
|
|
|||||||
| 677,822 | ||||||||
|
|
|
|||||||
| Chemicals — 0.3% | ||||||||
| 200,000 | Hercules, Inc., 6.500%, 6/30/2029 | 169,000 | ||||||
| 55,000 | Methanex Corp., Senior Note, 6.000%, 8/15/2015 | 55,961 | ||||||
|
|
|
|||||||
| 224,961 | ||||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 0.5% | ||||||||
| 23,699 | American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.230%, 10/25/2034(b) |
18,652 | ||||||
| 17,720 | Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.880%, 2/25/2035(b) |
15,292 | ||||||
| 12,420 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.575%, 7/25/2034(b) |
10,481 | ||||||
| 27,130 | Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.633%, 3/25/2035(b) |
22,310 | ||||||
| 29,784 | Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.942%, 4/25/2035(b) |
23,533 | ||||||
| 86,269 | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.921%, 12/25/2034(b) |
71,062 | ||||||
| 43,181 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.631%, 3/25/2035(b) |
37,523 | ||||||
| 63,797 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.346%, 1/25/2047(b) |
36,688 | ||||||
| 24,136 | Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1, 0.466%, 11/25/2035(b) |
20,569 | ||||||
| 75,000 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 |
66,324 | ||||||
| 20,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 | 19,963 | ||||||
|
|
|
|||||||
| 342,397 | ||||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 1.4% | ||||||||
| 265,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 |
280,913 | ||||||
| 200,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A | 218,224 | ||||||
| 200,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b) |
170,220 | ||||||
| 25,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049 | 22,859 | ||||||
| 25,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b) |
21,985 | ||||||
| 100,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.800%, 8/12/2045, 144A(b) |
99,740 | ||||||
| 125,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b) |
109,872 | ||||||
|
|
|
|||||||
| 923,813 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Consumer Products — 0.1% | ||||||||
| $ | 75,000 | Fortune Brands, Inc., 5.875%, 1/15/2036 | $ | 71,169 | ||||
|
|
|
|||||||
| Electric — 0.6% | ||||||||
| 120,000 | Calpine Corp., 7.500%, 2/15/2021, 144A | 122,400 | ||||||
| 100,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | 85,672 | ||||||
| 115,000,000 | Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP) | 69,910 | ||||||
| 88,000,000 | Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP) | 51,924 | ||||||
| 20,000 | NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(h) | 7,800 | ||||||
| 35,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A |
34,388 | ||||||
| 135,000 | TXU Corp., Series Q, 6.500%, 11/15/2024 | 67,500 | ||||||
|
|
|
|||||||
| 439,594 | ||||||||
|
|
|
|||||||
| Food & Beverage — 0.1% | ||||||||
| 50,000 | Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD) | 54,814 | ||||||
|
|
|
|||||||
| Government Guaranteed — 0.3% | ||||||||
| 170,000 | Citigroup Funding, Inc., (FDIC insured), 1.875%, 10/22/2012 | 173,306 | ||||||
|
|
|
|||||||
| Government Owned — No Guarantee — 0.4% | ||||||||
| 320,000 | DP World Ltd., 6.850%, 7/02/2037, 144A | 305,600 | ||||||
|
|
|
|||||||
| Healthcare — 1.9% | ||||||||
| 25,000 | HCA, Inc., 7.050%, 12/01/2027 | 21,687 | ||||||
| 5,000 | HCA, Inc., 7.500%, 12/15/2023 | 4,713 | ||||||
| 460,000 | HCA, Inc., 7.500%, 11/06/2033 | 416,300 | ||||||
| 310,000 | HCA, Inc., 7.690%, 6/15/2025 | 289,850 | ||||||
| 20,000 | HCA, Inc., 8.360%, 4/15/2024 | 19,900 | ||||||
| 135,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 125,550 | ||||||
| 30,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 27,450 | ||||||
| 345,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(c) | 362,177 | ||||||
|
|
|
|||||||
| 1,267,627 | ||||||||
|
|
|
|||||||
| Home Construction — 1.0% | ||||||||
| 125,000 | KB Home, 6.250%, 6/15/2015 | 119,375 | ||||||
| 105,000 | KB Home, 7.250%, 6/15/2018 | 94,894 | ||||||
| 80,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 62,400 | ||||||
| 470,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 387,750 | ||||||
|
|
|
|||||||
| 664,419 | ||||||||
|
|
|
|||||||
| Hybrid ARMs — 0.1% | ||||||||
| 55,371 | Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.446%, 4/25/2035(b) |
41,746 | ||||||
|
|
|
|||||||
| Independent Energy — 0.5% | ||||||||
| 105,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A | 99,750 | ||||||
| 142,000 | Pioneer Natural Resources Co., 7.200%, 1/15/2028 | 148,751 | ||||||
| 75,000 | SandRidge Energy, Inc., 8.000%, 6/01/2018, 144A | 76,500 | ||||||
|
|
|
|||||||
| 325,001 | ||||||||
|
|
|
|||||||
| Life Insurance — 0.4% | ||||||||
| 240,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 262,224 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 52
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Local Authorities — 1.3% | ||||||||
| 170,000 | New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD) | $ | 184,049 | |||||
| 375,000 | Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD) | 412,078 | ||||||
| 140,000 | Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD) | 124,610 | ||||||
| 165,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) | 149,685 | ||||||
|
|
|
|||||||
| 870,422 | ||||||||
|
|
|
|||||||
| Lodging — 0.3% | ||||||||
| 35,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027 | 35,437 | ||||||
| 25,000 | Wyndham Worldwide Corp., 5.750%, 2/01/2018 | 25,815 | ||||||
| 60,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 | 63,719 | ||||||
| 50,000 | Wyndham Worldwide Corp., 7.375%, 3/01/2020 | 55,444 | ||||||
|
|
|
|||||||
| 180,415 | ||||||||
|
|
|
|||||||
| Media Non-Cable — 0.2% | ||||||||
| 110,000 | RR Donnelley & Sons Co., 7.250%, 5/15/2018 | 110,000 | ||||||
|
|
|
|||||||
| Metals & Mining — 0.0% | ||||||||
| 10,000 | United States Steel Corp., 6.650%, 6/01/2037 | 8,775 | ||||||
|
|
|
|||||||
| Non-Captive Consumer — 1.0% | ||||||||
| 25,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 | 23,666 | ||||||
| 87,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 | 73,059 | ||||||
| 115,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 | 126,226 | ||||||
| 505,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 463,337 | ||||||
|
|
|
|||||||
| 686,288 | ||||||||
|
|
|
|||||||
| Non-Captive Diversified — 1.3% | ||||||||
| 64,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 69,280 | ||||||
| 45,000 | CIT Group, Inc., 7.000%, 5/01/2017 | 44,887 | ||||||
| 800,000 | General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD) | 661,953 | ||||||
| 15,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) | 13,427 | ||||||
| 75,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 73,280 | ||||||
| 45,000 | International Lease Finance Corp., 8.250%, 12/15/2020 | 48,600 | ||||||
|
|
|
|||||||
| 911,427 | ||||||||
|
|
|
|||||||
| Paper — 0.4% | ||||||||
| 205,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 | 206,297 | ||||||
| 5,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 5,138 | ||||||
| 30,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 31,219 | ||||||
|
|
|
|||||||
| 242,654 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 0.0% | ||||||||
| 15,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 14,250 | ||||||
| 20,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A | 19,400 | ||||||
|
|
|
|||||||
| 33,650 | ||||||||
|
|
|
|||||||
| Pipelines — 0.2% | ||||||||
| 100,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 105,497 | ||||||
|
|
|
|||||||
| Property & Casualty Insurance — 0.8% | ||||||||
| 520,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A | 539,193 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
53 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| REITs — Warehouse/Industrials — 0.1% | ||||||||
| $ | 20,000 | ProLogis LP, 6.625%, 5/15/2018 | $ | 22,113 | ||||
| 30,000 | ProLogis LP, 6.875%, 3/15/2020 | 33,126 | ||||||
|
|
|
|||||||
| 55,239 | ||||||||
|
|
|
|||||||
| Retailers — 2.8% | ||||||||
| 224,088 | CVS Pass-Through Trust, 7.507%, 1/10/2032, 144A | 265,514 | ||||||
| 400,000 | Dillard’s, Inc., 6.625%, 1/15/2018 | 400,000 | ||||||
| 205,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 188,600 | ||||||
| 100,000 | Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027 | 109,480 | ||||||
| 225,000 | Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029 | 249,010 | ||||||
| 725,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 704,156 | ||||||
|
|
|
|||||||
| 1,916,760 | ||||||||
|
|
|
|||||||
| Sovereigns — 0.6% | ||||||||
| 5,300(††) | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) | 55,785 | ||||||
| 500,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | 349,214 | ||||||
|
|
|
|||||||
| 404,999 | ||||||||
|
|
|
|||||||
| Supermarket — 0.4% | ||||||||
| 320,000 | New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028 | 242,400 | ||||||
|
|
|
|||||||
| Supranational — 1.4% | ||||||||
| 400,000 | European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL) |
256,542 | ||||||
| 921,000,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) | 96,938 | ||||||
| 18,000,000 | Inter-American Development Bank, EMTN, 2.500%, 3/11/2013, (INR) | 382,328 | ||||||
| 200,000,000 | International Bank for Reconstruction & Development, EMTN, 2.300%, 2/26/2013, (KRW) |
187,683 | ||||||
|
|
|
|||||||
| 923,491 | ||||||||
|
|
|
|||||||
| Technology — 1.2% | ||||||||
| 470,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 423,000 | ||||||
| 390,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 350,025 | ||||||
| 30,000 | CommScope, Inc., 8.250%, 1/15/2019, 144A | 30,900 | ||||||
| 40,000 | Nortel Networks Capital Corp., 7.875%, 6/15/2026(d) | 30,200 | ||||||
|
|
|
|||||||
| 834,125 | ||||||||
|
|
|
|||||||
| Transportation Services — 0.5% | ||||||||
| 10,000 | Erac USA Finance Co., 6.700%, 6/01/2034, 144A | 10,711 | ||||||
| 275,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A | 302,590 | ||||||
|
|
|
|||||||
| 313,301 | ||||||||
|
|
|
|||||||
| Treasuries — 15.4% | ||||||||
| 600,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) | 642,148 | ||||||
| 180,000 | Canadian Government, 3.500%, 6/01/2013, (CAD)(e) | 193,372 | ||||||
| 255,000 | Canadian Government, 3.500%, 6/01/2020, (CAD) | 274,293 | ||||||
| 5,000 | Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR) | 3,071 | ||||||
| 330,000 | Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR) | 217,932 | ||||||
| 25,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) | 23,358 | ||||||
| 15,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 13,650 | ||||||
| 115,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 101,686 | ||||||
See accompanying notes to financial statements.
| 58
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Treasuries — continued | ||||||||
| 120,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) | $ | 106,775 | |||||
| 10,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP) | 224,991 | ||||||
| 75,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 62,363 | ||||||
| 155,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) | 134,909 | ||||||
| 379,525 | U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026(f) | 414,690 | ||||||
| 182,060 | U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040(f) | 198,118 | ||||||
| 560,663 | U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025(f) | 644,412 | ||||||
| 267,602 | U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027(f) | 305,150 | ||||||
| 722,082 | U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(f) | 955,235 | ||||||
| 174,745 | U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021(f) | 181,462 | ||||||
| 231,989 | U.S. Treasury Inflation Indexed Note, 1.250%, 7/15/2020(f) | 245,400 | ||||||
| 800,775 | U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015(f) | 868,591 | ||||||
| 279,066 | U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018(f) | 306,885 | ||||||
| 293,830 | U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013(f) | 312,194 | ||||||
| 485,528 | U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015(f) | 535,371 | ||||||
| 511,111 | U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014(f) | 550,642 | ||||||
| 387,693 | U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014(f) | 422,797 | ||||||
| 300,221 | U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016(f) | 333,668 | ||||||
| 490,604 | U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017(f) | 559,672 | ||||||
| 634,655 | U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016(f) | 726,284 | ||||||
| 488,219 | U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017(f) | 567,935 | ||||||
| 193,843 | U.S. Treasury Inflation Indexed Note, 3.000%, 7/15/2012(f) | 202,263 | ||||||
| 230,000 | U.S. Treasury STRIPS, Zero Coupon, 5/15/2040 | 59,037 | ||||||
|
|
|
|||||||
| 10,388,354 | ||||||||
|
|
|
|||||||
| Wireless — 0.9% | ||||||||
| 4,000,000 | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) | 313,492 | ||||||
| 350,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 331,625 | ||||||
|
|
|
|||||||
| 645,117 | ||||||||
|
|
|
|||||||
| Wirelines — 2.3% | ||||||||
| 40,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 | 37,764 | ||||||
| 95,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | 91,379 | ||||||
| 300,000 | Embarq Corp., 7.995%, 6/01/2036 | 307,384 | ||||||
| 225,000 | Frontier Communications Corp., 7.125%, 3/15/2019 | 230,625 | ||||||
| 70,000 | Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A | 70,350 | ||||||
| 135,000 | Level 3 Financing, Inc., 8.750%, 2/15/2017 | 137,700 | ||||||
| 45,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 | 46,294 | ||||||
| 15,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 | 16,051 | ||||||
| 315,000 | Qwest Corp., 7.250%, 10/15/2035 | 311,850 | ||||||
| 59,000 | Telecom Italia Capital SA, 6.000%, 9/30/2034 | 50,071 | ||||||
| 197,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 175,673 | ||||||
| 40,000 | Telecom Italia Capital SA, 7.200%, 7/18/2036 | 37,713 | ||||||
| 25,000 | Telecom Italia Capital SA, 7.721%, 6/04/2038 | 24,863 | ||||||
|
|
|
|||||||
| 1,537,717 | ||||||||
|
|
|
|||||||
| Total Non-Convertible Bonds (Identified Cost $28,578,351) |
30,163,672 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
55 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Principal Amount (‡) |
Description | Value (†) | ||||||
| Convertible Bonds — 2.2% | ||||||||
| Airlines — 0.1% | ||||||||
| $ | 40,000 | AMR Corp., 6.250%, 10/15/2014 | $ | 38,800 | ||||
|
|
|
|||||||
| Diversified Manufacturing — 0.2% | ||||||||
| 130,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A | 128,050 | ||||||
|
|
|
|||||||
| Healthcare — 0.1% | ||||||||
| 5,000 | Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(g) | 4,850 | ||||||
| 40,000 | Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(g) | 45,700 | ||||||
|
|
|
|||||||
| 50,550 | ||||||||
|
|
|
|||||||
| Home Construction — 0.0% | ||||||||
| 10,000 | Lennar Corp., 2.000%, 12/01/2020, 144A | 10,038 | ||||||
|
|
|
|||||||
| Independent Energy — 0.4% | ||||||||
| 155,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 | 140,469 | ||||||
| 105,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 | 110,512 | ||||||
|
|
|
|||||||
| 250,981 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 0.0% | ||||||||
| 25,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 | 31,469 | ||||||
|
|
|
|||||||
| Technology — 1.4% | ||||||||
| 235,000 | Ciena Corp., 0.875%, 6/15/2017 | 198,869 | ||||||
| 40,000 | Ciena Corp., 3.750%, 10/15/2018, 144A | 47,000 | ||||||
| 630,000 | Intel Corp., 2.950%, 12/15/2035 | 651,262 | ||||||
| 40,000 | Micron Technology, Inc., 1.875%, 6/01/2014 | 39,000 | ||||||
|
|
|
|||||||
| 936,131 | ||||||||
|
|
|
|||||||
| Total Convertible Bonds (Identified Cost $1,394,730) |
1,446,019 | |||||||
|
|
|
|||||||
| Municipals — 0.3% | ||||||||
| California — 0.0% | ||||||||
| 30,000 | California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 | 28,389 | ||||||
|
|
|
|||||||
| Illinois — 0.2% | ||||||||
| 170,000 | State of Illinois, 5.100%, 6/01/2033 | 144,622 | ||||||
|
|
|
|||||||
| Michigan — 0.1% | ||||||||
| 50,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c) | 36,322 | ||||||
|
|
|
|||||||
| Total Municipals (Identified Cost $206,070) |
209,333 | |||||||
|
|
|
|||||||
| Total Bonds and Notes (Identified Cost $30,179,151) |
31,819,024 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 60
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Common Stocks — 46.0% | ||||||||
| Aerospace & Defense — 0.7% | ||||||||
| 2,164 | General Dynamics Corp. | $ | 161,261 | |||||
| 2,091 | Honeywell International, Inc. | 124,603 | ||||||
| 2,623 | Northrop Grumman Corp. | 181,905 | ||||||
|
|
|
|||||||
| 467,769 | ||||||||
|
|
|
|||||||
| Automobiles — 0.2% | ||||||||
| 10,180 | Ford Motor Co.(h) | 140,382 | ||||||
|
|
|
|||||||
| Beverages — 0.2% | ||||||||
| 2,409 | Coca-Cola Co. (The) | 162,102 | ||||||
|
|
|
|||||||
| Building Products — 0.0% | ||||||||
| 1,975 | Masco Corp. | 23,759 | ||||||
|
|
|
|||||||
| Chemicals — 1.0% | ||||||||
| 1,918 | Eastman Chemical Co. | 195,770 | ||||||
| 1,745 | International Flavors & Fragrances, Inc. | 112,099 | ||||||
| 2,439 | PPG Industries, Inc. | 221,437 | ||||||
| 3,614 | RPM International, Inc. | 83,194 | ||||||
| 1,993 | Sensient Technologies Corp. | 73,881 | ||||||
|
|
|
|||||||
| 686,381 | ||||||||
|
|
|
|||||||
| Commercial Banks — 0.8% | ||||||||
| 3,436 | Bank of Hawaii Corp. | 159,843 | ||||||
| 1,954 | BB&T Corp. | 52,445 | ||||||
| 4,436 | F.N.B. Corp. | 45,913 | ||||||
| 2,999 | FirstMerit Corp. | 49,513 | ||||||
| 3,389 | Trustmark Corp. | 79,337 | ||||||
| 3,856 | United Bankshares, Inc. | 94,395 | ||||||
| 4,886 | Valley National Bancorp | 66,498 | ||||||
|
|
|
|||||||
| 547,944 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.9% | ||||||||
| 1,721 | Avery Dennison Corp. | 66,482 | ||||||
| 4,009 | Deluxe Corp. | 99,062 | ||||||
| 5,587 | Pitney Bowes, Inc. | 128,445 | ||||||
| 5,280 | R. R. Donnelley & Sons Co. | 103,541 | ||||||
| 2,393 | Republic Services, Inc. | 73,824 | ||||||
| 3,176 | Waste Management, Inc. | 118,370 | ||||||
|
|
|
|||||||
| 589,724 | ||||||||
|
|
|
|||||||
| Containers & Packaging — 0.2% | ||||||||
| 3,020 | Sonoco Products Co. | 107,331 | ||||||
|
|
|
|||||||
| Distributors — 0.2% | ||||||||
| 2,888 | Genuine Parts Co. | 157,107 | ||||||
|
|
|
|||||||
| Diversified Telecommunication Services — 0.6% | ||||||||
| 5,173 | AT&T, Inc. | 162,484 | ||||||
| 5,830 | CenturyLink, Inc. | 235,707 | ||||||
|
|
|
|||||||
| 398,191 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
61 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Electric Utilities — 3.0% | ||||||||
| 4,617 | American Electric Power Co., Inc. | $ | 173,969 | |||||
| 2,933 | Cleco Corp. | 102,215 | ||||||
| 4,217 | DPL, Inc. | 127,185 | ||||||
| 2,967 | Edison International | 114,971 | ||||||
| 4,220 | Entergy Corp. | 288,142 | ||||||
| 4,705 | Exelon Corp. | 201,562 | ||||||
| 5,485 | FirstEnergy Corp. | 242,163 | ||||||
| 3,475 | NextEra Energy, Inc. | 199,673 | ||||||
| 2,904 | Northeast Utilities | 102,134 | ||||||
| 4,599 | Pinnacle West Capital Corp. | 205,023 | ||||||
| 4,932 | PPL Corp. | 137,258 | ||||||
| 3,831 | Unisource Energy Corp. | 143,011 | ||||||
|
|
|
|||||||
| 2,037,306 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.4% | ||||||||
| 2,165 | Emerson Electric Co. | 121,781 | ||||||
| 2,116 | Hubbell, Inc., Class B | 137,434 | ||||||
|
|
|
|||||||
| 259,215 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 0.1% | ||||||||
| 3,142 | Sysco Corp. | 97,968 | ||||||
|
|
|
|||||||
| Food Products — 0.7% | ||||||||
| 2,798 | General Mills, Inc. | 104,142 | ||||||
| 3,235 | H.J. Heinz Co. | 172,361 | ||||||
| 3,324 | Kraft Foods, Inc., Class A | 117,104 | ||||||
| 2,562 | Sara Lee Corp. | 48,652 | ||||||
|
|
|
|||||||
| 442,259 | ||||||||
|
|
|
|||||||
| Gas Utilities — 1.1% | ||||||||
| 4,368 | AGL Resources, Inc. | 177,821 | ||||||
| 3,004 | New Jersey Resources Corp. | 134,008 | ||||||
| 3,318 | Nicor, Inc. | 181,627 | ||||||
| 3,145 | Oneok, Inc. | 232,762 | ||||||
|
|
|
|||||||
| 726,218 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 0.9% | ||||||||
| 2,298 | Darden Restaurants, Inc. | 114,348 | ||||||
| 2,790 | McDonald’s Corp. | 235,253 | ||||||
| 4,500 | Starwood Hotels & Resorts Worldwide, Inc. | 252,180 | ||||||
|
|
|
|||||||
| 601,781 | ||||||||
|
|
|
|||||||
| Household Durables — 0.6% | ||||||||
| 901 | Brookfield Residential Properties, Inc.(h) | 8,938 | ||||||
| 4,437 | Garmin Ltd. | 146,554 | ||||||
| 375 | KB Home | 3,667 | ||||||
| 4,326 | Leggett & Platt, Inc. | 105,468 | ||||||
| 2,248 | Tupperware Brands Corp. | 151,628 | ||||||
|
|
|
|||||||
| 416,255 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 62
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Household Products — 0.7% | ||||||||
| 3,134 | Clorox Co. (The) | $ | 211,357 | |||||
| 3,780 | Kimberly-Clark Corp. | 251,597 | ||||||
|
|
|
|||||||
| 462,954 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.1% | ||||||||
| 2,483 | General Electric Co. | 46,829 | ||||||
|
|
|
|||||||
| Insurance — 0.7% | ||||||||
| 2,323 | Allstate Corp. (The) | 70,921 | ||||||
| 3,909 | Arthur J. Gallagher & Co. | 111,563 | ||||||
| 4,522 | Cincinnati Financial Corp. | 131,952 | ||||||
| 4,845 | Mercury General Corp. | 191,329 | ||||||
|
|
|
|||||||
| 505,765 | ||||||||
|
|
|
|||||||
| Leisure Equipment & Products — 0.1% | ||||||||
| 2,904 | Mattel, Inc. | 79,831 | ||||||
|
|
|
|||||||
| Machinery — 0.6% | ||||||||
| 1,999 | Briggs & Stratton Corp. | 39,700 | ||||||
| 1,741 | Caterpillar, Inc. | 185,347 | ||||||
| 4,144 | Eaton Corp. | 213,209 | ||||||
|
|
|
|||||||
| 438,256 | ||||||||
|
|
|
|||||||
| Media — 0.1% | ||||||||
| 2,311 | McGraw-Hill Cos., Inc. (The) | 96,854 | ||||||
|
|
|
|||||||
| Metals & Mining — 0.1% | ||||||||
| 2,519 | Commercial Metals Co. | 36,148 | ||||||
|
|
|
|||||||
| Multi Utilities — 3.0% | ||||||||
| 3,852 | Alliant Energy Corp. | 156,622 | ||||||
| 4,161 | Black Hills Corp. | 125,205 | ||||||
| 4,390 | CenterPoint Energy, Inc. | 84,947 | ||||||
| 4,247 | CMS Energy Corp. | 83,623 | ||||||
| 3,888 | Dominion Resources, Inc. | 187,674 | ||||||
| 4,353 | DTE Energy Co. | 217,737 | ||||||
| 4,974 | Integrys Energy Group, Inc. | 257,852 | ||||||
| 4,772 | NiSource, Inc. | 96,633 | ||||||
| 2,864 | OGE Energy Corp. | 144,117 | ||||||
| 3,448 | PG&E Corp. | 144,919 | ||||||
| 3,885 | Public Service Enterprise Group, Inc. | 126,806 | ||||||
| 4,196 | SCANA Corp. | 165,197 | ||||||
| 2,696 | Sempra Energy | 142,564 | ||||||
| 4,265 | TECO Energy, Inc. | 80,566 | ||||||
|
|
|
|||||||
| 2,014,462 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 0.4% | ||||||||
| 2,950 | Chevron Corp. | 303,378 | ||||||
|
|
|
|||||||
| Paper & Forest Products — 0.2% | ||||||||
| 3,450 | MeadWestvaco Corp. | 114,919 | ||||||
|
|
|
|||||||
| Personal Products — 0.1% | ||||||||
| 2,676 | Avon Products, Inc. | 74,928 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
63 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Pharmaceuticals — 0.8% | ||||||||
| 4,404 | Bristol-Myers Squibb Co. | $ | 127,540 | |||||
| 5,017 | Eli Lilly & Co. | 188,288 | ||||||
| 3,781 | Merck & Co., Inc. | 133,431 | ||||||
| 3,808 | Pfizer, Inc. | 78,445 | ||||||
|
|
|
|||||||
| 527,704 | ||||||||
|
|
|
|||||||
| Real Estate Management & Development — 0.3% | ||||||||
| 8,800 | Brookfield Office Properties, Inc. | 169,664 | ||||||
|
|
|
|||||||
| REITs — Apartments — 4.4% | ||||||||
| 2,500 | American Campus Communities, Inc. | 88,800 | ||||||
| 6,900 | AvalonBay Communities, Inc. | 885,960 | ||||||
| 6,900 | Camden Property Trust | 438,978 | ||||||
| 7,800 | Campus Crest Communities, Inc. | 100,932 | ||||||
| 21,000 | Equity Residential | 1,260,000 | ||||||
| 1,200 | Essex Property Trust, Inc. | 162,348 | ||||||
|
|
|
|||||||
| 2,937,018 | ||||||||
|
|
|
|||||||
| REITs — Diversified — 3.2% | ||||||||
| 5,022 | American Assets Trust, Inc. | 112,744 | ||||||
| 3,600 | CoreSite Realty Corp. | 59,040 | ||||||
| 1,700 | Digital Realty Trust, Inc. | 105,026 | ||||||
| 13,700 | DuPont Fabros Technology, Inc. | 345,240 | ||||||
| 6,100 | Entertainment Properties Trust | 284,870 | ||||||
| 13,500 | Liberty Property Trust | 439,830 | ||||||
| 8,900 | Vornado Realty Trust | 829,302 | ||||||
|
|
|
|||||||
| 2,176,052 | ||||||||
|
|
|
|||||||
| REITs — Healthcare — 2.6% | ||||||||
| 18,700 | HCP, Inc. | 686,103 | ||||||
| 3,400 | Health Care REIT, Inc. | 178,262 | ||||||
| 14,800 | Nationwide Health Properties, Inc. | 612,868 | ||||||
| 14,400 | Omega Healthcare Investors, Inc. | 302,544 | ||||||
|
|
|
|||||||
| 1,779,777 | ||||||||
|
|
|
|||||||
| REITs — Hotels — 1.3% | ||||||||
| 32,600 | Host Hotels & Resorts, Inc. | 552,570 | ||||||
| 7,700 | Pebblebrook Hotel Trust | 155,463 | ||||||
| 8,500 | RLJ Lodging Trust | 147,645 | ||||||
|
|
|
|||||||
| 855,678 | ||||||||
|
|
|
|||||||
| REITs — Manufactured Homes — 0.3% | ||||||||
| 3,100 | Equity Lifestyle Properties, Inc. | 193,564 | ||||||
|
|
|
|||||||
| REITs — Office Property — 3.2% | ||||||||
| 3,000 | Alexandria Real Estate Equities, Inc. | 232,260 | ||||||
| 14,600 | BioMed Realty Trust, Inc. | 280,904 | ||||||
| 9,000 | Boston Properties, Inc. | 955,440 | ||||||
| 2,100 | Corporate Office Properties Trust | 65,331 | ||||||
| 11,700 | Kilroy Realty Corp. | 462,033 | ||||||
| 6,600 | Piedmont Office Realty Trust, Inc., Class A | 134,574 | ||||||
|
|
|
|||||||
| 2,130,542 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 64
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| REITs — Regional Malls — 3.8% | ||||||||
| 11,400 | Macerich Co. (The) | $ | 609,900 | |||||
| 16,000 | Simon Property Group, Inc. | 1,859,680 | ||||||
| 1,100 | Taubman Centers, Inc. | 65,120 | ||||||
|
|
|
|||||||
| 2,534,700 | ||||||||
|
|
|
|||||||
| REITs — Shopping Centers — 2.3% | ||||||||
| 19,500 | Developers Diversified Realty Corp. | 274,950 | ||||||
| 6,000 | Federal Realty Investment Trust | 511,080 | ||||||
| 25,600 | Kite Realty Group Trust | 127,488 | ||||||
| 9,400 | Ramco-Gershenson Properties Trust | 116,372 | ||||||
| 9,300 | Regency Centers Corp. | 408,921 | ||||||
| 12,200 | Retail Opportunity Investments Corp. | 131,272 | ||||||
|
|
|
|||||||
| 1,570,083 | ||||||||
|
|
|
|||||||
| REITs — Single Tenant — 0.3% | ||||||||
| 6,200 | National Retail Properties, Inc. | 151,962 | ||||||
| 1,600 | Realty Income Corp. | 53,584 | ||||||
|
|
|
|||||||
| 205,546 | ||||||||
|
|
|
|||||||
| REITs — Storage — 1.9% | ||||||||
| 20,500 | Extra Space Storage, Inc. | 437,265 | ||||||
| 7,500 | Public Storage | 855,075 | ||||||
|
|
|
|||||||
| 1,292,340 | ||||||||
|
|
|
|||||||
| REITs — Warehouse/Industrials — 1.4% | ||||||||
| 32,000 | DCT Industrial Trust, Inc. | 167,360 | ||||||
| 15,400 | First Potomac Realty Trust | 235,774 | ||||||
| 15,800 | ProLogis, Inc. | 566,272 | ||||||
|
|
|
|||||||
| 969,406 | ||||||||
|
|
|
|||||||
| Specialty Retail — 0.1% | ||||||||
| 2,440 | Home Depot, Inc. (The) | 88,377 | ||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
| 2,613 | VF Corp. | 283,667 | ||||||
|
|
|
|||||||
| Thrifts & Mortgage Finance — 0.4% | ||||||||
| 3,396 | Astoria Financial Corp. | 43,435 | ||||||
| 4,017 | First Niagara Financial Group, Inc. | 53,024 | ||||||
| 4,303 | Hudson City Bancorp, Inc. | 35,242 | ||||||
| 5,025 | New York Community Bancorp, Inc. | 75,325 | ||||||
| 4,084 | People’s United Financial, Inc. | 54,889 | ||||||
|
|
|
|||||||
| 261,915 | ||||||||
|
|
|
|||||||
| Tobacco — 1.3% | ||||||||
| 5,485 | Altria Group, Inc. | 144,859 | ||||||
| 4,948 | Lorillard, Inc. | 538,689 | ||||||
| 4,312 | Universal Corp. | 162,433 | ||||||
|
|
|
|||||||
| 845,981 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 0.3% | ||||||||
| 2,965 | Watsco, Inc. | 201,590 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $29,797,543) |
31,059,620 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
65 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Preferred Stocks — 1.7% | ||||||||
| Convertible Preferred Stocks — 1.2% | ||||||||
| Automotive — 0.9% | ||||||||
| 10,600 | General Motors Co., Series B, 4.750% | $ | 516,644 | |||||
| 1,250 | Goodyear Tire & Rubber Co. (The), 5.875% | 69,525 | ||||||
|
|
|
|||||||
| 586,169 | ||||||||
|
|
|
|||||||
| Banking — 0.1% | ||||||||
| 275 | Sovereign Capital Trust IV, 4.375% | 13,612 | ||||||
| 70 | Wells Fargo & Co., Series L, Class A, 7.500% | 74,200 | ||||||
|
|
|
|||||||
| 87,812 | ||||||||
|
|
|
|||||||
| Construction Machinery — 0.0% | ||||||||
| 150 | United Rentals Trust I, 6.500% | 6,788 | ||||||
|
|
|
|||||||
| Consumer Products — 0.1% | ||||||||
| 725 | Newell Financial Trust I, 5.250% | 34,075 | ||||||
|
|
|
|||||||
| REITs — Healthcare — 0.1% | ||||||||
| 1,450 | Health Care REIT, Inc., Series I, 6.500% | 74,689 | ||||||
|
|
|
|||||||
| Total Convertible Preferred Stocks (Identified Cost $810,126) |
789,533 | |||||||
|
|
|
|||||||
| Non-Convertible Preferred Stocks — 0.5% | ||||||||
| Banking — 0.2% | ||||||||
| 4,125 | Countrywide Capital IV, 6.750% | 102,094 | ||||||
|
|
|
|||||||
| Non-Captive Diversified — 0.3% | ||||||||
| 4,375 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% | 109,506 | ||||||
| 129 | Ally Financial, Inc., Series G, 7.000%, 144A | 121,236 | ||||||
|
|
|
|||||||
| 230,742 | ||||||||
|
|
|
|||||||
| Total Non-Convertible Preferred Stocks (Identified Cost $215,036) |
332,836 | |||||||
|
|
|
|||||||
| Total Preferred Stocks (Identified Cost $1,025,162) |
1,122,369 | |||||||
|
|
|
|||||||
| Principal Amount (‡) |
||||||||
| Short-Term Investments — 3.8% | ||||||||
| $ | 2,579,324 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $2,579,324 on 7/01/2011 collateralized by $2,190,000 Federal Home Loan
Mortgage Corp., 3.000% due 8/11/2017 valued at $2,220,113; $410,000 Federal National Mortgage Association, 2.250% due 3/15/2016 valued at $419,632 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,579,324) |
2,579,324 | |||||
|
|
|
|||||||
| Total Investments — 98.7% (Identified Cost $63,581,180)(a) |
66,580,337 | |||||||
| Other assets less liabilities —1.3% | 874,397 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 67,454,734 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 66
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| * | Formerly Natixis Income Diversified Portfolio. | |||||||
| (‡) | Principal amount stated in U.S. dollars unless otherwise noted. | |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (††) | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $63,636,049 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 | $ | 6,220,013 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,275,725 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 2,944,288 | ||||||
|
|
|
|||||||
| (b) | Variable rate security. Rate as of June 30, 2011 is disclosed. | |||||||
| (c) | Illiquid security. At June 30, 2011, the value of these securities amounted to $406,299 or 0.6% of net assets. | |||||||
| (d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||||
| (e) | All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts. | |||||||
| (f) | Treasury Inflation Protected Security (TIPS). | |||||||
| (g) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. | |||||||
| (h) | 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 June 30, 2011, the value of Rule 144A holdings amounted to $4,779,772 or 7.1% of net assets. | |||||||
| ABS | Asset-Backed Securities | |||||||
| ARMs | Adjustable Rate Mortgages | |||||||
| 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 | |||||||
| COP | Colombian Peso | |||||||
| EUR | Euro | |||||||
| IDR | Indonesian Rupiah | |||||||
| INR | Indian Rupee | |||||||
| KRW | South Korean Won | |||||||
See accompanying notes to financial statements.
67 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis Diversified Income Fund* – (continued)
| MXN | Mexican Peso | |||||
| NZD | New Zealand Dollar | |||||
| PHP | Philippine Peso | |||||
| SGD | Singapore Dollar |
At June 30, 2011, the Fund had the following open forward foreign currency contracts:
| Contract to Buy/Sell1 |
Delivery Date |
Currency | Units | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Sell | 07/29/2011 | Euro | 210,000 | $ | 304,328 | $ | 3,000 | |||||||||||
| Sell | 07/29/2011 | Euro | 115,000 | 166,656 | (2,512 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| Total | $ | 488 | ||||||||||||||||
|
|
|
|||||||||||||||||
1 Counterparty is Barclays.
Industry Summary at June 30, 2011 (Unaudited)
| Treasuries |
15.4 | % | ||
| REITs — Apartments |
4.4 | |||
| REITs — Regional Malls |
3.8 | |||
| REITs — Diversified |
3.2 | |||
| REITs — Office Property |
3.2 | |||
| Electric Utilities |
3.0 | |||
| Multi Utilities |
3.0 | |||
| Retailers |
2.8 | |||
| Banking |
2.8 | |||
| REITs — Healthcare |
2.7 | |||
| Technology |
2.6 | |||
| REITs — Shopping Centers |
2.3 | |||
| Wirelines |
2.3 | |||
| Healthcare |
2.0 | |||
| Other Investments, less than 2% each |
41.4 | |||
| Short-Term Investments |
3.8 | |||
|
|
|
|||
| Total Investments |
98.7 | |||
| Other assets less liabilities (including open forward foreign currency contracts) |
1.3 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
| 64
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund*
| Shares | Description | Value (†) | ||||||
| Common Stocks — 97.3% of Net Assets | ||||||||
| Aerospace & Defense — 2.4% | ||||||||
| 50,100 | Boeing Co. (The) | $ | 3,703,893 | |||||
| 12,300 | General Dynamics Corp. | 916,596 | ||||||
| 54,111 | GeoEye, Inc.(b) | 2,023,751 | ||||||
| 16,300 | Northrop Grumman Corp. | 1,130,405 | ||||||
| 15,036 | TransDigm Group, Inc.(b) | 1,371,133 | ||||||
|
|
|
|||||||
| 9,145,778 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics — 1.8% | ||||||||
| 41,782 | Expeditors International of Washington, Inc. | 2,138,821 | ||||||
| 25,100 | FedEx Corp. | 2,380,735 | ||||||
| 33,327 | United Parcel Service, Inc., Class B | 2,430,538 | ||||||
|
|
|
|||||||
| 6,950,094 | ||||||||
|
|
|
|||||||
| Auto Components — 0.7% | ||||||||
| 52,138 | Lear Corp. | 2,788,340 | ||||||
|
|
|
|||||||
| Automobiles — 0.5% | ||||||||
| 22,300 | Toyota Motor Corp., Sponsored ADR | 1,837,966 | ||||||
|
|
|
|||||||
| Beverages — 1.1% | ||||||||
| 23,093 | Coca-Cola Co. (The) | 1,553,928 | ||||||
| 55,597 | Coca-Cola Enterprises, Inc. | 1,622,320 | ||||||
| 11,339 | Diageo PLC, Sponsored ADR | 928,324 | ||||||
|
|
|
|||||||
| 4,104,572 | ||||||||
|
|
|
|||||||
| Biotechnology — 1.8% | ||||||||
| 30,056 | Alexion Pharmaceuticals, Inc.(b) | 1,413,534 | ||||||
| 42,746 | Amgen, Inc.(b) | 2,494,229 | ||||||
| 7,524 | Biogen Idec, Inc.(b) | 804,466 | ||||||
| 5,703 | Pharmasset, Inc.(b) | 639,877 | ||||||
| 12,924 | Regeneron Pharmaceuticals, Inc.(b) | 732,920 | ||||||
| 18,959 | Vertex Pharmaceuticals, Inc.(b) | 985,678 | ||||||
|
|
|
|||||||
| 7,070,704 | ||||||||
|
|
|
|||||||
| Building Products — 0.3% | ||||||||
| 23,337 | Armstrong World Industries, Inc. | 1,063,234 | ||||||
|
|
|
|||||||
| Capital Markets — 3.4% | ||||||||
| 36,368 | Franklin Resources, Inc. | 4,774,755 | ||||||
| 11,925 | Greenhill & Co., Inc. | 641,803 | ||||||
| 77,914 | Legg Mason, Inc. | 2,552,463 | ||||||
| 51,400 | Raymond James Financial, Inc. | 1,652,510 | ||||||
| 114,564 | SEI Investments Co. | 2,578,836 | ||||||
| 17,128 | Virtus Investment Partners, Inc.(b) | 1,039,669 | ||||||
|
|
|
|||||||
| 13,240,036 | ||||||||
|
|
|
|||||||
| Chemicals — 1.8% | ||||||||
| 97,633 | Chemtura Corp.(b) | 1,776,921 | ||||||
| 35,622 | Cytec Industries, Inc. | 2,037,222 | ||||||
| 43,976 | Kronos Worldwide, Inc. | 1,383,045 | ||||||
| 8,131 | Quaker Chemical Corp. | 349,714 | ||||||
| 26,720 | Rockwood Holdings, Inc.(b) | 1,477,349 | ||||||
|
|
|
|||||||
| 7,024,251 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
69 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Commercial Banks — 2.2% | ||||||||
| 188,398 | KeyCorp | $ | 1,569,355 | |||||
| 21,093 | Prosperity Bancshares, Inc. | 924,295 | ||||||
| 25,125 | SVB Financial Group(b) | 1,500,214 | ||||||
| 159,300 | Wells Fargo & Co. | 4,469,958 | ||||||
|
|
|
|||||||
| 8,463,822 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 1.5% | ||||||||
| 93,600 | Republic Services, Inc. | 2,887,560 | ||||||
| 31,612 | Rollins, Inc. | 644,253 | ||||||
| 19,937 | Stericycle, Inc.(b) | 1,776,785 | ||||||
| 25,696 | Viad Corp. | 572,764 | ||||||
|
|
|
|||||||
| 5,881,362 | ||||||||
|
|
|
|||||||
| Communications Equipment — 2.8% | ||||||||
| 22,920 | Acme Packet, Inc.(b) | 1,607,380 | ||||||
| 194,864 | Cisco Systems, Inc. | 3,041,827 | ||||||
| 37,110 | NETGEAR, Inc.(b) | 1,622,449 | ||||||
| 54,423 | Qualcomm, Inc. | 3,090,682 | ||||||
| 35,830 | Riverbed Technology, Inc.(b) | 1,418,510 | ||||||
|
|
|
|||||||
| 10,780,848 | ||||||||
|
|
|
|||||||
| Computers & Peripherals — 0.3% | ||||||||
| 29,795 | Western Digital Corp.(b) | 1,083,942 | ||||||
|
|
|
|||||||
| Consumer Finance — 1.6% | ||||||||
| 53,557 | American Express Co. | 2,768,897 | ||||||
| 127,712 | Discover Financial Services | 3,416,296 | ||||||
|
|
|
|||||||
| 6,185,193 | ||||||||
|
|
|
|||||||
| Containers & Packaging — 0.7% | ||||||||
| 34,893 | Crown Holdings, Inc.(b) | 1,354,547 | ||||||
| 41,226 | Temple-Inland, Inc. | 1,226,061 | ||||||
|
|
|
|||||||
| 2,580,608 | ||||||||
|
|
|
|||||||
| Diversified Consumer Services — 0.1% | ||||||||
| 8,090 | Ascent Media Corp., Class A(b) | 428,527 | ||||||
|
|
|
|||||||
| Diversified Financial Services — 2.9% | ||||||||
| 11,900 | CME Group, Inc., Class A | 3,469,921 | ||||||
| 99,400 | JPMorgan Chase & Co.(b) | 4,069,436 | ||||||
| 94,971 | NASDAQ OMX Group, Inc. (The)(b) | 2,402,766 | ||||||
| 62,586 | PHH Corp.(b) | 1,284,265 | ||||||
|
|
|
|||||||
| 11,226,388 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 1.4% | ||||||||
| 46,775 | Babcock & Wilcox Co.(b) | 1,296,135 | ||||||
| 26,121 | Polypore International, Inc.(b) | 1,772,049 | ||||||
| 25,900 | Rockwell Automation, Inc. | 2,247,084 | ||||||
|
|
|
|||||||
| 5,315,268 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.5% | ||||||||
| 35,803 | Amphenol Corp., Class A | 1,933,004 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 70
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Energy Equipment & Services — 3.4% | ||||||||
| 9,154 | CARBO Ceramics, Inc. | $ | 1,491,644 | |||||
| 19,162 | Dresser-Rand Group, Inc.(b) | 1,029,957 | ||||||
| 24,239 | Helix Energy Solutions Group, Inc.(b) | 401,398 | ||||||
| 16,835 | Lufkin Industries, Inc. | 1,448,652 | ||||||
| 106,628 | McDermott International, Inc.(b) | 2,112,301 | ||||||
| 30,700 | National-Oilwell Varco, Inc. | 2,401,047 | ||||||
| 22,096 | Schlumberger Ltd. | 1,909,094 | ||||||
| 33,900 | Transocean Ltd. | 2,188,584 | ||||||
|
|
|
|||||||
| 12,982,677 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 0.3% | ||||||||
| 26,300 | Walgreen Co. | 1,116,698 | ||||||
|
|
|
|||||||
| Food Products — 2.6% | ||||||||
| 35,790 | Corn Products International, Inc. | 1,978,471 | ||||||
| 144,575 | Danone SA, Sponsored ADR | 2,161,396 | ||||||
| 20,623 | Diamond Foods, Inc. | 1,574,360 | ||||||
| 39,933 | J.M. Smucker Co. (The) | 3,052,478 | ||||||
| 16,903 | McCormick & Co., Inc. | 837,882 | ||||||
| 8,827 | Mead Johnson Nutrition Co. | 596,264 | ||||||
|
|
|
|||||||
| 10,200,851 | ||||||||
|
|
|
|||||||
| Gas Utilities — 0.9% | ||||||||
| 58,620 | Questar Corp. | 1,038,160 | ||||||
| 73,740 | UGI Corp. | 2,351,569 | ||||||
|
|
|
|||||||
| 3,389,729 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 4.1% | ||||||||
| 37,421 | Alere, Inc.(b) | 1,370,357 | ||||||
| 71,500 | Baxter International, Inc. | 4,267,835 | ||||||
| 73,502 | CareFusion Corp.(b) | 1,997,049 | ||||||
| 30,176 | DENTSPLY International, Inc. | 1,149,102 | ||||||
| 16,059 | Edwards Lifesciences Corp.(b) | 1,400,024 | ||||||
| 93,616 | Medtronic, Inc. | 3,607,025 | ||||||
| 30,975 | Zimmer Holdings, Inc.(b) | 1,957,620 | ||||||
|
|
|
|||||||
| 15,749,012 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 2.6% | ||||||||
| 28,764 | Healthspring, Inc.(b) | 1,326,308 | ||||||
| 15,936 | HMS Holdings Corp.(b) | 1,225,001 | ||||||
| 24,202 | Humana, Inc. | 1,949,229 | ||||||
| 36,119 | Lincare Holdings, Inc. | 1,057,203 | ||||||
| 13,621 | MEDNAX, Inc.(b) | 983,300 | ||||||
| 25,004 | Universal Health Services, Inc., Class B | 1,288,456 | ||||||
| 43,532 | WellCare Health Plans, Inc.(b) | 2,237,980 | ||||||
|
|
|
|||||||
| 10,067,477 | ||||||||
|
|
|
|||||||
| Health Care Technology — 0.5% | ||||||||
| 32,428 | SXC Health Solutions Corp.(b) | 1,910,658 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
71 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Hotels, Restaurants & Leisure — 4.3% | ||||||||
| 40,771 | Arcos Dorados Holdings, Inc., Class A | $ | 859,860 | |||||
| 121,600 | Carnival Corp. | 4,575,808 | ||||||
| 37,033 | Interval Leisure Group, Inc.(b) | 506,982 | ||||||
| 64,800 | Marriott International, Inc., Class A | 2,299,752 | ||||||
| 22,500 | McDonald’s Corp. | 1,897,200 | ||||||
| 20,252 | Six Flags Entertainment Corp. | 758,438 | ||||||
| 17,100 | Starwood Hotels & Resorts Worldwide, Inc. | 958,284 | ||||||
| 86,720 | Wyndham Worldwide Corp. | 2,918,128 | ||||||
| 13,063 | Wynn Resorts Ltd. | 1,875,063 | ||||||
|
|
|
|||||||
| 16,649,515 | ||||||||
|
|
|
|||||||
| Household Durables — 0.7% | ||||||||
| 19,800 | Fortune Brands, Inc. | 1,262,646 | ||||||
| 23,801 | Tempur-Pedic International, Inc.(b) | 1,614,184 | ||||||
|
|
|
|||||||
| 2,876,830 | ||||||||
|
|
|
|||||||
| Household Products — 1.1% | ||||||||
| 13,471 | Clorox Co. (The) | 908,484 | ||||||
| 21,000 | Colgate-Palmolive Co. | 1,835,610 | ||||||
| 25,768 | Procter & Gamble Co. (The) | 1,638,072 | ||||||
|
|
|
|||||||
| 4,382,166 | ||||||||
|
|
|
|||||||
| Independent Power Producers & Energy Traders — 0.2% | ||||||||
| 54,800 | Calpine Corp.(b) | 883,924 | ||||||
|
|
|
|||||||
| Insurance — 0.9% | ||||||||
| 81,700 | Allstate Corp. (The) | 2,494,301 | ||||||
| 83,959 | Old Republic International Corp. | 986,518 | ||||||
|
|
|
|||||||
| 3,480,819 | ||||||||
|
|
|
|||||||
| Internet & Catalog Retail — 3.2% | ||||||||
| 21,161 | Amazon.com, Inc.(b) | 4,327,213 | ||||||
| 18,882 | Blue Nile, Inc.(b) | 830,430 | ||||||
| 60,864 | Expedia, Inc. | 1,764,447 | ||||||
| 109,858 | Liberty Media Corp. - Interactive, Class A(b) | 1,842,319 | ||||||
| 7,916 | Netflix, Inc.(b) | 2,079,454 | ||||||
| 3,127 | Priceline.com, Inc.(b) | 1,600,805 | ||||||
|
|
|
|||||||
| 12,444,668 | ||||||||
|
|
|
|||||||
| Internet Software & Services — 2.8% | ||||||||
| 26,392 | Ancestry.com, Inc.(b) | 1,092,365 | ||||||
| 6,898 | Google, Inc., Class A(b) | 3,493,009 | ||||||
| 48,137 | IAC/InterActiveCorp(b) | 1,837,389 | ||||||
| 18,399 | MercadoLibre, Inc. | 1,459,777 | ||||||
| 41,686 | Rackspace Hosting, Inc.(b) | 1,781,659 | ||||||
| 9,517 | SINA Corp.(b)(c) | 990,720 | ||||||
|
|
|
|||||||
| 10,654,919 | ||||||||
|
|
|
|||||||
| IT Services — 4.9% | ||||||||
| 20,711 | Alliance Data Systems Corp.(b) | 1,948,284 | ||||||
| 18,332 | Automatic Data Processing, Inc. | 965,730 | ||||||
See accompanying notes to financial statements.
| 72
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| IT Services — continued | ||||||||
| 29,567 | Fidelity National Information Services, Inc. | $ | 910,368 | |||||
| 12,600 | MasterCard, Inc., Class A | 3,796,884 | ||||||
| 34,534 | Teradata Corp.(b) | 2,078,947 | ||||||
| 85,341 | Visa, Inc., Class A | 7,190,832 | ||||||
| 36,260 | Wright Express Corp.(b) | 1,888,058 | ||||||
|
|
|
|||||||
| 18,779,103 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 1.7% | ||||||||
| 28,503 | Illumina, Inc.(b) | 2,142,000 | ||||||
| 14,298 | Mettler-Toledo International, Inc.(b) | 2,411,644 | ||||||
| 34,664 | PerkinElmer, Inc. | 932,808 | ||||||
| 33,046 | Pharmaceutical Product Development, Inc. | 886,955 | ||||||
|
|
|
|||||||
| 6,373,407 | ||||||||
|
|
|
|||||||
| Machinery — 3.5% | ||||||||
| 71,409 | Actuant Corp., Class A | 1,915,903 | ||||||
| 9,300 | Caterpillar, Inc. | 990,078 | ||||||
| 59,300 | Illinois Tool Works, Inc. | 3,349,857 | ||||||
| 54,121 | John Bean Technologies Corp. | 1,045,618 | ||||||
| 26,883 | Kadant, Inc.(b) | 847,083 | ||||||
| 9,294 | Middleby Corp. (The)(b) | 874,008 | ||||||
| 23,828 | SPX Corp. | 1,969,622 | ||||||
| 35,102 | TriMas Corp.(b) | 868,775 | ||||||
| 23,361 | WABCO Holdings, Inc.(b) | 1,613,311 | ||||||
|
|
|
|||||||
| 13,474,255 | ||||||||
|
|
|
|||||||
| Marine — 0.4% | ||||||||
| 26,826 | Kirby Corp.(b) | 1,520,229 | ||||||
|
|
|
|||||||
| Media — 3.1% | ||||||||
| 156,100 | Comcast Corp., Special Class A | 3,782,303 | ||||||
| 32,351 | Liberty Media-Starz, Series A(b) | 2,434,089 | ||||||
| 30,746 | Madison Square Garden, Inc., Class A(b) | 846,437 | ||||||
| 77,085 | Omnicom Group, Inc. | 3,712,414 | ||||||
| 29,300 | Walt Disney Co. (The) | 1,143,872 | ||||||
|
|
|
|||||||
| 11,919,115 | ||||||||
|
|
|
|||||||
| Metals & Mining — 0.6% | ||||||||
| 43,572 | Reliance Steel & Aluminum Co. | 2,163,350 | ||||||
|
|
|
|||||||
| Multi Utilities — 0.3% | ||||||||
| 51,956 | MDU Resources Group, Inc. | 1,169,010 | ||||||
|
|
|
|||||||
| Multiline Retail — 0.8% | ||||||||
| 8,002 | Big Lots, Inc.(b) | 265,266 | ||||||
| 37,579 | Dollar Tree, Inc.(b) | 2,503,513 | ||||||
| 3,457 | Target Corp. | 162,168 | ||||||
|
|
|
|||||||
| 2,930,947 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 5.5% | ||||||||
| 24,800 | Apache Corp. | 3,060,072 | ||||||
| 41,003 | Brigham Exploration Co.(b) | 1,227,220 | ||||||
See accompanying notes to financial statements.
73 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description | Value (†) | ||||||
| Oil, Gas & Consumable Fuels — continued | ||||||||
| 77,400 | Cloud Peak Energy, Inc.(b) | $ | 1,648,620 | |||||
| 16,352 | Concho Resources, Inc.(b) | 1,501,931 | ||||||
| 55,889 | QEP Resources, Inc. | 2,337,837 | ||||||
| 48,400 | Range Resources Corp. | 2,686,200 | ||||||
| 19,998 | SemGroup Corp., Class A(b) | 513,348 | ||||||
| 19,406 | SM Energy Co. | 1,425,953 | ||||||
| 55,100 | Ultra Petroleum Corp.(b) | 2,523,580 | ||||||
| 146,300 | Williams Cos., Inc. (The) | 4,425,575 | ||||||
|
|
|
|||||||
| 21,350,336 | ||||||||
|
|
|
|||||||
| Personal Products — 0.7% | ||||||||
| 16,466 | Estee Lauder Cos., Inc. (The), Class A | 1,732,059 | ||||||
| 76,498 | Prestige Brands Holdings, Inc.(b) | 982,234 | ||||||
|
|
|
|||||||
| 2,714,293 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 1.9% | ||||||||
| 35,251 | Merck & Co., Inc. | 1,244,008 | ||||||
| 35,472 | Novartis AG, ADR | 2,167,694 | ||||||
| 21,856 | Perrigo Co. | 1,920,487 | ||||||
| 41,848 | Valeant Pharmaceuticals International, Inc. | 2,174,422 | ||||||
|
|
|
|||||||
| 7,506,611 | ||||||||
|
|
|
|||||||
| Professional Services — 0.3% | ||||||||
| 35,231 | Verisk Analytics, Inc., Class A(b) | 1,219,697 | ||||||
|
|
|
|||||||
| Real Estate Management & Development — 0.7% | ||||||||
| 63,218 | CB Richard Ellis Group, Inc., Class A(b) | 1,587,404 | ||||||
| 13,540 | Jones Lang LaSalle, Inc. | 1,276,822 | ||||||
|
|
|
|||||||
| 2,864,226 | ||||||||
|
|
|
|||||||
| REITs — Diversified — 0.8% | ||||||||
| 17,585 | Digital Realty Trust, Inc. | 1,086,401 | ||||||
| 39,115 | Potlatch Corp. | 1,379,586 | ||||||
| 27,294 | Weyerhaeuser Co. | 596,647 | ||||||
|
|
|
|||||||
| 3,062,634 | ||||||||
|
|
|
|||||||
| REITs — Healthcare — 0.3% | ||||||||
| 71,405 | Sabra Healthcare REIT, Inc. | 1,193,178 | ||||||
|
|
|
|||||||
| Road & Rail — 1.1% | ||||||||
| 97,492 | Avis Budget Group, Inc.(b) | 1,666,138 | ||||||
| 78,106 | Celadon Group, Inc.(b) | 1,090,360 | ||||||
| 27,368 | Kansas City Southern(b) | 1,623,744 | ||||||
|
|
|
|||||||
| 4,380,242 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 5.4% | ||||||||
| 24,665 | Altera Corp. | 1,143,223 | ||||||
| 16,998 | Analog Devices, Inc. | 665,302 | ||||||
| 295,500 | Applied Materials, Inc. | 3,844,455 | ||||||
| 62,107 | ARM Holdings PLC, Sponsored ADR | 1,765,702 | ||||||
| 23,749 | Avago Technologies Ltd. | 902,462 | ||||||
See accompanying notes to financial statements.
| 74
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Shares | Description |
Value (†) | ||||||
| Semiconductors & Semiconductor Equipment — continued | ||||||||
| 204,441 | Integrated Device Technology, Inc.(b) | $ | 1,606,906 | |||||
| 280,600 | Intel Corp. | 6,218,096 | ||||||
| 33,349 | Microchip Technology, Inc. | 1,264,260 | ||||||
| 103,000 | Texas Instruments, Inc. | 3,381,490 | ||||||
|
|
|
|||||||
| 20,791,896 | ||||||||
|
|
|
|||||||
| Software — 4.7% | ||||||||
| 17,399 | Citrix Systems, Inc.(b) | 1,391,920 | ||||||
| 21,791 | FactSet Research Systems, Inc. | 2,229,655 | ||||||
| 65,201 | Fortinet, Inc.(b) | 1,779,335 | ||||||
| 41,632 | Informatica Corp.(b) | 2,432,558 | ||||||
| 28,714 | MICROS Systems, Inc.(b) | 1,427,373 | ||||||
| 45,126 | Microsoft Corp. | 1,173,276 | ||||||
| 106,016 | Oracle Corp. | 3,488,986 | ||||||
| 31,993 | QLIK Technologies, Inc.(b) | 1,089,682 | ||||||
| 12,113 | Salesforce.com, Inc.(b) | 1,804,595 | ||||||
| 50,659 | Synopsys, Inc.(b) | 1,302,443 | ||||||
|
|
|
|||||||
| 18,119,823 | ||||||||
|
|
|
|||||||
| Specialty Retail — 2.2% | ||||||||
| 18,389 | Abercrombie & Fitch Co., Class A | 1,230,592 | ||||||
| 4,611 | AutoZone, Inc.(b) | 1,359,553 | ||||||
| 39,500 | CarMax, Inc.(b) | 1,306,265 | ||||||
| 24,316 | Home Depot, Inc. (The) | 880,726 | ||||||
| 16,620 | Lowe’s Cos., Inc. | 387,412 | ||||||
| 32,955 | PetSmart, Inc. | 1,495,168 | ||||||
| 108,718 | Sally Beauty Holdings, Inc.(b) | 1,859,078 | ||||||
|
|
|
|||||||
| 8,518,794 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 1.8% | ||||||||
| 29,383 | Fossil, Inc.(b) | 3,458,967 | ||||||
| 22,864 | Lululemon Athletica, Inc.(b) | 2,556,652 | ||||||
| 10,400 | NIKE, Inc., Class B | 935,792 | ||||||
|
|
|
|||||||
| 6,951,411 | ||||||||
|
|
|
|||||||
| Water Utilities — 0.9% | ||||||||
| 110,863 | American Water Works Co., Inc. | 3,264,915 | ||||||
|
|
|
|||||||
| Wireless Telecommunication Services — 0.3% | ||||||||
| 59,835 | NTELOS Holdings Corp. | 1,221,831 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $300,726,805) |
375,383,183 | |||||||
|
|
|
|||||||
| Closed End Investment Companies — 0.4% | ||||||||
| 93,158 | Ares Capital Corp. (Identified Cost $1,239,646) |
1,497,049 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
75 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
| Principal Amount |
Description | Value (†) | ||||||
| Short-Term Investments — 3.0% | ||||||||
| $ | 11,463,991 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $11,463,991 on 7/01/2011 collateralized by $2,040,000 Federal Farm
Credit Bank, 2.750% due 5/16/2017 valued at $2,050,200; $5,610,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $5,687,138; $3,970,000 Federal Home Loan Mortgage Corp., 2.000% due 12/03/2015 valued at $3,970,000 including accrued
interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,463,991) |
$ | 11,463,991 | ||||
|
|
|
|||||||
| Total Investments — 100.7% (Identified Cost $313,430,442)(a) |
388,344,223 | |||||||
| Other assets less liabilities — (0.7)% | (2,520,175 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 385,824,048 | ||||||
|
|
|
|||||||
| Shares | ||||||||
| Written Options — (0.0%) | ||||||||
| Options on Securities — (0.0%) | ||||||||
| 9,400 | SINA Corp., Call expiring August 20, 2011 at 105 (Premiums Received $59,875) |
$ | (108,570 | ) | ||||
|
|
|
|||||||
| * | Formerly Natixis U.S. Diversified Portfolio. | |||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $313,430,442 for federal income tax purposes was as follows: | ||||||||
| Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 78,569,175 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,655,394 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 74,913,781 | ||||||
|
|
|
|||||||
| (b) | Non-income producing security. | |||||||
| (c) | All or a portion of this security has been pledged as collateral for outstanding options. | |||||||
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
See accompanying notes to financial statements.
| 72
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Natixis U.S. Multi-Cap Equity Fund* – (continued)
Industry Summary at June 30, 2011 (Unaudited)
| Oil, Gas & Consumable Fuels |
5.5 | % | ||
| Semiconductors & Semiconductor Equipment |
5.4 | |||
| IT Services |
4.9 | |||
| Software |
4.7 | |||
| Hotels, Restaurants & Leisure |
4.3 | |||
| Health Care Equipment & Supplies |
4.1 | |||
| Machinery |
3.5 | |||
| Capital Markets |
3.4 | |||
| Energy Equipment & Services |
3.4 | |||
| Internet & Catalog Retail |
3.2 | |||
| Media |
3.1 | |||
| Diversified Financial Services |
2.9 | |||
| Communications Equipment |
2.8 | |||
| Internet Software & Services |
2.8 | |||
| Food Products |
2.6 | |||
| Health Care Providers & Services |
2.6 | |||
| Aerospace & Defense |
2.4 | |||
| Specialty Retail |
2.2 | |||
| Commercial Banks |
2.2 | |||
| Other Investments, less than 2% each |
31.7 | |||
| Short-Term Investments |
3.0 | |||
|
|
|
|||
| Total Investments |
100.7 | |||
| Other assets less liabilities (including written options) |
(0.7 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
73 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 91.4% of Net Assets | ||||||||
| Aerospace & Defense — 0.6% | ||||||||
| 49,625 | Alliant Techsystems, Inc. | $ | 3,539,751 | |||||
|
|
|
|||||||
| Auto Components — 1.8% | ||||||||
| 218,475 | Tenneco, Inc.(b) | 9,628,193 | ||||||
|
|
|
|||||||
| Building Products — 2.3% | ||||||||
| 144,587 | A.O. Smith Corp. | 6,116,030 | ||||||
| 150,625 | Lennox International, Inc. | 6,487,419 | ||||||
|
|
|
|||||||
| 12,603,449 | ||||||||
|
|
|
|||||||
| Capital Markets — 4.4% | ||||||||
| 789,550 | Apollo Investment Corp. | 8,061,305 | ||||||
| 419,150 | Fifth Street Finance Corp. | 4,862,140 | ||||||
| 120,925 | KBW, Inc. | 2,261,298 | ||||||
| 233,675 | Waddell & Reed Financial, Inc., Class A | 8,494,086 | ||||||
|
|
|
|||||||
| 23,678,829 | ||||||||
|
|
|
|||||||
| Chemicals — 4.2% | ||||||||
| 213,075 | Scotts Miracle-Gro Co. (The), Class A | 10,932,878 | ||||||
| 262,425 | Sensient Technologies Corp. | 9,728,095 | ||||||
| 82,500 | Solutia, Inc.(b) | 1,885,125 | ||||||
|
|
|
|||||||
| 22,546,098 | ||||||||
|
|
|
|||||||
| Commercial Banks — 5.9% | ||||||||
| 538,300 | Associated Banc-Corp | 7,482,370 | ||||||
| 102,425 | Bank of Hawaii Corp. | 4,764,811 | ||||||
| 569,480 | FirstMerit Corp. | 9,402,115 | ||||||
| 232,725 | Prosperity Bancshares, Inc. | 10,198,009 | ||||||
|
|
|
|||||||
| 31,847,305 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 5.6% | ||||||||
| 97,550 | Consolidated Graphics, Inc.(b) | 5,360,372 | ||||||
| 397,600 | Corrections Corp. of America(b) | 8,608,040 | ||||||
| 246,325 | KAR Auction Services, Inc.(b) | 4,658,006 | ||||||
| 184,325 | McGrath Rentcorp | 5,175,846 | ||||||
| 203,403 | Waste Connections, Inc. | 6,453,977 | ||||||
|
|
|
|||||||
| 30,256,241 | ||||||||
|
|
|
|||||||
| Communications Equipment — 0.4% | ||||||||
| 103,275 | Calix, Inc.(b) | 2,150,186 | ||||||
|
|
|
|||||||
| Computers & Peripherals — 1.8% | ||||||||
| 422,650 | QLogic Corp.(b) | 6,728,588 | ||||||
| 185,325 | Super Micro Computer, Inc.(b) | 2,981,879 | ||||||
|
|
|
|||||||
| 9,710,467 | ||||||||
|
|
|
|||||||
| Construction & Engineering — 1.4% | ||||||||
| 219,150 | MasTec, Inc.(b) | 4,321,638 | ||||||
| 147,325 | MYR Group, Inc.(b) | 3,447,405 | ||||||
|
|
|
|||||||
| 7,769,043 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 78
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Construction Materials — 0.7% | ||||||||
| 137,725 | Eagle Materials, Inc. | $ | 3,838,396 | |||||
|
|
|
|||||||
| Consumer Finance — 1.3% | ||||||||
| 169,525 | First Cash Financial Services, Inc.(b) | 7,118,355 | ||||||
|
|
|
|||||||
| Containers & Packaging — 3.9% | ||||||||
| 240,500 | Packaging Corp. of America | 6,731,595 | ||||||
| 350,200 | Silgan Holdings, Inc. | 14,347,694 | ||||||
|
|
|
|||||||
| 21,079,289 | ||||||||
|
|
|
|||||||
| Electric Utilities — 3.0% | ||||||||
| 228,600 | Cleco Corp. | 7,966,710 | ||||||
| 250,125 | El Paso Electric Co. | 8,079,038 | ||||||
|
|
|
|||||||
| 16,045,748 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 2.3% | ||||||||
| 159,675 | EnerSys(b) | 5,496,013 | ||||||
| 133,475 | Thomas & Betts Corp.(b) | 7,187,629 | ||||||
|
|
|
|||||||
| 12,683,642 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 1.2% | ||||||||
| 25,100 | ScanSource, Inc.(b) | 940,748 | ||||||
| 116,475 | Tech Data Corp.(b) | 5,694,463 | ||||||
|
|
|
|||||||
| 6,635,211 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 3.6% | ||||||||
| 136,050 | Oil States International, Inc.(b) | 10,871,755 | ||||||
| 144,150 | Unit Corp.(b) | 8,783,060 | ||||||
|
|
|
|||||||
| 19,654,815 | ||||||||
|
|
|
|||||||
| Gas Utilities — 0.6% | ||||||||
| 94,525 | Atmos Energy Corp. | 3,142,956 | ||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 3.1% | ||||||||
| 172,300 | Teleflex, Inc. | 10,520,638 | ||||||
| 143,125 | West Pharmaceutical Services, Inc. | 6,263,150 | ||||||
|
|
|
|||||||
| 16,783,788 | ||||||||
|
|
|
|||||||
| Household Products — 0.0% | ||||||||
| 325 | WD-40 Co. | 12,688 | ||||||
|
|
|
|||||||
| Insurance — 5.8% | ||||||||
| 1,360,050 | CNO Financial Group, Inc.(b) | 10,757,995 | ||||||
| 389,037 | HCC Insurance Holdings, Inc. | 12,254,665 | ||||||
| 347,975 | Tower Group, Inc. | 8,288,765 | ||||||
|
|
|
|||||||
| 31,301,425 | ||||||||
|
|
|
|||||||
| IT Services — 2.3% | ||||||||
| 193,700 | CACI International, Inc., Class A(b) | 12,218,596 | ||||||
|
|
|
|||||||
| Machinery — 4.1% | ||||||||
| 358,975 | Actuant Corp., Class A | 9,631,299 | ||||||
| 788,400 | Mueller Water Products, Inc., Class A | 3,137,832 | ||||||
See accompanying notes to financial statements.
79 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Machinery — continued | ||||||||
| 97,625 | Valmont Industries, Inc. | $ | 9,410,074 | |||||
|
|
|
|||||||
| 22,179,205 | ||||||||
|
|
|
|||||||
| Media — 1.7% | ||||||||
| 175,125 | John Wiley & Sons, Inc., Class A | 9,108,251 | ||||||
|
|
|
|||||||
| Multi Utilities — 1.7% | ||||||||
| 283,700 | NorthWestern Corp. | 9,393,307 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 3.0% | ||||||||
| 225,075 | Brigham Exploration Co.(b) | 6,736,495 | ||||||
| 188,089 | Oasis Petroleum, Inc.(b) | 5,582,481 | ||||||
| 240,900 | Resolute Energy Corp.(b) | 3,892,944 | ||||||
|
|
|
|||||||
| 16,211,920 | ||||||||
|
|
|
|||||||
| Professional Services — 2.1% | ||||||||
| 171,075 | Towers Watson & Co., Class A | 11,241,338 | ||||||
|
|
|
|||||||
| REITs — Healthcare — 1.3% | ||||||||
| 615,350 | Medical Properties Trust, Inc. | 7,076,525 | ||||||
|
|
|
|||||||
| REITs — Hotels — 0.9% | ||||||||
| 184,725 | LaSalle Hotel Properties | 4,865,657 | ||||||
|
|
|
|||||||
| REITs — Mortgage — 0.9% | ||||||||
| 230,025 | Invesco Mortgage Capital, Inc. | 4,860,428 | ||||||
|
|
|
|||||||
| REITs — Office Property — 1.5% | ||||||||
| 298,825 | Government Properties Income Trust | 8,074,252 | ||||||
|
|
|
|||||||
| Road & Rail — 1.0% | ||||||||
| 208,300 | Werner Enterprises, Inc. | 5,217,915 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 1.7% | ||||||||
| 134,700 | Silicon Laboratories, Inc.(b) | 5,557,722 | ||||||
| 373,725 | TriQuint Semiconductor, Inc.(b) | 3,808,258 | ||||||
|
|
|
|||||||
| 9,365,980 | ||||||||
|
|
|
|||||||
| Software — 1.2% | ||||||||
| 42,800 | Tyler Technologies, Inc.(b) | 1,146,184 | ||||||
| 147,725 | Verint Systems, Inc.(b) | 5,471,734 | ||||||
|
|
|
|||||||
| 6,617,918 | ||||||||
|
|
|
|||||||
| Specialty Retail — 3.9% | ||||||||
| 301,722 | Aaron’s, Inc. | 8,526,664 | ||||||
| 122,400 | DSW, Inc., Class A(b) | 6,194,664 | ||||||
| 198,700 | Penske Automotive Group, Inc. | 4,518,438 | ||||||
| 195,050 | PEP Boys-Manny Moe & Jack | 2,131,896 | ||||||
|
|
|
|||||||
| 21,371,662 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 5.1% | ||||||||
| 256,625 | Hanesbrands, Inc.(b) | 7,326,644 | ||||||
| 187,750 | Phillips-Van Heusen Corp. | 12,291,992 | ||||||
| 196,550 | Wolverine World Wide, Inc. | 8,205,963 | ||||||
|
|
|
|||||||
| 27,824,599 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 80
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Thrifts & Mortgage Finance — 3.0% | ||||||||
| 593,400 | Capitol Federal Financial, Inc. | $ | 6,978,384 | |||||
| 566,525 | Washington Federal, Inc. | 9,308,006 | ||||||
|
|
|
|||||||
| 16,286,390 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 2.1% | ||||||||
| 76,825 | United Rentals, Inc.(b) | 1,951,355 | ||||||
| 179,250 | WESCO International, Inc.(b) | 9,695,633 | ||||||
|
|
|
|||||||
| 11,646,988 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $422,287,397) |
495,586,806 | |||||||
|
|
|
|||||||
| Exchange Traded Funds — 4.0% | ||||||||
| 292,450 | iShares Russell 2000 Value Index Fund (Identified Cost $20,964,040) |
21,468,754 | ||||||
|
|
|
|||||||
| Closed End Investment Companies — 1.9% | ||||||||
| 651,750 | Ares Capital Corp. (Identified Cost $9,910,005) |
10,473,622 | ||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 3.1% | ||||||||
| $ | 16,856,805 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $16,856,805 on 7/01/2011 collateralized by $14,855,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $17,194,663 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,856,805) |
16,856,805 | |||||
|
|
|
|||||||
| Total Investments — 100.4% (Identified Cost $470,018,247)(a) |
544,385,987 | |||||||
| Other assets less liabilities — (0.4)% | (2,331,475 | ) | ||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 542,054,512 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $470,018,247 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 | $ | 79,853,100 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (5,485,360 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 74,367,740 | ||||||
|
|
|
|||||||
| (b) | Non-income producing security. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
See accompanying notes to financial statements.
81 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Industry Summary at June 30, 2011 (Unaudited)
| Commercial Banks |
5.9 | % | ||
| Insurance |
5.8 | |||
| Commercial Services & Supplies |
5.6 | |||
| Textiles, Apparel & Luxury Goods |
5.1 | |||
| Capital Markets |
4.4 | |||
| Chemicals |
4.2 | |||
| Machinery |
4.1 | |||
| Exchange Traded Funds |
4.0 | |||
| Specialty Retail |
3.9 | |||
| Containers & Packaging |
3.9 | |||
| Energy Equipment & Services |
3.6 | |||
| Health Care Equipment & Supplies |
3.1 | |||
| Thrifts & Mortgage Finance |
3.0 | |||
| Oil, Gas & Consumable Fuels |
3.0 | |||
| Electric Utilities |
3.0 | |||
| Electrical Equipment |
2.3 | |||
| Building Products |
2.3 | |||
| IT Services |
2.3 | |||
| Trading Companies & Distributors |
2.1 | |||
| Professional Services |
2.1 | |||
| Other Investments, less than 2% each |
23.6 | |||
| Short-Term Investments |
3.1 | |||
|
|
|
|||
| Total Investments |
100.4 | |||
| Other assets less liabilities |
(0.4 | ) | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
| 82
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 92.6% of Net Assets | ||||||||
| Auto Components — 2.2% | ||||||||
| 15,275 | Autoliv, Inc. | $ | 1,198,324 | |||||
| 20,575 | Tenneco, Inc.(b) | 906,740 | ||||||
|
|
|
|||||||
| 2,105,064 | ||||||||
|
|
|
|||||||
| Beverages — 1.6% | ||||||||
| 19,325 | Hansen Natural Corp.(b) | 1,564,359 | ||||||
|
|
|
|||||||
| Capital Markets — 5.5% | ||||||||
| 13,950 | Affiliated Managers Group, Inc.(b) | 1,415,227 | ||||||
| 131,650 | Apollo Investment Corp. | 1,344,147 | ||||||
| 55,700 | Invesco Ltd. | 1,303,380 | ||||||
| 53,600 | SEI Investments Co. | 1,206,536 | ||||||
|
|
|
|||||||
| 5,269,290 | ||||||||
|
|
|
|||||||
| Chemicals — 7.7% | ||||||||
| 15,100 | Airgas, Inc. | 1,057,604 | ||||||
| 41,300 | Celanese Corp., Series A | 2,201,703 | ||||||
| 17,775 | FMC Corp. | 1,529,005 | ||||||
| 28,500 | International Flavors & Fragrances, Inc. | 1,830,840 | ||||||
| 33,800 | Solutia, Inc.(b) | 772,330 | ||||||
|
|
|
|||||||
| 7,391,482 | ||||||||
|
|
|
|||||||
| Computers & Peripherals — 1.8% | ||||||||
| 90,975 | NCR Corp.(b) | 1,718,518 | ||||||
|
|
|
|||||||
| Construction & Engineering — 0.9% | ||||||||
| 13,225 | Fluor Corp. | 855,129 | ||||||
|
|
|
|||||||
| Consumer Finance — 1.5% | ||||||||
| 40,200 | Ezcorp, Inc., Class A(b) | 1,430,115 | ||||||
|
|
|
|||||||
| Containers & Packaging — 4.1% | ||||||||
| 58,175 | Crown Holdings, Inc.(b) | 2,258,354 | ||||||
| 60,675 | Packaging Corp. of America | 1,698,293 | ||||||
|
|
|
|||||||
| 3,956,647 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 1.8% | ||||||||
| 16,125 | Cooper Industries PLC | 962,179 | ||||||
| 11,875 | Hubbell, Inc., Class B | 771,281 | ||||||
|
|
|
|||||||
| 1,733,460 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 1.3% | ||||||||
| 30,525 | Arrow Electronics, Inc.(b) | 1,266,788 | ||||||
|
|
|
|||||||
| Energy Equipment & Services — 3.4% | ||||||||
| 18,800 | Dresser-Rand Group, Inc.(b) | 1,010,500 | ||||||
| 61,425 | McDermott International, Inc.(b) | 1,216,829 | ||||||
| 27,625 | Superior Energy Services, Inc.(b) | 1,025,993 | ||||||
|
|
|
|||||||
| 3,253,322 | ||||||||
|
|
|
|||||||
| Food Products — 2.6% | ||||||||
| 17,525 | J.M. Smucker Co. (The) | 1,339,611 | ||||||
See accompanying notes to financial statements.
83 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Food Products — continued | ||||||||
| 12,925 | Ralcorp Holdings, Inc.(b) | $ | 1,119,046 | |||||
|
|
|
|||||||
| 2,458,657 | ||||||||
|
|
|
|||||||
| Household Durables — 2.0% | ||||||||
| 55,850 | Jarden Corp. | 1,927,383 | ||||||
|
|
|
|||||||
| Insurance — 6.9% | ||||||||
| 58,925 | Lincoln National Corp. | 1,678,773 | ||||||
| 35,400 | Reinsurance Group of America, Inc., Class A | 2,154,444 | ||||||
| 40,850 | Willis Group Holdings PLC | 1,679,344 | ||||||
| 47,450 | XL Group PLC | 1,042,951 | ||||||
|
|
|
|||||||
| 6,555,512 | ||||||||
|
|
|
|||||||
| Internet Software & Services — 1.6% | ||||||||
| 47,025 | Digital River, Inc.(b) | 1,512,324 | ||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 3.5% | ||||||||
| 29,250 | Agilent Technologies, Inc.(b) | 1,494,967 | ||||||
| 34,700 | Life Technologies Corp.(b) | 1,806,829 | ||||||
|
|
|
|||||||
| 3,301,796 | ||||||||
|
|
|
|||||||
| Machinery — 8.0% | ||||||||
| 14,100 | AGCO Corp.(b) | 695,976 | ||||||
| 13,675 | Flowserve Corp. | 1,502,746 | ||||||
| 14,675 | Ingersoll-Rand PLC | 666,392 | ||||||
| 24,875 | Kennametal, Inc. | 1,049,974 | ||||||
| 28,750 | Navistar International Corp.(b) | 1,623,225 | ||||||
| 7,975 | SPX Corp. | 659,213 | ||||||
| 21,275 | WABCO Holdings, Inc.(b) | 1,469,251 | ||||||
|
|
|
|||||||
| 7,666,777 | ||||||||
|
|
|
|||||||
| Media — 3.7% | ||||||||
| 81,250 | CBS Corp., Class B | 2,314,812 | ||||||
| 29,250 | Discovery Communications, Inc., Class A(b) | 1,198,080 | ||||||
|
|
|
|||||||
| 3,512,892 | ||||||||
|
|
|
|||||||
| Metals & Mining — 0.6% | ||||||||
| 5,150 | Walter Energy, Inc. | 596,370 | ||||||
|
|
|
|||||||
| Multiline Retail — 2.3% | ||||||||
| 37,750 | Big Lots, Inc.(b) | 1,251,412 | ||||||
| 26,450 | Dollar General Corp.(b) | 896,391 | ||||||
|
|
|
|||||||
| 2,147,803 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 3.6% | ||||||||
| 8,975 | Cimarex Energy Co. | 807,032 | ||||||
| 37,475 | El Paso Corp. | 756,995 | ||||||
| 10,575 | Noble Energy, Inc. | 947,837 | ||||||
| 9,850 | Pioneer Natural Resources Co. | 882,265 | ||||||
|
|
|
|||||||
| 3,394,129 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 1.4% | ||||||||
| 14,886 | Valeant Pharmaceuticals International, Inc. | 773,477 | ||||||
| 25,100 | Warner Chilcott PLC, Class A | 605,663 | ||||||
|
|
|
|||||||
| 1,379,140 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 84
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
| Shares | Description |
Value (†) | ||||||
| Professional Services — 2.4% | ||||||||
| 34,825 | Towers Watson & Co., Class A | $ | 2,288,351 | |||||
|
|
|
|||||||
| REITs — Apartments — 1.5% | ||||||||
| 55,475 | Apartment Investment & Management Co., Class A | 1,416,277 | ||||||
|
|
|
|||||||
| REITs — Hotels — 1.6% | ||||||||
| 89,923 | Host Hotels & Resorts, Inc. | 1,524,195 | ||||||
|
|
|
|||||||
| Road & Rail — 1.8% | ||||||||
| 124,550 | Swift Transportation Co.(b) | 1,687,652 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 4.7% | ||||||||
| 30,550 | Altera Corp. | 1,415,992 | ||||||
| 46,150 | Avago Technologies Ltd. | 1,753,700 | ||||||
| 59,075 | Skyworks Solutions, Inc.(b) | 1,357,544 | ||||||
|
|
|
|||||||
| 4,527,236 | ||||||||
|
|
|
|||||||
| Software — 4.8% | ||||||||
| 22,325 | Adobe Systems, Inc.(b) | 702,121 | ||||||
| 11,175 | Intuit, Inc.(b) | 579,536 | ||||||
| 101,525 | Nuance Communications, Inc.(b) | 2,179,742 | ||||||
| 47,925 | Parametric Technology Corp.(b) | 1,098,920 | ||||||
|
|
|
|||||||
| 4,560,319 | ||||||||
|
|
|
|||||||
| Specialty Retail — 1.9% | ||||||||
| 37,175 | Collective Brands, Inc.(b) | 546,101 | ||||||
| 30,275 | Guess?, Inc. | 1,273,366 | ||||||
|
|
|
|||||||
| 1,819,467 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 2.6% | ||||||||
| 26,000 | Phillips-Van Heusen Corp. | 1,702,220 | ||||||
| 6,900 | VF Corp. | 749,064 | ||||||
|
|
|
|||||||
| 2,451,284 | ||||||||
|
|
|
|||||||
| Tobacco — 1.7% | ||||||||
| 14,850 | Lorillard, Inc. | 1,616,720 | ||||||
|
|
|
|||||||
| Trading Companies & Distributors — 1.6% | ||||||||
| 28,425 | WESCO International, Inc.(b) | 1,537,508 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $80,383,235) |
88,425,966 | |||||||
|
|
|
|||||||
| Closed End Investment Companies — 1.4% | ||||||||
| 82,875 | Ares Capital Corp. (Identified Cost $1,235,427) |
1,331,801 | ||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments — 4.2% | ||||||||
| $ | 4,059,678 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $4,059,678 on 7/01/2011 collateralized by $4,050,000 Federal National
Mortgage Association, 2.250% due 3/15/2016 valued at $4,145,145 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,059,678) |
4,059,678 | |||||
|
|
|
|||||||
See accompanying notes to financial statements.
81 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
| Description | Value (†) | |||||||
| Total Investments — 98.2% (Identified Cost $85,678,340)(a) |
$ | 93,817,445 | ||||||
| Other assets less liabilities — 1.8% | 1,689,440 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 95,506,885 | ||||||
|
|
|
|||||||
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $85,678,340 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 | $ | 9,767,592 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,628,487 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 8,139,105 | ||||||
|
|
|
|||||||
| (b) | Non-income producing security. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
Industry Summary at June 30, 2011 (Unaudited)
| Machinery |
8.0 | % | ||
| Chemicals |
7.7 | |||
| Insurance |
6.9 | |||
| Capital Markets |
5.5 | |||
| Software |
4.8 | |||
| Semiconductors & Semiconductor Equipment |
4.7 | |||
| Containers & Packaging |
4.1 | |||
| Media |
3.7 | |||
| Oil, Gas & Consumable Fuels |
3.6 | |||
| Life Sciences Tools & Services |
3.5 | |||
| Energy Equipment & Services |
3.4 | |||
| Food Products |
2.6 | |||
| Textiles, Apparel & Luxury Goods |
2.6 | |||
| Professional Services |
2.4 | |||
| Multiline Retail |
2.3 | |||
| Auto Components |
2.2 | |||
| Household Durables |
2.0 | |||
| Other Investments, less than 2% each |
24.0 | |||
| Short-Term Investments |
4.2 | |||
|
|
|
|||
| Total Investments |
98.2 | |||
| Other assets less liabilities |
1.8 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
| 82
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 99.7% of Net Assets | ||||||||
| Aerospace & Defense — 2.9% | ||||||||
| 276 | General Dynamics Corp. | $ | 20,567 | |||||
| 338 | Honeywell International, Inc. | 20,141 | ||||||
| 220 | ITT Corp. | 12,965 | ||||||
| 306 | L-3 Communications Holdings, Inc. | 26,760 | ||||||
| 95 | Lockheed Martin Corp. | 7,692 | ||||||
| 333 | Northrop Grumman Corp. | 23,094 | ||||||
| 31 | Precision Castparts Corp. | 5,104 | ||||||
| 323 | Raytheon Co. | 16,102 | ||||||
| 817 | Textron, Inc. | 19,289 | ||||||
| 255 | United Technologies Corp. | 22,570 | ||||||
|
|
|
|||||||
| 174,284 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics — 0.2% | ||||||||
| 98 | C.H. Robinson Worldwide, Inc. | 7,726 | ||||||
| 81 | United Parcel Service, Inc., Class B | 5,908 | ||||||
|
|
|
|||||||
| 13,634 | ||||||||
|
|
|
|||||||
| Airlines — 0.3% | ||||||||
| 1,737 | Southwest Airlines Co. | 19,837 | ||||||
|
|
|
|||||||
| Auto Components — 0.1% | ||||||||
| 113 | Johnson Controls, Inc. | 4,708 | ||||||
|
|
|
|||||||
| Automobiles — 0.5% | ||||||||
| 2,146 | Ford Motor Co.(b) | 29,593 | ||||||
|
|
|
|||||||
| Beverages — 1.9% | ||||||||
| 558 | Coca-Cola Co. (The) | 37,548 | ||||||
| 1,277 | Coca-Cola Enterprises, Inc. | 37,263 | ||||||
| 831 | Constellation Brands, Inc., Class A(b) | 17,301 | ||||||
| 247 | Dr Pepper Snapple Group, Inc. | 10,357 | ||||||
| 188 | PepsiCo, Inc. | 13,241 | ||||||
|
|
|
|||||||
| 115,710 | ||||||||
|
|
|
|||||||
| Biotechnology — 1.1% | ||||||||
| 198 | Amgen, Inc.(b) | 11,553 | ||||||
| 289 | Biogen Idec, Inc.(b) | 30,900 | ||||||
| 289 | Cephalon, Inc.(b) | 23,091 | ||||||
|
|
|
|||||||
| 65,544 | ||||||||
|
|
|
|||||||
| Building Products — 0.1% | ||||||||
| 618 | Masco Corp. | 7,435 | ||||||
|
|
|
|||||||
| Capital Markets — 1.2% | ||||||||
| 230 | Ameriprise Financial, Inc. | 13,267 | ||||||
| 219 | Goldman Sachs Group, Inc. (The) | 29,147 | ||||||
| 1,225 | Morgan Stanley | 28,187 | ||||||
| 102 | State Street Corp. | 4,599 | ||||||
|
|
|
|||||||
| 75,200 | ||||||||
|
|
|
|||||||
| Chemicals — 1.4% | ||||||||
| 431 | Dow Chemical Co. (The) | 15,516 | ||||||
See accompanying notes to financial statements.
87 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Chemicals — continued | ||||||||
| 424 | E. I. du Pont de Nemours & Co. | $ | 22,917 | |||||
| 183 | Eastman Chemical Co. | 18,679 | ||||||
| 68 | International Flavors & Fragrances, Inc. | 4,368 | ||||||
| 131 | Monsanto Co. | 9,503 | ||||||
| 123 | PPG Industries, Inc. | 11,167 | ||||||
|
|
|
|||||||
| 82,150 | ||||||||
|
|
|
|||||||
| Commercial Banks — 1.8% | ||||||||
| 1,230 | Fifth Third Bancorp | 15,682 | ||||||
| 2,494 | KeyCorp | 20,775 | ||||||
| 319 | PNC Financial Services Group, Inc. | 19,016 | ||||||
| 126 | SunTrust Banks, Inc. | 3,251 | ||||||
| 1,780 | Wells Fargo & Co. | 49,947 | ||||||
|
|
|
|||||||
| 108,671 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.7% | ||||||||
| 319 | Avery Dennison Corp. | 12,323 | ||||||
| 1,255 | R. R. Donnelley & Sons Co. | 24,611 | ||||||
| 92 | Stericycle, Inc.(b) | 8,199 | ||||||
|
|
|
|||||||
| 45,133 | ||||||||
|
|
|
|||||||
| Communications Equipment — 2.1% | ||||||||
| 972 | Cisco Systems, Inc. | 15,173 | ||||||
| 201 | F5 Networks, Inc.(b) | 22,160 | ||||||
| 1,338 | JDS Uniphase Corp.(b) | 22,291 | ||||||
| 569 | Motorola Solutions, Inc.(b) | 26,197 | ||||||
| 750 | Qualcomm, Inc. | 42,593 | ||||||
|
|
|
|||||||
| 128,414 | ||||||||
|
|
|
|||||||
| Computers & Peripherals — 4.2% | ||||||||
| 402 | Apple, Inc.(b) | 134,939 | ||||||
| 664 | Dell, Inc.(b) | 11,069 | ||||||
| 1,112 | EMC Corp.(b) | 30,636 | ||||||
| 862 | Hewlett-Packard Co. | 31,377 | ||||||
| 747 | Lexmark International, Inc., Class A(b) | 21,857 | ||||||
| 190 | SanDisk Corp.(b) | 7,885 | ||||||
| 412 | Western Digital Corp.(b) | 14,988 | ||||||
|
|
|
|||||||
| 252,751 | ||||||||
|
|
|
|||||||
| Construction & Engineering — 0.3% | ||||||||
| 270 | Fluor Corp. | 17,458 | ||||||
|
|
|
|||||||
| Consumer Finance — 1.0% | ||||||||
| 609 | Capital One Financial Corp. | 31,467 | ||||||
| 1,079 | Discover Financial Services | 28,863 | ||||||
|
|
|
|||||||
| 60,330 | ||||||||
|
|
|
|||||||
| Containers & Packaging — 0.7% | ||||||||
| 435 | Ball Corp. | 16,730 | ||||||
| 275 | Bemis Co., Inc. | 9,289 | ||||||
See accompanying notes to financial statements.
| 88
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Containers & Packaging — continued | ||||||||
| 734 | Sealed Air Corp. | $ | 17,462 | |||||
|
|
|
|||||||
| 43,481 | ||||||||
|
|
|
|||||||
| Diversified Consumer Services — 0.8% | ||||||||
| 555 | Apollo Group, Inc., Class A(b) | 24,242 | ||||||
| 212 | DeVry, Inc. | 12,536 | ||||||
| 789 | H&R Block, Inc. | 12,656 | ||||||
|
|
|
|||||||
| 49,434 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 3.3% | ||||||||
| 2,550 | Bank of America Corp. | 27,948 | ||||||
| 1,287 | Citigroup, Inc. | 53,591 | ||||||
| 1,652 | JPMorgan Chase & Co. | 67,633 | ||||||
| 525 | Leucadia National Corp. | 17,902 | ||||||
| 560 | Moody’s Corp. | 21,476 | ||||||
| 382 | NASDAQ OMX Group, Inc. (The)(b) | 9,665 | ||||||
|
|
|
|||||||
| 198,215 | ||||||||
|
|
|
|||||||
| Diversified Telecommunication Services — 2.5% | ||||||||
| 2,524 | AT&T, Inc. | 79,279 | ||||||
| 112 | CenturyLink, Inc. | 4,528 | ||||||
| 1,762 | Verizon Communications, Inc. | 65,599 | ||||||
|
|
|
|||||||
| 149,406 | ||||||||
|
|
|
|||||||
| Electric Utilities — 0.4% | ||||||||
| 113 | Entergy Corp. | 7,716 | ||||||
| 173 | FirstEnergy Corp. | 7,638 | ||||||
| 105 | Northeast Utilities | 3,693 | ||||||
| 205 | Pepco Holdings, Inc. | 4,024 | ||||||
|
|
|
|||||||
| 23,071 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.5% | ||||||||
| 253 | Rockwell Automation, Inc. | 21,950 | ||||||
| 124 | Roper Industries, Inc. | 10,329 | ||||||
|
|
|
|||||||
| 32,279 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.2% | ||||||||
| 614 | Jabil Circuit, Inc. | 12,403 | ||||||
|
|
|
|||||||
| Energy Equipment & Services — 3.6% | ||||||||
| 362 | Baker Hughes, Inc. | 26,267 | ||||||
| 350 | FMC Technologies, Inc.(b) | 15,676 | ||||||
| 677 | Halliburton Co. | 34,527 | ||||||
| 326 | Helmerich & Payne, Inc. | 21,555 | ||||||
| 559 | Nabors Industries Ltd.(b) | 13,774 | ||||||
| 618 | National-Oilwell Varco, Inc. | 48,334 | ||||||
| 286 | Rowan Cos., Inc.(b) | 11,099 | ||||||
| 537 | Schlumberger Ltd. | 46,397 | ||||||
|
|
|
|||||||
| 217,629 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 1.9% | ||||||||
| 123 | Costco Wholesale Corp. | 9,992 | ||||||
See accompanying notes to financial statements.
89 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Food & Staples Retailing — continued | ||||||||
| 509 | CVS Caremark Corp. | $ | 19,128 | |||||
| 601 | Safeway, Inc. | 14,045 | ||||||
| 376 | SUPERVALU, Inc. | 3,538 | ||||||
| 448 | Wal-Mart Stores, Inc. | 23,807 | ||||||
| 708 | Walgreen Co. | 30,062 | ||||||
| 257 | Whole Foods Market, Inc. | 16,307 | ||||||
|
|
|
|||||||
| 116,879 | ||||||||
|
|
|
|||||||
| Food Products — 1.4% | ||||||||
| 281 | ConAgra Foods, Inc. | 7,253 | ||||||
| 2,429 | Dean Foods Co.(b) | 29,804 | ||||||
| 376 | Hormel Foods Corp. | 11,209 | ||||||
| 103 | J.M. Smucker Co. (The) | 7,873 | ||||||
| 267 | Sara Lee Corp. | 5,070 | ||||||
| 1,332 | Tyson Foods, Inc., Class A | 25,867 | ||||||
|
|
|
|||||||
| 87,076 | ||||||||
|
|
|
|||||||
| Gas Utilities — 0.3% | ||||||||
| 245 | Oneok, Inc. | 18,132 | ||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 0.6% | ||||||||
| 282 | Baxter International, Inc. | 16,833 | ||||||
| 240 | Edwards Lifesciences Corp.(b) | 20,923 | ||||||
|
|
|
|||||||
| 37,756 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 4.8% | ||||||||
| 529 | Aetna, Inc. | 23,324 | ||||||
| 499 | AmerisourceBergen Corp. | 20,658 | ||||||
| 279 | Cardinal Health, Inc. | 12,672 | ||||||
| 484 | CIGNA Corp. | 24,892 | ||||||
| 900 | Coventry Health Care, Inc.(b) | 32,823 | ||||||
| 39 | DaVita, Inc.(b) | 3,378 | ||||||
| 681 | Humana, Inc. | 54,848 | ||||||
| 161 | McKesson Corp. | 13,468 | ||||||
| 91 | Quest Diagnostics, Inc. | 5,378 | ||||||
| 1,173 | UnitedHealth Group, Inc. | 60,503 | ||||||
| 527 | WellPoint, Inc. | 41,512 | ||||||
|
|
|
|||||||
| 293,456 | ||||||||
|
|
|
|||||||
| Health Care Technology — 0.2% | ||||||||
| 180 | Cerner Corp.(b) | 11,000 | ||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 1.9% | ||||||||
| 81 | Chipotle Mexican Grill, Inc.(b) | 24,963 | ||||||
| 93 | Darden Restaurants, Inc. | 4,628 | ||||||
| 135 | McDonald’s Corp. | 11,383 | ||||||
| 261 | Starbucks Corp. | 10,307 | ||||||
| 741 | Wyndham Worldwide Corp. | 24,935 | ||||||
| 223 | Wynn Resorts Ltd. | 32,009 | ||||||
| 171 | Yum! Brands, Inc. | 9,446 | ||||||
|
|
|
|||||||
| 117,671 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 86
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Household Durables — 0.8% | ||||||||
| 1,864 | D.R. Horton, Inc. | $ | 21,473 | |||||
| 303 | Harman International Industries, Inc. | 13,808 | ||||||
| 326 | Lennar Corp., Class A | 5,917 | ||||||
| 416 | Newell Rubbermaid, Inc. | 6,564 | ||||||
|
|
|
|||||||
| 47,762 | ||||||||
|
|
|
|||||||
| Household Products — 0.9% | ||||||||
| 816 | Procter & Gamble Co. (The) | 51,873 | ||||||
|
|
|
|||||||
| Independent Power Producers & Energy Traders — 1.0% | ||||||||
| 1,526 | AES Corp. (The)(b) | 19,441 | ||||||
| 496 | Constellation Energy Group, Inc. | 18,828 | ||||||
| 965 | NRG Energy, Inc.(b) | 23,720 | ||||||
|
|
|
|||||||
| 61,989 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 2.0% | ||||||||
| 5,651 | General Electric Co. | 106,578 | ||||||
| 356 | Tyco International Ltd. | 17,597 | ||||||
|
|
|
|||||||
| 124,175 | ||||||||
|
|
|
|||||||
| Insurance — 2.1% | ||||||||
| 576 | American International Group, Inc.(b) | 16,888 | ||||||
| 262 | Berkshire Hathaway, Inc., Class B(b) | 20,276 | ||||||
| 911 | Hartford Financial Services Group, Inc. (The) | 24,023 | ||||||
| 441 | Lincoln National Corp. | 12,564 | ||||||
| 276 | Marsh & McLennan Cos., Inc. | 8,609 | ||||||
| 229 | Prudential Financial, Inc. | 14,562 | ||||||
| 222 | Travelers Cos., Inc. (The) | 12,960 | ||||||
| 728 | Unum Group | 18,550 | ||||||
|
|
|
|||||||
| 128,432 | ||||||||
|
|
|
|||||||
| Internet & Catalog Retail — 1.0% | ||||||||
| 174 | Amazon.com, Inc.(b) | 35,581 | ||||||
| 101 | Netflix, Inc.(b) | 26,532 | ||||||
|
|
|
|||||||
| 62,113 | ||||||||
|
|
|
|||||||
| Internet Software & Services — 0.9% | ||||||||
| 605 | eBay, Inc.(b) | 19,524 | ||||||
| 53 | Google, Inc., Class A(b) | 26,838 | ||||||
| 268 | VeriSign, Inc. | 8,967 | ||||||
|
|
|
|||||||
| 55,329 | ||||||||
|
|
|
|||||||
| IT Services — 3.9% | ||||||||
| 263 | Cognizant Technology Solutions Corp., Class A(b) | 19,289 | ||||||
| 554 | Computer Sciences Corp. | 21,030 | ||||||
| 680 | Fidelity National Information Services, Inc. | 20,937 | ||||||
| 248 | Fiserv, Inc.(b) | 15,532 | ||||||
| 606 | International Business Machines Corp. | 103,959 | ||||||
| 1,097 | SAIC, Inc.(b) | 18,452 | ||||||
| 442 | Teradata Corp.(b) | 26,608 | ||||||
See accompanying notes to financial statements.
91 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| IT Services — continued | ||||||||
| 627 | Total System Services, Inc. | $ | 11,650 | |||||
|
|
|
|||||||
| 237,457 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 0.5% | ||||||||
| 385 | Agilent Technologies, Inc.(b) | 19,677 | ||||||
| 215 | Thermo Fisher Scientific, Inc.(b) | 13,844 | ||||||
|
|
|
|||||||
| 33,521 | ||||||||
|
|
|
|||||||
| Machinery — 2.6% | ||||||||
| 353 | Caterpillar, Inc. | 37,580 | ||||||
| 76 | Cummins, Inc. | 7,865 | ||||||
| 278 | Deere & Co. | 22,921 | ||||||
| 136 | Dover Corp. | 9,221 | ||||||
| 219 | Eaton Corp. | 11,268 | ||||||
| 280 | Joy Global, Inc. | 26,667 | ||||||
| 241 | Pall Corp. | 13,551 | ||||||
| 231 | Parker Hannifin Corp. | 20,730 | ||||||
| 97 | Snap-on, Inc. | 6,061 | ||||||
|
|
|
|||||||
| 155,864 | ||||||||
|
|
|
|||||||
| Media — 3.9% | ||||||||
| 453 | Cablevision Systems Corp., Class A | 16,403 | ||||||
| 1,589 | CBS Corp., Class B | 45,271 | ||||||
| 1,692 | Comcast Corp., Class A | 42,875 | ||||||
| 148 | DIRECTV, Class A(b) | 7,521 | ||||||
| 1,577 | Gannett Co., Inc. | 22,583 | ||||||
| 1,559 | Interpublic Group of Cos., Inc. (The) | 19,488 | ||||||
| 288 | McGraw-Hill Cos., Inc. (The) | 12,070 | ||||||
| 124 | Omnicom Group, Inc. | 5,972 | ||||||
| 307 | Time Warner Cable, Inc. | 23,958 | ||||||
| 413 | Viacom, Inc., Class B | 21,063 | ||||||
| 187 | Walt Disney Co. (The) | 7,301 | ||||||
| 31 | Washington Post Co. (The), Class B | 12,987 | ||||||
|
|
|
|||||||
| 237,492 | ||||||||
|
|
|
|||||||
| Metals & Mining — 1.5% | ||||||||
| 1,505 | Alcoa, Inc. | 23,869 | ||||||
| 201 | Cliffs Natural Resources, Inc. | 18,583 | ||||||
| 802 | Freeport-McMoRan Copper & Gold, Inc. | 42,426 | ||||||
| 85 | Newmont Mining Corp. | 4,587 | ||||||
|
|
|
|||||||
| 89,465 | ||||||||
|
|
|
|||||||
| Multi Utilities — 1.2% | ||||||||
| 624 | Ameren Corp. | 17,996 | ||||||
| 674 | CenterPoint Energy, Inc. | 13,042 | ||||||
| 172 | CMS Energy Corp. | 3,387 | ||||||
| 353 | DTE Energy Co. | 17,657 | ||||||
| 387 | Integrys Energy Group, Inc. | 20,062 | ||||||
|
|
|
|||||||
| 72,144 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
| 92
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Multiline Retail — 1.0% | ||||||||
| 234 | Big Lots, Inc.(b) | $ | 7,757 | |||||
| 120 | Family Dollar Stores, Inc. | 6,307 | ||||||
| 71 | Kohl’s Corp. | 3,551 | ||||||
| 910 | Macy’s, Inc. | 26,609 | ||||||
| 363 | Target Corp. | 17,028 | ||||||
|
|
|
|||||||
| 61,252 | ||||||||
|
|
|
|||||||
| Office Electronics — 0.4% | ||||||||
| 2,096 | Xerox Corp. | 21,819 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 11.3% | ||||||||
| 31 | Apache Corp. | 3,825 | ||||||
| 248 | Cabot Oil & Gas Corp. | 16,445 | ||||||
| 1,191 | Chevron Corp. | 122,482 | ||||||
| 1,059 | ConocoPhillips | 79,626 | ||||||
| 1,036 | El Paso Corp. | 20,927 | ||||||
| 2,471 | ExxonMobil Corp. | 201,090 | ||||||
| 101 | Hess Corp. | 7,551 | ||||||
| 1,089 | Marathon Oil Corp. | 57,368 | ||||||
| 266 | Murphy Oil Corp. | 17,466 | ||||||
| 324 | Occidental Petroleum Corp. | 33,709 | ||||||
| 228 | Peabody Energy Corp. | 13,431 | ||||||
| 430 | Sunoco, Inc. | 17,935 | ||||||
| 1,871 | Tesoro Corp.(b) | 42,865 | ||||||
| 1,452 | Valero Energy Corp. | 37,128 | ||||||
| 499 | Williams Cos., Inc. (The) | 15,095 | ||||||
|
|
|
|||||||
| 686,943 | ||||||||
|
|
|
|||||||
| Paper & Forest Products — 0.6% | ||||||||
| 860 | International Paper Co. | 25,645 | ||||||
| 262 | MeadWestvaco Corp. | 8,727 | ||||||
|
|
|
|||||||
| 34,372 | ||||||||
|
|
|
|||||||
| Personal Products — 0.4% | ||||||||
| 231 | Estee Lauder Cos., Inc. (The), Class A | 24,299 | ||||||
|
|
|
|||||||
| Pharmaceuticals — 3.8% | ||||||||
| 216 | Abbott Laboratories | 11,366 | ||||||
| 481 | Eli Lilly & Co. | 18,052 | ||||||
| 828 | Forest Laboratories, Inc.(b) | 32,574 | ||||||
| 786 | Johnson & Johnson | 52,285 | ||||||
| 307 | Merck & Co., Inc. | 10,834 | ||||||
| 4,314 | Pfizer, Inc. | 88,868 | ||||||
| 252 | Watson Pharmaceuticals, Inc.(b) | 17,320 | ||||||
|
|
|
|||||||
| 231,299 | ||||||||
|
|
|
|||||||
| Real Estate Management & Development — 0.4% | ||||||||
| 978 | CB Richard Ellis Group, Inc., Class A(b) | 24,558 | ||||||
|
|
|
|||||||
| REITs — Apartments — 0.3% | ||||||||
| 26 | AvalonBay Communities, Inc. | 3,338 | ||||||
See accompanying notes to financial statements.
93 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| REITs — Apartments — continued | ||||||||
| 253 | Equity Residential | $ | 15,180 | |||||
|
|
|
|||||||
| 18,518 | ||||||||
|
|
|
|||||||
| REITs — Diversified — 0.8% | ||||||||
| 193 | Plum Creek Timber Co., Inc. | 7,824 | ||||||
| 160 | Vornado Realty Trust | 14,909 | ||||||
| 1,169 | Weyerhaeuser Co. | 25,554 | ||||||
|
|
|
|||||||
| 48,287 | ||||||||
|
|
|
|||||||
| REITs — Office Property — 0.1% | ||||||||
| 47 | Boston Properties, Inc. | 4,990 | ||||||
|
|
|
|||||||
| REITs — Regional Malls — 0.2% | ||||||||
| 107 | Simon Property Group, Inc. | 12,437 | ||||||
|
|
|
|||||||
| REITs — Shopping Centers — 0.1% | ||||||||
| 283 | Kimco Realty Corp. | 5,275 | ||||||
|
|
|
|||||||
| Road & Rail — 0.9% | ||||||||
| 891 | CSX Corp. | 23,362 | ||||||
| 73 | Norfolk Southern Corp. | 5,470 | ||||||
| 236 | Union Pacific Corp. | 24,638 | ||||||
|
|
|
|||||||
| 53,470 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 3.1% | ||||||||
| 591 | Altera Corp. | 27,393 | ||||||
| 165 | Analog Devices, Inc. | 6,458 | ||||||
| 1,057 | Applied Materials, Inc. | 13,751 | ||||||
| 1,413 | Intel Corp. | 31,312 | ||||||
| 175 | KLA-Tencor Corp. | 7,084 | ||||||
| 993 | LSI Corp.(b) | 7,070 | ||||||
| 188 | Microchip Technology, Inc. | 7,127 | ||||||
| 2,799 | Micron Technology, Inc.(b) | 20,936 | ||||||
| 345 | Novellus Systems, Inc.(b) | 12,468 | ||||||
| 699 | NVIDIA Corp.(b) | 11,139 | ||||||
| 1,577 | Teradyne, Inc.(b) | 23,340 | ||||||
| 449 | Texas Instruments, Inc. | 14,741 | ||||||
| 91 | Xilinx, Inc. | 3,319 | ||||||
|
|
|
|||||||
| 186,138 | ||||||||
|
|
|
|||||||
| Software — 4.3% | ||||||||
| 183 | Autodesk, Inc.(b) | 7,064 | ||||||
| 164 | BMC Software, Inc.(b) | 8,971 | ||||||
| 487 | CA, Inc. | 11,123 | ||||||
| 336 | Citrix Systems, Inc.(b) | 26,880 | ||||||
| 706 | Compuware Corp.(b) | 6,890 | ||||||
| 277 | Electronic Arts, Inc.(b) | 6,537 | ||||||
| 370 | Intuit, Inc.(b) | 19,188 | ||||||
| 2,576 | Microsoft Corp. | 66,976 | ||||||
| 1,678 | Oracle Corp. | 55,223 | ||||||
| 154 | Red Hat, Inc.(b) | 7,069 | ||||||
| 158 | Salesforce.com, Inc.(b) | 23,539 | ||||||
See accompanying notes to financial statements.
| 94
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Software — continued | ||||||||
| 1,006 | Symantec Corp.(b) | $ | 19,838 | |||||
|
|
|
|||||||
| 259,298 | ||||||||
|
|
|
|||||||
| Specialty Retail — 3.5% | ||||||||
| 331 | Abercrombie & Fitch Co., Class A | 22,150 | ||||||
| 628 | AutoNation, Inc.(b) | 22,991 | ||||||
| 81 | AutoZone, Inc.(b) | 23,883 | ||||||
| 136 | Best Buy Co., Inc. | 4,272 | ||||||
| 179 | CarMax, Inc.(b) | 5,920 | ||||||
| 934 | GameStop Corp., Class A(b) | 24,910 | ||||||
| 321 | Gap, Inc. (The) | 5,810 | ||||||
| 861 | Limited Brands, Inc. | 33,105 | ||||||
| 363 | Lowe’s Cos., Inc. | 8,462 | ||||||
| 1,323 | RadioShack Corp. | 17,609 | ||||||
| 119 | Ross Stores, Inc. | 9,534 | ||||||
| 855 | Staples, Inc. | 13,509 | ||||||
| 283 | Tiffany & Co. | 22,221 | ||||||
|
|
|
|||||||
| 214,376 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
| 197 | Coach, Inc. | 12,594 | ||||||
| 107 | Polo Ralph Lauren Corp. | 14,189 | ||||||
|
|
|
|||||||
| 26,783 | ||||||||
|
|
|
|||||||
| Tobacco — 1.8% | ||||||||
| 781 | Altria Group, Inc. | 20,626 | ||||||
| 123 | Lorillard, Inc. | 13,391 | ||||||
| 876 | Philip Morris International, Inc. | 58,491 | ||||||
| 436 | Reynolds American, Inc. | 16,154 | ||||||
|
|
|
|||||||
| 108,662 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 0.1% | ||||||||
| 41 | W.W. Grainger, Inc. | 6,300 | ||||||
|
|
|
|||||||
| Wireless Telecommunication Services — 1.0% | ||||||||
| 1,795 | MetroPCS Communications, Inc.(b) | 30,892 | ||||||
| 5,924 | Sprint Nextel Corp.(b) | 31,930 | ||||||
|
|
|
|||||||
| 62,822 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $5,331,738) |
6,058,254 | |||||||
|
|
|
|||||||
| Total Investments — 99.7% (Identified Cost $5,331,738)(a) |
6,058,254 | |||||||
| Other assets less liabilities — 0.3% | 17,754 | |||||||
|
|
|
|||||||
| Net Assets — 100.0% | $ | 6,076,008 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
91 |
Table of Contents
Portfolio of Investments – as of June 30, 2011 (Unaudited)
Westpeak ActiveBeta® Equity Fund – (continued)
| (†) | See Note 2 of Notes to Financial Statements. | |||||||
| (a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
| At June 30, 2011, the net unrealized appreciation on investments based on a cost of $5,331,738 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 | $ | 806,977 | ||||||
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (80,461 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation | $ | 726,516 | ||||||
|
|
|
|||||||
| (b) | Non-income producing security. | |||||||
| REITs | Real Estate Investment Trusts | |||||||
Industry Summary at June 30, 2011 (Unaudited)
| Oil, Gas & Consumable Fuels |
11.3 | % | ||
| Health Care Providers & Services |
4.8 | |||
| Software |
4.3 | |||
| Computers & Peripherals |
4.2 | |||
| Media |
3.9 | |||
| IT Services |
3.9 | |||
| Pharmaceuticals |
3.8 | |||
| Energy Equipment & Services |
3.6 | |||
| Specialty Retail |
3.5 | |||
| Diversified Financial Services |
3.3 | |||
| Semiconductors & Semiconductor Equipment |
3.1 | |||
| Aerospace & Defense |
2.9 | |||
| Machinery |
2.6 | |||
| Diversified Telecommunication Services |
2.5 | |||
| Insurance |
2.1 | |||
| Communications Equipment |
2.1 | |||
| Industrial Conglomerates |
2.0 | |||
| Other Investments, less than 2% each |
35.8 | |||
|
|
|
|||
| Total Investments |
99.7 | |||
| Other assets less liabilities |
0.3 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
See accompanying notes to financial statements.
| 92
Table of Contents
Statements of Assets & Liabilities
June 30, 2011 (Unaudited)
| CGM Advisor Targeted Equity Fund |
Harris Associates Large Cap Value Fund |
Natixis Diversified Income Fund* |
||||||||||
| ASSETS |
||||||||||||
| Investments at cost |
$ | 832,714,209 | $ | 123,200,509 | $ | 63,581,180 | ||||||
| Net unrealized appreciation |
28,357,600 | 16,914,379 | 2,999,157 | |||||||||
|
|
|
|
|
|
|
|||||||
| Investments at value |
861,071,809 | 140,114,888 | 66,580,337 | |||||||||
| Cash |
103,462 | 9,397 | 33,338 | |||||||||
| Foreign currency at value (identified cost $0, $0 and $21,692) |
— | — | 22,001 | |||||||||
| Receivable for Fund shares sold |
551,777 | 6,701 | 436,517 | |||||||||
| Receivable for securities sold |
16,938,743 | 1,854,639 | 426,342 | |||||||||
| Dividends and interest receivable |
608,512 | 140,402 | 476,635 | |||||||||
| Unrealized appreciation on forward foreign currency contracts (Note 2) |
— | — | 3,000 | |||||||||
| Tax reclaims receivable |
— | — | 2,298 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL ASSETS |
879,274,303 | 142,126,027 | 67,980,468 | |||||||||
|
|
|
|
|
|
|
|||||||
| LIABILITIES |
||||||||||||
| Payable for securities purchased |
18,259,544 | 525,445 | 91,300 | |||||||||
| Payable for Fund shares redeemed |
2,580,236 | 48,652 | 300,768 | |||||||||
| Unrealized depreciation on forward foreign currency contracts (Note 2) |
— | — | 2,512 | |||||||||
| Management fees payable (Note 6) |
475,428 | 90,643 | 30,275 | |||||||||
| Deferred Trustees’ fees (Note 6) |
692,727 | 362,201 | 50,963 | |||||||||
| Administrative fees payable (Note 6) |
31,711 | 5,191 | 2,538 | |||||||||
| Other accounts payable and accrued expenses |
227,957 | 99,196 | 47,378 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL LIABILITIES |
22,267,603 | 1,131,328 | 525,734 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 857,006,700 | $ | 140,994,699 | $ | 67,454,734 | ||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS CONSIST OF: |
||||||||||||
| Paid-in capital |
$ | 760,916,287 | $ | 144,908,050 | $ | 84,847,619 | ||||||
| Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) |
(358,716 | ) | (105,476 | ) | 195,097 | |||||||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
68,091,529 | (20,722,254 | ) | (20,589,609 | ) | |||||||
| Net unrealized appreciation on investments and foreign currency translations |
28,357,600 | 16,914,379 | 3,001,627 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 857,006,700 | $ | 140,994,699 | $ | 67,454,734 | ||||||
|
|
|
|
|
|
|
|||||||
| * | Formerly Natixis Income Diversified Portfolio. |
See accompanying notes to financial statements.
93 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund** |
Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
Westpeak ActiveBeta® Equity Fund |
|||||||||||||
| ASSETS |
||||||||||||||||
| Investments at cost |
$ | 313,430,442 | $ | 470,018,247 | $ | 85,678,340 | $ | 5,331,738 | ||||||||
| Net unrealized appreciation |
74,913,781 | 74,367,740 | 8,139,105 | 726,516 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investments at value |
388,344,223 | 544,385,987 | 93,817,445 | 6,058,254 | ||||||||||||
| Cash |
7,048 | — | — | 14,723 | ||||||||||||
| Receivable for Fund shares sold |
142,423 | 93,046 | 1,776,482 | — | ||||||||||||
| Receivable from investment adviser (Note 6) |
— | — | — | 38,089 | ||||||||||||
| Receivable for securities sold |
2,402,112 | — | 350,447 | — | ||||||||||||
| Dividends and interest receivable |
255,865 | 960,648 | 103,911 | 6,083 | ||||||||||||
| Unrealized appreciation on forward foreign currency contracts |
— | — | — | — | ||||||||||||
| Tax reclaims receivable |
— | — | — | 46 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL ASSETS |
391,151,671 | 545,439,681 | 96,048,285 | 6,117,195 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| Options written, at value (premiums received $59,875, $0, $0 and $0) (Note 2) |
108,570 | — | — | — | ||||||||||||
| Payable for securities purchased |
4,042,045 | 2,073,194 | 312,677 | — | ||||||||||||
| Payable for Fund shares redeemed |
337,005 | 559,189 | 106,175 | — | ||||||||||||
| Management fees payable (Note 6) |
245,231 | 412,383 | 64,429 | — | ||||||||||||
| Deferred Trustees’ fees (Note 6) |
403,290 | 148,891 | 25,728 | 8,182 | ||||||||||||
| Administrative fees payable (Note 6) |
14,139 | 21,130 | 3,427 | 8,082 | ||||||||||||
| Other accounts payable and accrued expenses |
177,343 | 170,382 | 28,964 | 24,923 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL LIABILITIES |
5,327,623 | 3,385,169 | 541,400 | 41,187 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS |
$ | 385,824,048 | $ | 542,054,512 | $ | 95,506,885 | $ | 6,076,008 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||
| Paid-in capital |
$ | 307,268,811 | $ | 406,239,830 | $ | 81,589,962 | $ | 5,071,076 | ||||||||
| Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) |
(1,242,140 | ) | 515,426 | (74,644 | ) | 19,548 | ||||||||||
| Accumulated net realized gain (loss) on investments, options written and foreign currency transactions |
4,932,291 | 60,931,516 | 5,852,462 | 258,868 | ||||||||||||
| Net unrealized appreciation on investments, options written and foreign currency translations |
74,865,086 | 74,367,740 | 8,139,105 | 726,516 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS |
$ | 385,824,048 | $ | 542,054,512 | $ | 95,506,885 | $ | 6,076,008 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| ** | Formerly Natixis U.S. Diversified Portfolio. |
See accompanying notes to financial statements.
| 94
Table of Contents
Statements of Assets & Liabilities (continued)
June 30, 2011 (Unaudited)
| CGM Advisor Targeted Equity Fund |
Harris Associates Large Cap Value Fund |
Natixis Diversified Income Fund |
||||||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||
| Class A shares: |
||||||||||||
| Net assets |
$ | 663,945,562 | $ | 120,575,649 | $ | 38,237,115 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
61,859,111 | 8,074,156 | 3,487,850 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and redemption price per share |
$ | 10.73 | $ | 14.93 | $ | 10.96 | ||||||
|
|
|
|
|
|
|
|||||||
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 11.38 | $ | 15.84 | $ | 11.48 | ||||||
|
|
|
|
|
|
|
|||||||
| Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||
| Net assets |
$ | 7,660,126 | $ | 4,504,379 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
796,108 | 328,252 | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and offering price per share |
$ | 9.62 | $ | 13.72 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||
| Net assets |
$ | 68,339,258 | $ | 6,813,221 | $ | 29,217,619 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
7,138,293 | 498,236 | 2,671,555 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value and offering price per share |
$ | 9.57 | $ | 13.67 | $ | 10.94 | ||||||
|
|
|
|
|
|
|
|||||||
| Class Y shares: |
||||||||||||
| Net assets |
$ | 117,061,754 | $ | 9,101,450 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| Shares of beneficial interest |
10,631,139 | 588,968 | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, offering and redemption price per share |
$ | 11.01 | $ | 15.45 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements.
95 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund |
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 |
$ | 328,384,248 | $ | 297,231,977 | $ | 20,093,899 | $ | 1,210 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
12,162,521 | 12,774,067 | 1,224,472 | 101 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value and redemption price per share |
$ | 27.00 | $ | 23.27 | $ | 16.41 | $ | 11.98 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 28.65 | $ | 24.69 | $ | 17.41 | $ | 12.71 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||
| Net assets |
$ | 23,127,860 | $ | 6,538,407 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
1,001,846 | 326,284 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value and offering price per share |
$ | 23.09 | $ | 20.04 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||
| Net assets |
$ | 32,585,864 | $ | 37,874,377 | $ | 2,093,824 | $ | 1,206 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
1,410,931 | 1,889,587 | 129,178 | 101 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value and offering price per share |
$ | 23.10 | $ | 20.04 | $ | 16.21 | $ | 11.94 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y shares: |
||||||||||||||||
| Net assets |
$ | 1,726,076 | $ | 200,409,751 | $ | 73,319,162 | $ | 6,073,592 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Shares of beneficial interest |
59,252 | 8,499,043 | 4,448,792 | 506,181 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, offering and redemption price per share |
$ | 29.13 | $ | 23.58 | $ | 16.48 | $ | 12.00 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
| 96
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2011 (Unaudited)
| CGM Advisor Targeted Equity Fund |
Harris Associates Large Cap Value Fund |
Natixis Diversified Income Fund* |
||||||||||
| INVESTMENT INCOME |
||||||||||||
| Dividends |
$ | 5,874,941 | $ | 1,212,107 | $ | 572,102 | ||||||
| Interest |
4,816 | — | 1,046,282 | |||||||||
| Less net foreign taxes withheld |
(222,466 | ) | (707 | ) | (1,704 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| 5,657,291 | 1,211,400 | 1,616,680 | ||||||||||
|
|
|
|
|
|
|
|||||||
| Expenses |
||||||||||||
| Management fees (Note 6) |
3,202,331 | 500,036 | 179,211 | |||||||||
| Service and distribution fees (Note 6) |
1,315,187 | 212,526 | 186,885 | |||||||||
| Administrative fees (Note 6) |
216,352 | 33,160 | 15,123 | |||||||||
| Trustees’ fees and expenses (Note 6) |
34,144 | 18,709 | 9,897 | |||||||||
| Transfer agent fees and expenses (Note 6) |
438,226 | 118,427 | 18,014 | |||||||||
| Audit and tax services fees |
25,003 | 21,340 | 23,396 | |||||||||
| Custodian fees and expenses |
23,934 | 11,845 | 18,547 | |||||||||
| Legal fees |
8,146 | 1,201 | 571 | |||||||||
| Registration fees |
37,475 | 29,526 | 19,062 | |||||||||
| Shareholder reporting expenses |
18,001 | 6,202 | 1,036 | |||||||||
| Miscellaneous expenses |
17,080 | 5,793 | 5,057 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total expenses |
5,335,879 | 958,765 | 476,799 | |||||||||
| Fee/expense recovery (Note 6) |
— | 3,824 | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Net expenses |
5,335,879 | 962,589 | 476,799 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net investment income (loss) |
321,412 | 248,811 | 1,139,881 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||||||
| Net realized gain (loss) on: |
||||||||||||
| Investments |
195,992,393 | 1,042,899 | 626,076 | |||||||||
| Foreign currency transactions |
— | — | (4,543 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||||||
| Investments |
(229,984,041 | ) | 6,277,693 | 2,595,441 | ||||||||
| Foreign currency translations |
— | — | 6,572 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net realized and unrealized gain (loss) on investments and foreign currency transactions |
(33,991,648 | ) | 7,320,592 | 3,223,546 | ||||||||
|
|
|
|
|
|
|
|||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (33,670,236 | ) | $ | 7,569,403 | $ | 4,363,427 | |||||
|
|
|
|
|
|
|
|||||||
| * | Formerly Natixis Income Diversified Portfolio. |
See accompanying notes to financial statements.
97 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund** |
Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
Westpeak ActiveBeta® Equity Fund |
|||||||||||||
| INVESTMENT INCOME |
||||||||||||||||
| Dividends |
$ | 1,997,138 | $ | 4,465,083 | $ | 400,692 | $ | 51,825 | ||||||||
| Less net foreign taxes withheld |
(502 | ) | — | — | (26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 1,996,636 | 4,465,083 | 400,692 | 51,799 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Expenses |
||||||||||||||||
| Management fees (Note 6) |
1,691,522 | 2,618,280 | 295,720 | 17,879 | ||||||||||||
| Service and distribution fees (Note 6) |
693,687 | 605,268 | 28,758 | 7 | ||||||||||||
| Administrative fees (Note 6) |
88,822 | 135,033 | 17,141 | 49,589 | ||||||||||||
| Trustees’ fees and expenses (Note 6) |
21,777 | 16,616 | 9,175 | 8,200 | ||||||||||||
| Transfer agent fees and expenses (Note 6) |
291,462 | 329,000 | 24,297 | 66 | ||||||||||||
| Audit and tax services fees |
30,353 | 20,390 | 19,725 | 20,489 | ||||||||||||
| Custodian fees and expenses |
27,075 | 18,089 | 12,562 | 8,884 | ||||||||||||
| Legal fees |
3,407 | 4,633 | 499 | 51 | ||||||||||||
| Registration fees |
29,056 | 34,920 | 29,070 | 40,144 | ||||||||||||
| Shareholder reporting expenses |
13,122 | 14,013 | 7,429 | 1,500 | ||||||||||||
| Miscellaneous expenses |
11,595 | 11,283 | 4,629 | 1,630 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses |
2,901,878 | 3,807,525 | 449,005 | 148,439 | ||||||||||||
| Fee/expense recovery (Note 6) |
— | — | 4,915 | — | ||||||||||||
| Less waiver and/or expense reimbursement (Note 6) |
(59,291 | ) | — | — | (120,123 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net expenses |
2,842,587 | 3,807,525 | 453,920 | 28,316 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
(845,951 | ) | 657,558 | (53,228 | ) | 23,483 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS |
||||||||||||||||
| Net realized gain (loss) on: |
||||||||||||||||
| Investments |
43,549,940 | 64,899,400 | 6,206,055 | 262,591 | ||||||||||||
| Options written |
(52,633 | ) | — | — | — | |||||||||||
| Foreign currency transactions |
4,555 | — | — | — | ||||||||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
| Investments |
(16,030,108 | ) | (30,897,251 | ) | 156,206 | 67,472 | ||||||||||
| Options written |
(48,695 | ) | — | — | — | |||||||||||
| Foreign currency translations |
(99 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized and unrealized gain (loss) on investments, options written and foreign currency transactions |
27,422,960 | 34,002,149 | 6,362,261 | 330,063 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 26,577,009 | $ | 34,659,707 | $ | 6,309,033 | $ | 353,546 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| ** | Formerly Natixis U.S. Diversified Portfolio. |
See accompanying notes to financial statements.
| 98
Table of Contents
Statements of Changes In Net Assets
| CGM Advisor Targeted Equity Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 321,412 | $ | 4,542,096 | ||||
| Net realized gain (loss) on investments |
195,992,393 | 145,665,093 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
(229,984,041 | ) | 3,002,654 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
(33,670,236 | ) | 153,209,843 | |||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net investment income |
||||||||
| Class A |
— | (3,682,006 | ) | |||||
| Class B |
— | (375 | ) | |||||
| Class C |
— | (2,612 | ) | |||||
| Class Y |
— | (963,306 | ) | |||||
|
|
|
|
|
|||||
| Total distributions |
— | (4,648,299 | ) | |||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(91,696,224 | ) | (212,514,662 | ) | ||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
(125,366,460 | ) | (63,953,118 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of the period |
982,373,160 | 1,046,326,278 | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 857,006,700 | $ | 982,373,160 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | (358,716 | ) | $ | (680,128 | ) | ||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
99 |
Table of Contents
| Harris Associates Large Cap Value Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 248,811 | $ | 401,990 | ||||
| Net realized gain (loss) on investments |
1,042,899 | (1,313,526 | ) | |||||
| Net change in unrealized appreciation (depreciation) on investments |
6,277,693 | 17,456,589 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
7,569,403 | 16,545,053 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net investment income |
||||||||
| Class A |
(32,259 | ) | (471,512 | ) | ||||
| Class B |
(1,388 | ) | (7,875 | ) | ||||
| Class C |
(2,052 | ) | (8,448 | ) | ||||
| Class Y |
(2,385 | ) | (58,296 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(38,084 | ) | (546,131 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(8,073,973 | ) | (10,294,109 | ) | ||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
(542,654 | ) | 5,704,813 | |||||
| NET ASSETS |
||||||||
| Beginning of the period |
141,537,353 | 135,832,540 | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 140,994,699 | $ | 141,537,353 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | (105,476 | ) | $ | (316,203 | ) | ||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 100
Table of Contents
Statements of Changes In Net Assets (continued)
| Natixis Diversified Income Fund* | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 1,139,881 | $ | 1,898,058 | ||||
| Net realized gain (loss) on investments and foreign currency transactions |
621,533 | 966,526 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currency translations |
2,602,013 | 6,183,219 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
4,363,427 | 9,047,803 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net investment income |
||||||||
| Class A |
(651,728 | ) | (1,156,917 | ) | ||||
| Class C |
(388,118 | ) | (644,276 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(1,039,846 | ) | (1,801,193 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
989,231 | (3,201,800 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
4,312,812 | 4,044,810 | ||||||
| NET ASSETS |
||||||||
| Beginning of the period |
63,141,922 | 59,097,112 | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 67,454,734 | $ | 63,141,922 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | 195,097 | $ | 95,062 | ||||
|
|
|
|
|
|||||
| * | Formerly Natixis Income Diversified Portfolio. |
See accompanying notes to financial statements.
101 |
Table of Contents
| Natixis U.S. Multi-Cap Equity Fund** | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | (845,951 | ) | $ | 4,989 | |||
| Net realized gain (loss) on investments, options written and foreign currency transactions |
43,501,862 | 40,357,533 | ||||||
| Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations |
(16,078,902 | ) | 28,130,781 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
26,577,009 | 68,493,303 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net investment income |
||||||||
| Class A |
— | (487,074 | ) | |||||
| Class Y |
— | (4,611 | ) | |||||
|
|
|
|
|
|||||
| Total distributions |
— | (491,685 | ) | |||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(16,152,954 | ) | (44,819,314 | ) | ||||
|
|
|
|
|
|||||
| Increase from regulatory settlements |
— | 61,116 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
10,424,055 | 23,243,420 | ||||||
| NET ASSETS |
||||||||
| Beginning of the period |
375,399,993 | 352,156,573 | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 385,824,048 | $ | 375,399,993 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | (1,242,140 | ) | $ | (396,189 | ) | ||
|
|
|
|
|
|||||
| ** | Formerly Natixis U.S. Diversified Portfolio. |
See accompanying notes to financial statements.
| 102
Table of Contents
Statements of Changes In Net Assets (continued)
| Vaughan Nelson Small Cap Value Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 657,558 | $ | 91,305 | ||||
| Net realized gain (loss) on investments |
64,899,400 | 119,759,809 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
(30,897,251 | ) | (2,048,591 | ) | ||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
34,659,707 | 117,802,523 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net realized capital gains |
||||||||
| Class A |
(11,541,362 | ) | (49,985,276 | ) | ||||
| Class B |
(302,541 | ) | (1,639,642 | ) | ||||
| Class C |
(1,676,130 | ) | (7,933,438 | ) | ||||
| Class Y |
(8,809,381 | ) | (40,435,533 | ) | ||||
|
|
|
|
|
|||||
| Total distributions |
(22,329,414 | ) | (99,993,889 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
(1,623,173 | ) | (92,687,439 | ) | ||||
|
|
|
|
|
|||||
| Increase from regulatory settlements |
— | 493,744 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
10,707,120 | (74,385,061 | ) | |||||
| NET ASSETS |
||||||||
| Beginning of the period |
531,347,392 | 605,732,453 | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 542,054,512 | $ | 531,347,392 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | 515,426 | $ | (142,132 | ) | |||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
103 |
Table of Contents
| Vaughan Nelson Value Opportunity Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Year Ended December 31, 2010 |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | (53,228 | ) | $ | 293,964 | |||
| Net realized gain (loss) on investments |
6,206,055 | (366,346 | ) | |||||
| Net change in unrealized appreciation (depreciation) on investments |
156,206 | 7,380,666 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
6,309,033 | 7,308,284 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net investment income |
||||||||
| Class A |
— | (53,709 | ) | |||||
| Class C |
— | (2,143 | ) | |||||
| Class Y |
— | (226,813 | ) | |||||
| Net realized capital gains |
||||||||
| Class A |
— | (13,079 | ) | |||||
| Class C |
— | (823 | ) | |||||
| Class Y |
— | (51,747 | ) | |||||
| Distributions from paid-in capital |
||||||||
| Class A |
— | (44,021 | ) | |||||
| Class C |
— | (1,747 | ) | |||||
| Class Y |
— | (186,046 | ) | |||||
|
|
|
|
|
|||||
| Total distributions |
— | (580,128 | ) | |||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
36,391,083 | 33,438,367 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
42,700,116 | 40,166,523 | ||||||
| NET ASSETS |
||||||||
| Beginning of the period |
52,806,769 | 12,640,246 | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 95,506,885 | $ | 52,806,769 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET |
$ | (74,644 | ) | $ | (21,416 | ) | ||
|
|
|
|
|
|||||
See accompanying notes to financial statements.
| 104
Table of Contents
Statements of Changes In Net Assets (continued)
| Westpeak ActiveBeta® Equity Fund | ||||||||
| Six Months Ended June 30, 2011 (Unaudited) |
Period Ended December 31, 2010(a) |
|||||||
| FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 23,483 | $ | 25,178 | ||||
| Net realized gain (loss) on investments |
262,591 | 36,238 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
67,472 | 659,044 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
353,546 | 720,460 | ||||||
|
|
|
|
|
|||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Net investment income |
||||||||
| Class A |
— | (b) | (5 | ) | ||||
| Class C |
— | (b) | (1 | ) | ||||
| Class Y |
(1,257 | ) | (29,250 | ) | ||||
| Net realized capital gains |
||||||||
| Class A |
(8 | ) | — | |||||
| Class C |
(8 | ) | — | |||||
| Class Y |
(41,465 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions |
(42,738 | ) | (29,256 | ) | ||||
|
|
|
|
|
|||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) |
42,738 | 5,031,258 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets |
353,546 | 5,722,462 | ||||||
| NET ASSETS |
||||||||
| Beginning of the period |
5,722,462 | — | ||||||
|
|
|
|
|
|||||
| End of the period |
$ | 6,076,008 | $ | 5,722,462 | ||||
|
|
|
|
|
|||||
| UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | 19,548 | $ | (2,678 | ) | |||
|
|
|
|
|
|||||
| (a) | From commencement of operations on July 30, 2010 through December 31, 2010. |
| (b) | Amount rounds to less than $1.00. |
See accompanying notes to financial statements.
105 |
Table of Contents
This Page Intentionally Left Blank
| 106
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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 11.12 | $ | 0.01 | $ | (0.40 | ) | $ | (0.39 | ) | $ | — | $ | — | $ | — | ||||||||||||
| 12/31/2010 |
9.54 | 0.05 | (h) | 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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
10.01 | (0.03 | ) | (0.36 | ) | (0.39 | ) | — | — | — | ||||||||||||||||||
| 12/31/2010 |
8.61 | (0.02 | )(h) | 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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
9.96 | (0.03 | ) | (0.36 | ) | (0.39 | ) | — | — | — | ||||||||||||||||||
| 12/31/2010 |
8.57 | (0.02 | )(h) | 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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
11.40 | 0.02 | (0.41 | ) | (0.39 | ) | — | — | — | |||||||||||||||||||
| 12/31/2010 |
9.78 | 0.07 | (h) | 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. |
| (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 six months ended June 30, 2011 (Unaudited). |
See accompanying notes to financial statements.
107 |
Table of Contents
| 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 (%) |
|||||||||||||||||||||||
| $ | — | $ | 10.73 | (3.51 | ) | $ | 663,946 | 1.11 | 1.11 | 0.10 | 118 | |||||||||||||||||||
| — | 11.12 | 17.14 | 753,518 | 1.16 | 1.16 | 0.52 | (h) | 146 | ||||||||||||||||||||||
| — | 9.54 | 25.19 | 693,386 | 1.19 | 1.19 | 0.69 | 170 | |||||||||||||||||||||||
| 0.00 | (i) | 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 | |||||||||||||||||||||||
| — | 9.62 | (3.90 | ) | 7,660 | 1.86 | 1.86 | (0.65 | ) | 118 | |||||||||||||||||||||
| — | 10.01 | 16.26 | 9,934 | 1.91 | 1.91 | (0.28 | )(h) | 146 | ||||||||||||||||||||||
| — | 8.61 | 24.42 | 12,401 | 1.94 | 1.94 | (0.11 | ) | 170 | ||||||||||||||||||||||
| 0.00 | (i) | 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 | |||||||||||||||||||||||
| — | 9.57 | (3.92 | ) | 68,339 | 1.86 | 1.86 | (0.65 | ) | 118 | |||||||||||||||||||||
| — | 9.96 | 16.22 | 81,291 | 1.91 | 1.91 | (0.23 | )(h) | 146 | ||||||||||||||||||||||
| — | 8.57 | 24.42 | 75,098 | 1.95 | 1.95 | (0.14 | ) | 170 | ||||||||||||||||||||||
| 0.00 | (i) | 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 | |||||||||||||||||||||||
| — | 11.01 | (3.42 | ) | 117,062 | 0.86 | 0.86 | 0.35 | 118 | ||||||||||||||||||||||
| — | 11.40 | 17.39 | 137,631 | 0.91 | 0.91 | 0.69 | (h) | 146 | ||||||||||||||||||||||
| — | 9.78 | 25.75 | 265,441 | 0.94 | 0.94 | 0.64 | 170 | |||||||||||||||||||||||
| 0.00 | (i) | 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 | |||||||||||||||||||||||
| (h) | 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. |
| (i) | Effective June 2, 2008, redemption fees were eliminated. |
See accompanying notes to financial statements.
| 108
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 |
Total distributions (b) |
||||||||||||||||||||||
| HARRIS ASSOCIATES LARGE CAP VALUE FUND |
|
|||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 14.17 | $ | 0.03 | $ | 0.73 | $ | 0.76 | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | ||||||||||||
| 12/31/2010 |
12.58 | 0.05 | 1.60 | 1.65 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
| 12/31/2009 |
8.77 | 0.05 | (i) | 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 | )(j) | (0.43 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
| 12/31/2006 |
13.33 | 0.06 | 2.13 | 2.19 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
13.07 | (0.02 | ) | 0.67 | 0.65 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
| 12/31/2010 |
11.65 | (0.05 | ) | 1.48 | 1.43 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
| 12/31/2009 |
8.16 | (0.02 | )(i) | 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 | )(j) | (0.51 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
| 12/31/2006 |
12.48 | (0.04 | ) | 1.98 | 1.94 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
13.02 | (0.02 | ) | 0.67 | 0.65 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
| 12/31/2010 |
11.61 | (0.05 | ) | 1.47 | 1.42 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
| 12/31/2009 |
8.13 | (0.02 | )(i) | 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 | )(j) | (0.51 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
| 12/31/2006 |
12.46 | (0.04 | ) | 1.98 | 1.94 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
| Class Y |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
14.65 | 0.05 | 0.75 | 0.80 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
| 12/31/2010 |
12.99 | 0.08 | 1.67 | 1.75 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
| 12/31/2009 |
9.05 | 0.08 | (i) | 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 | )(j) | (0.39 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
| 12/31/2006 |
13.72 | 0.12 | 2.20 | 2.32 | (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. |
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
109 |
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 (%) (f) |
Net investment income (loss) (%) (f) |
Portfolio turnover rate (%) |
|||||||||||||||||||||||
| $ — | $ | 14.93 | 5.39 | $ | 120,576 | 1.30 | (h) | 1.30 | (h) | 0.40 | 19 | |||||||||||||||||||
| — | 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 | (k)(l) | 1.28 | (k) | 0.35 | 30 | ||||||||||||||||||||
| — | 15.49 | 16.50 | 195,714 | 1.30 | 1.30 | 0.44 | 23 | |||||||||||||||||||||||
| — | 13.72 | 5.00 | 4,504 | 2.05 | (h) | 2.05 | (h) | (0.37 | ) | 19 | ||||||||||||||||||||
| — | 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 | (k)(l) | 2.04 | (k) | (0.44 | ) | 30 | |||||||||||||||||||
| — | 14.39 | 15.61 | 42,894 | 2.05 | 2.07 | (0.33 | ) | 23 | ||||||||||||||||||||||
| — | 13.67 | 5.02 | 6,813 | 2.05 | (h) | 2.05 | (h) | (0.36 | ) | 19 | ||||||||||||||||||||
| — | 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 | (k)(l) | 2.04 | (k) | (0.41 | ) | 30 | |||||||||||||||||||
| — | 14.37 | 15.64 | 18,089 | 2.05 | 2.06 | (0.32 | ) | 23 | ||||||||||||||||||||||
| — | 15.45 | 5.49 | 9,101 | 1.05 | (h) | 1.05 | (h) | 0.64 | 19 | |||||||||||||||||||||
| — | 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 | (l) | 0.91 | 0.72 | 30 | |||||||||||||||||||||
| — | 16.01 | 16.97 | 14,057 | 0.91 | (k) | 0.91 | (k) | 0.82 | 23 | |||||||||||||||||||||
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes fee/expense recovery of 0.01%, less than 0.01%, 0.01% and 0.01% for Class A, B, C and Y, respectively. |
| (i) | Includes a non-recurring dividend of $0.01 per share. |
| (j) | Includes a litigation payment of $0.02 per share. |
| (k) | Includes fee/expense recovery of less than 0.01%, 0.02%, 0.01% and 0.04% for Class A, B, C and Y, respectively. |
| (l) | Effect of voluntary waiver of expenses by adviser was less than 0.005%. |
See accompanying notes to financial statements.
| 110
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 DIVERSIFIED INCOME FUND* |
|
|||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(f) |
$ | 10.41 | $ | 0.20 | $ | 0.54 | $ | 0.74 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | ||||||||||||
| 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 |
||||||||||||||||||||||||||||
| 6/30/2011(f) |
10.39 | 0.16 | 0.54 | 0.70 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
| 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 | ) | ||||||||||||||||||
| * | Formerly Natixis Income Diversified Portfolio. |
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | A sales charge for Class A shares 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. |
| (c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
See accompanying notes to financial statements.
111 |
Table of Contents
| 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 (%) (e) |
Net investment income (%) (e) |
Portfolio turnover rate (%) |
||||||||||||||||||||
| $ | 10.96 | 7.12 | $ | 38,237 | 1.14 | 1.14 | 3.82 | 10 | ||||||||||||||||||
| 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 | (g) | 1.09 | (g) | 3.76 | 50 | |||||||||||||||||
| 11.15 | 14.24 | 37,117 | 1.25 | 1.30 | 2.72 | 52 | ||||||||||||||||||||
| 10.94 | 6.74 | 29,218 | 1.89 | 1.89 | 3.07 | 10 | ||||||||||||||||||||
| 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 | (g) | 1.84 | (g) | 3.00 | 50 | |||||||||||||||||
| 11.12 | 13.33 | 49,027 | 2.00 | 2.05 | 2.02 | 52 | ||||||||||||||||||||
| (d) | 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. |
| (e) | Computed on an annualized basis for periods less than one year, if applicable. |
| (f) | For the six months ended June 30, 2011 (Unaudited). |
| (g) | Includes fee/expense recovery of 0.01%. |
See accompanying notes to financial statements.
| 112
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. MULTI-CAP EQUITY FUND* |
|
|||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 25.17 | $ | (0.04 | ) | $ | 1.87 | $ | 1.83 | $ | — | $ | — | $ | — | |||||||||||||
| 12/31/2010 |
20.68 | 0.03 | (i) | 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 | (j) | (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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
21.60 | (0.12 | ) | 1.61 | 1.49 | — | — | — | ||||||||||||||||||||
| 12/31/2010 |
17.85 | (0.12 | )(i) | 3.87 | 3.75 | — | — | — | ||||||||||||||||||||
| 12/31/2009 |
13.19 | (0.12 | ) | 4.78 | 4.66 | — | — | — | ||||||||||||||||||||
| 12/31/2008 |
22.63 | (0.13 | )(j) | (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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
21.61 | (0.12 | ) | 1.61 | 1.49 | — | — | — | ||||||||||||||||||||
| 12/31/2010 |
17.86 | (0.12 | )(i) | 3.87 | 3.75 | — | — | — | ||||||||||||||||||||
| 12/31/2009 |
13.19 | (0.12 | ) | 4.79 | 4.67 | — | — | — | ||||||||||||||||||||
| 12/31/2008 |
22.65 | (0.13 | )(j) | (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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
27.12 | (0.01 | ) | 2.02 | 2.01 | — | — | — | ||||||||||||||||||||
| 12/31/2010 |
22.27 | 0.05 | (i) | 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 | (j) | (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 | — | — | — | |||||||||||||||||||||
| * | Formerly Natixis U.S. Diversified Portfolio. |
| (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. |
| (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. |
See accompanying notes to financial statements.
113 |
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 (%) |
|||||||||||||||||||||||
| $ | — | $ | 27.00 | 7.27 | $ | 328,384 | 1.37 | (h) | 1.40 | (0.33 | ) | 55 | ||||||||||||||||||
| 0.00 | 25.17 | 21.90 | 314,384 | 1.40 | 1.50 | 0.14 | (i) | 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 | |||||||||||||||||||||||
| — | 23.09 | 6.90 | 23,128 | 2.13 | (h) | 2.16 | (1.10 | ) | 55 | |||||||||||||||||||||
| 0.00 | 21.60 | 21.01 | 28,787 | 2.15 | 2.25 | (0.66 | )(i) | 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 | ||||||||||||||||||||||
| — | 23.10 | 6.90 | 32,586 | 2.12 | (h) | 2.15 | (1.08 | ) | 55 | |||||||||||||||||||||
| 0.00 | 21.61 | 21.00 | 30,912 | 2.15 | 2.25 | (0.62 | )(i) | 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 | ||||||||||||||||||||||
| — | 29.13 | 7.41 | 1,726 | 1.12 | (h) | 1.17 | (0.06 | ) | 55 | |||||||||||||||||||||
| 0.00 | 27.12 | 22.21 | 1,317 | 1.15 | 1.24 | 0.22 | (i) | 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 | |||||||||||||||||||||||
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Effective June 1, 2011, the expense limit decreased to 1.30%. 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively. |
| (i) | 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. |
| (j) | Includes a non-recurring dividend of $0.02 per share. |
See accompanying notes to financial statements.
| 114
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 |
||||||||||||||||||||||
| VAUGHAN NELSON SMALL CAP VALUE FUND |
|
|||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 22.69 | $ | 0.02 | $ | 1.45 | $ | 1.47 | $ | — | $ | (0.89 | ) | $ | (0.89 | ) | ||||||||||||
| 12/31/2010 |
22.31 | (0.01 | ) | 5.27 | 5.26 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
| 12/31/2009 |
17.42 | 0.05 | (h) | 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 |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
19.73 | (0.06 | ) | 1.26 | 1.20 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
| 12/31/2010 |
20.06 | (0.17 | ) | 4.72 | 4.55 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
| 12/31/2009 |
15.76 | (0.09 | )(h) | 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 |
|
|||||||||||||||||||||||||||
| 6/30/2011(g) |
19.74 | (0.06 | ) | 1.25 | 1.19 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
| 12/31/2010 |
20.07 | (0.16 | ) | 4.71 | 4.55 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
| 12/31/2009 |
15.76 | (0.08 | )(h) | 4.39 | 4.31 | — | — | — | ||||||||||||||||||||
| 12/31/2008 |
20.16 | (0.13 | ) | (4.24 | ) | (4.37 | ) | — | (0.30 | ) | (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 |
|
|||||||||||||||||||||||||||
| 6/30/2011(g) |
22.96 | 0.05 | 1.46 | 1.51 | — | (0.89 | ) | (0.89 | ) | |||||||||||||||||||
| 12/31/2010 |
22.47 | 0.06 | 5.31 | 5.37 | — | (4.90 | ) | (4.90 | ) | |||||||||||||||||||
| 12/31/2009 |
17.55 | 0.12 | (h) | 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(l) |
19.02 | 0.02 | 1.87 | 1.89 | — | — | — | |||||||||||||||||||||
| (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.
115 |
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 (%) |
||||||||||||||||||||||||||
| $ | — | $ | — | $ | 23.27 | 6.47 | $ | 297,232 | 1.35 | 1.35 | 0.19 | 48 | ||||||||||||||||||||||
| 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 | (i) | 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 | |||||||||||||||||||||||||
| — | — | 20.04 | 6.07 | 6,538 | 2.10 | 2.10 | (0.63 | ) | 48 | |||||||||||||||||||||||||
| 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 | (i) | 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 | |||||||||||||||||||||||||
| — | — | 20.04 | 6.01 | 37,874 | 2.10 | 2.10 | (0.58 | ) | 48 | |||||||||||||||||||||||||
| 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 | (i) | 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 | |||||||||||||||||||||||||
| — | — | 23.58 | 6.57 | 200,410 | 1.10 | 1.10 | 0.43 | 48 | ||||||||||||||||||||||||||
| 0.02 | — | 22.96 | 24.00 | 217,305 | 1.16 | 1.16 | 0.24 | 80 | ||||||||||||||||||||||||||
| — | — | 22.47 | 28.61 | 232,903 | 1.18 | (j) | 1.18 | (j) | 0.60 | 102 | ||||||||||||||||||||||||
| — | 0.00 | (i) | 17.55 | (20.81 | ) | 71,568 | 1.20 | 1.21 | 0.65 | 124 | ||||||||||||||||||||||||
| — | 0.00 | 22.20 | 6.12 | 1,241 | 1.19 | (k) | 1.19 | (k) | 0.17 | 78 | ||||||||||||||||||||||||
| — | 0.00 | 20.91 | 9.94 | 427 | 1.35 | 1.90 | 0.35 | 88 | ||||||||||||||||||||||||||
| (f) | Computed on an annualized basis for periods less than one year, if applicable. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes a non-recurring dividend of $0.03 per share. |
| (i) | Effective June 2, 2008, redemption fees were eliminated. |
| (j) | Includes fee/expense recovery of less than 0.01%. |
| (k) | Includes fee/expense recovery of 0.04%. |
| (l) | From commencement of Class operations on August 31, 2006 through December 31, 2006. |
See accompanying notes to financial statements.
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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 VALUE OPPORTUNITY FUND |
|
|||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 14.75 | $ | (0.03 | ) | $ | 1.69 | $ | 1.66 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
| 12/31/2010 |
12.46 | 0.08 | (i) | 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(j) |
10.00 | 0.03 | (0.41 | ) | (0.38 | ) | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||
| 6/30/2011(g) |
14.63 | (0.08 | ) | 1.66 | 1.58 | — | — | — | — | |||||||||||||||||||||||
| 12/31/2010 |
12.39 | (0.03 | )(i) | 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(j) |
10.00 | 0.02 | (0.41 | ) | (0.39 | ) | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||
| Class Y |
|
|||||||||||||||||||||||||||||||
| 6/30/2011(g) |
14.80 | (0.01 | ) | 1.69 | 1.68 | — | — | — | — | |||||||||||||||||||||||
| 12/31/2010 |
12.49 | 0.12 | (i) | 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(j) |
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 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.
117 |
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 (%) |
||||||||||||||||||||
| $ | 16.41 | 11.25 | $ | 20,094 | 1.40 | (h) | 1.40 | (h) | (0.32 | ) | 36 | |||||||||||||||
| 14.75 | 19.64 | 11,268 | 1.40 | 1.69 | 0.62 | (i) | 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 | |||||||||||||||||||
| 16.21 | 10.80 | 2,094 | 2.15 | (h) | 2.15 | (h) | (1.04 | ) | 36 | |||||||||||||||||
| 14.63 | 18.85 | 824 | 2.15 | 2.46 | (0.23 | )(i) | 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 | |||||||||||||||||||
| 16.48 | 11.35 | 73,319 | 1.15 | (h) | 1.15 | (h) | (0.07 | ) | 36 | |||||||||||||||||
| 14.80 | 19.96 | 40,715 | 1.15 | 1.43 | 0.92 | (i) | 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) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | Includes fee/expense recovery of 0.01%. |
| (i) | 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. |
| (j) | For the period October 31, 2008 (inception) through December 31, 2008. |
See accompanying notes to financial statements.
| 118
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 |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains |
Total distributions |
||||||||||||||||||||||
| WESTPEAK ACTIVEBETA® EQUITY FUND |
|
|||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
$ | 11.38 | $ | 0.03 | $ | 0.65 | $ | 0.68 | $ | (0.00 | ) | $ | (0.08 | ) | $ | (0.08 | ) | |||||||||||
| 12/31/2010(h) |
10.00 | 0.04 | 1.39 | 1.43 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
11.38 | (0.02 | ) | 0.66 | 0.64 | (0.00 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||||||
| 12/31/2010(h) |
10.00 | 0.01 | 1.38 | 1.39 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
| Class Y |
||||||||||||||||||||||||||||
| 6/30/2011(g) |
11.38 | 0.05 | 0.65 | 0.70 | (0.00 | ) | (0.08 | ) | (0.08 | ) | ||||||||||||||||||
| 12/31/2010(h) |
10.00 | 0.05 | 1.39 | 1.44 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
| (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. |
| (e) | Computed on an annualized basis for periods less than one year, if applicable. |
| (f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
| (g) | For the six months ended June 30, 2011 (Unaudited). |
| (h) | For the period July 30, 2010 (inception) through December 31, 2010. |
See accompanying notes to financial statements.
119 |
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 (%) (e) |
Net investment income (loss) (%) (e) |
Portfolio turnover rate (%) |
||||||||||||||||||||
| $ | 11.98 | 6.02 | $ | 1 | 1.20 | 5.04 | 0.54 | 40 | ||||||||||||||||||
| 11.38 | 14.28 | 1 | 1.20 | 5.55 | 0.90 | 34 | ||||||||||||||||||||
| 11.94 | 5.67 | 1 | 1.95 | 5.91 | (0.20 | ) | 40 | |||||||||||||||||||
| 11.38 | 13.94 | 1 | 1.95 | 6.31 | 0.14 | 34 | ||||||||||||||||||||
| 12.00 | 6.20 | 6,074 | 0.95 | 4.98 | 0.79 | 40 | ||||||||||||||||||||
| 11.38 | 14.39 | 5,720 | 0.95 | 5.34 | 1.13 | 34 | ||||||||||||||||||||
See accompanying notes to financial statements.
| 120
Table of Contents
Notes to Financial Statements
June 30, 2011 (Unaudited)
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (“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 Diversified Income Fund (formerly Natixis Income Diversified Portfolio) (the “Diversified Income Fund”)
Natixis U.S. Multi-Cap Equity Fund (formerly Natixis U.S. Diversified Portfolio) (the “U.S. Multi-Cap Equity Fund”)
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”)
Each Fund is a diversified investment company.
Each Fund offers Class A and Class C shares. Targeted Equity Fund, U.S. Multi-Cap Equity Fund, 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 Diversified Income Fund 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.
121 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. 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) and equity securities for which market quotations are not readily available 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
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. 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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Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts. 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 the 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 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
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
realized losses. Premiums paid for purchasing options which are exercised or closed 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 equity 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 six months ended June 30, 2011, 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 June 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
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,
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, 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 ordinary 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 foreign currency contract 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 year ended December 31, 2010 was as follows:
| 2010 Distributions Paid From: | ||||||||||||||||||
| Fund |
Ordinary Income |
Long-Term |
Return of |
Total |
||||||||||||||
| Target Equity Fund |
$ | 4,648,299 | $ | — | $ | — | $ | 4,648,299 | ||||||||||
| Large Cap Value Fund |
546,131 | — | — | 546,131 | ||||||||||||||
| Diversified Income Fund |
1,801,193 | — | — | 1,801,193 | ||||||||||||||
| U.S. Multi-Cap Equity Fund |
491,685 | — | — | 491,685 | ||||||||||||||
| Small Cap Value Fund |
40,800,424 | 59,193,465 | — | 99,993,889 | ||||||||||||||
| Value Opportunity Fund |
332,097 | 16,217 | 231,814 | 580,128 | ||||||||||||||
| ActiveBeta Equity Fund |
29,256 | — | — | 29,256 | ||||||||||||||
Differences between these amounts and those reported in the Statement of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
As of December 31, 2010, the capital loss carryforwards and post-October losses were as follows:
| Targeted Equity Fund |
Large Cap Value Fund |
Diversified Income Fund |
U.S. Multi-Cap Equity Fund |
Small Cap Value Fund |
Value Opportunity Fund |
ActiveBeta Equity Fund |
||||||||||||||||||||||
| 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 carryfoward |
$ | (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 | ) | $ | — | $ | — | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
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 previously limited 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.
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.
127 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 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.
There were no delayed delivery securities held by the Funds as of June 30, 2011.
j. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2011, none of the Funds had loaned securities under this agreement.
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.
| 128
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Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2011, at value:
Targeted Equity Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 846,463,516 | $ | — | $ | — | $ | 846,463,516 | ||||||||
| Short-Term Investments |
— | 14,608,293 | — | 14,608,293 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 846,463,516 | $ | 14,608,293 | $ | — | $ | 861,071,809 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
129 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Large Cap Value Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 135,352,413 | $ | — | $ | — | $ | 135,352,413 | ||||||||
| Short-Term Investments |
— | 4,762,475 | — | 4,762,475 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 135,352,413 | $ | 4,762,475 | $ | — | $ | 140,114,888 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Diversified Income Fund
Asset Valuation Inputs
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Bonds and Notes(a) |
$ | — | $ | 31,819,024 | $ | — | $ | 31,819,024 | ||||||||
| Common Stocks(a) |
31,059,620 | — | — | 31,059,620 | ||||||||||||
| Preferred Stocks |
||||||||||||||||
| Convertible Preferred Stocks |
||||||||||||||||
| Automotive |
586,169 | — | — | 586,169 | ||||||||||||
| Banking |
74,200 | 13,612 | — | 87,812 | ||||||||||||
| Construction Machinery |
— | 6,788 | — | 6,788 | ||||||||||||
| Consumer Products |
— | 34,075 | — | 34,075 | ||||||||||||
| REITs - Healthcare |
74,689 | — | — | 74,689 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Convertible Preferred Stocks |
735,058 | 54,475 | — | 789,533 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Non-Convertible Preferred Stocks(a) |
211,600 | 121,236 | — | 332,836 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
946,658 | 175,711 | — | 1,122,369 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
— | 2,579,324 | — | 2,579,324 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
32,006,278 | 34,574,059 | — | 66,580,337 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 3,000 | — | 3,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 32,006,278 | $ | 34,577,059 | $ | — | $ | 66,583,337 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Liability Valuation Inputs |
||||||||||||||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ | — | $ | (2,512 | ) | $ | — | $ | (2,512 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| 130
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
U.S. Multi-Cap Equity Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 375,383,183 | $ | — | $ | — | $ | 375,383,183 | ||||||||
| Closed End Investment Companies |
1,497,049 | — | — | 1,497,049 | ||||||||||||
| Short-Term Investments |
— | 11,463,991 | — | 11,463,991 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 376,880,232 | $ | 11,463,991 | $ | — | $ | 388,344,223 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Written Options |
$ | (108,570 | ) | $ | — | $ | — | $ | (108,570 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small Cap Value Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 495,586,806 | $ | — | $ | — | $ | 495,586,806 | ||||||||
| Exchange Traded Funds |
21,468,754 | — | — | 21,468,754 | ||||||||||||
| Closed End Investment Companies |
10,473,622 | — | — | 10,473,622 | ||||||||||||
| Short-Term Investments |
— | 16,856,805 | — | 16,856,805 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 527,529,182 | $ | 16,856,805 | $ | — | $ | 544,385,987 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Value Opportunity Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 88,425,966 | $ | — | $ | — | $ | 88,425,966 | ||||||||
| Closed End Investment Companies |
1,331,801 | — | — | 1,331,801 | ||||||||||||
| Short-Term Investments |
— | 4,059,678 | — | 4,059,678 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 89,757,767 | $ | 4,059,678 | $ | — | $ | 93,817,445 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
131 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
ActiveBeta Equity Fund
Asset Valuation Inputs
| Description(a) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
| Common Stocks |
$ | 6,058,254 | $ | — | $ | — | $ | 6,058,254 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within 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 used during the period 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 six months ended June 30, 2011, Diversified Income Fund 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. Multi-Cap Equity Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of option contracts used for hedging purposes. The Fund may also use purchased call options to gain exposure to an equity security without committing the capital required to buy it, while also limiting the downside risk associated with owning it. During the six months ended June 30, 2011, the Fund engaged in purchased put and written call options for hedging purposes, in written put options to offset the cost of options used for hedging purposes, and in purchased call options to gain exposure to equity securities.
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 June 30, 2011, there were no Funds that held derivative positions subject to credit-risk-related contingent features that were in a net liability position (unrealized depreciation) by counterparty.
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
| 132
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of June 30, 2011, the maximum amount of loss that Diversified Income Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $3,000 and the amount of loss that Diversified Income Fund would incur after taking into account master netting arrangements is $488.
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 Diversified Income Fund as of June 30, 2011:
| Statements of Assets and Liabilities Caption |
Foreign Exchange Contracts |
|||
| Assets |
||||
| Unrealized appreciation on forward foreign currency contracts |
$ | 3,000 | ||
| Liabilities |
||||
| Unrealized depreciation on forward foreign currency contracts |
(2,512 | ) | ||
Transactions in derivative instruments for Diversified Income Fund during the six months ended June 30, 2011 were as follows:
| Statements of Operations Caption |
Foreign Exchange Contracts |
|||
| Net Realized Gain (Loss) on: |
||||
| Foreign currency transactions* |
$ | (4,356 | ) | |
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||
| Foreign currency translations* |
2,547 | |||
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
The following is a summary of derivative instruments for U.S. Multi-Cap Equity Fund as of June 30, 2011:
| Statements of Assets and Liabilities Caption |
Equity Contracts |
|||
| Liabilities |
||||
| Options written, at value |
$ | (108,570 | ) | |
133 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Transactions in derivative instruments for U.S. Multi-Cap Equity Fund during the six months ended June 30, 2011 were as follows:
| Statements of Operations Caption |
Equity Contracts |
|||
| Net Realized Gain (Loss) on: |
||||
| Investments* |
$ | (124,924 | ) | |
| Options written |
(52,633 | ) | ||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||
| Options written |
(48,695 | ) | ||
| * | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
Volume of forwards activity, as a percentage of net assets, for Diversified Income Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2011:
| Diversified Income Fund |
Forwards | |||
| Average Notional Amount Outstanding |
0.40 | % | ||
| Highest Notional Amount Outstanding |
0.70 | % | ||
| Lowest Notional Amount Outstanding |
0.30 | % | ||
| Notional Amount Outstanding as of June 30, 2011 |
0.70 | % | ||
Volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on the month-end market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:
| U.S. Multi-Cap Equity Fund* |
Put Options Purchased |
Call Options Written |
||||||
| Average Market Value of Underlying Securities |
0.06 | % | 0.04 | % | ||||
| Highest Market Value of Underlying Securities |
0.44 | % | 0.25 | % | ||||
| Lowest Market Value of Underlying Securities |
0.00 | % | 0.00 | % | ||||
| Market Value of Underlying Securities as of June 30, 2011 |
0.00 | % | 0.25 | % | ||||
| 134
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:
| U.S. Multi-Cap Equity Fund* |
Call Options Purchased |
Put Options Written |
||||||
| Average Market Value of Underlying Securities |
0.00 | %(+) | 0.00 | %(+) | ||||
| Highest Market Value of Underlying Securities |
0.42 | % | 0.23 | % | ||||
| Lowest Market Value of Underlying Securities |
0.00 | % | 0.60 | % | ||||
| Market Value of Underlying Securities as of June 30, 2011 |
0.00 | % | 0.00 | % | ||||
| (+) | Amount is less than 0.01%. |
| * | 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. Multi-Cap Equity Fund’s written option activity:
| Number of Contracts |
Premiums | |||||||
| Outstanding at 12/31/2010 |
— | $ | — | |||||
| Options written |
299 | 98,771 | ||||||
| Options terminated in closing purchase transactions |
(205 | ) | (38,896 | ) | ||||
| Options exercised |
— | — | ||||||
| Options expired |
— | — | ||||||
|
|
|
|
|
|||||
| Outstanding at 6/30/2011 |
94 | $ | 59,875 | |||||
|
|
|
|
|
|||||
5. Purchases and Sales of Securities. For the six months ended June 30, 2011, 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 |
$ | 1,096,530,474 | $ | 1,181,697,035 | ||||
| Large Cap Value Fund |
26,087,164 | 31,221,004 | ||||||
| Diversified Income Fund |
7,559,647 | 5,946,846 | ||||||
| U.S. Multi-Cap Equity Fund |
206,131,311 | 221,746,756 | ||||||
| Small Cap Value Fund |
270,557,646 | 296,459,815 | ||||||
| Value Opportunity Fund |
59,190,078 | 25,810,334 | ||||||
| ActiveBeta Equity Fund |
2,413,941 | 2,427,802 | ||||||
For the six months ended June 30, 2011, purchases and sales of U.S. Government/agency securities by the Diversified Income Fund were $236,929 and $216,071, respectively.
135 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 | % | ||||||||||
| Diversified Income Fund |
0.55 | % | 0.55 | % | 0.55 | % | 0.50 | % | 0.50 | % | ||||||||||
| U.S. Multi-Cap Equity Fund |
0.80 | % | 0.80 | % | 0.80 | % | 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 | % | ||||||||||
Prior to June 1, 2011, U.S. Multi-Cap Equity Fund paid a management fee at an annual rate of 0.90% on the first $1 billion and 0.80% thereafter, calculated daily and payable monthly, based on the Fund’s average daily net assets.
Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.
| Large Cap Value Fund |
Harris Associates L.P. (“Harris”) | |
| Diversified Income Fund |
AEW Capital Management, L.P. (“AEW”) | |
| Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | ||
| U.S. Multi-Cap Equity Fund |
Harris | |
| Loomis Sayles | ||
| 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”) |
Prior to June 1, 2011, a segment of U.S. Multi-Cap Equity Fund was subadvised by BlackRock Investment Management, LLC. This segment is now subadvised by Loomis Sayles.
Payments to Natixis Advisors are reduced by the amount of payments to the subadvisers.
| 136
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the period from June 1, 2011 to June 30, 2011, 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 | % | ||||||||
| Diversified Income Fund |
1.25 | % | — | 2.00 | % | — | ||||||||||
| U.S. Multi-Cap Equity Fund |
1.30 | % | 2.05 | % | 2.05 | % | 1.05 | % | ||||||||
| 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 | % | |||||||||
Prior to June 1, 2011 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 | % | ||||||||
| Diversified Income Fund |
1.25 | % | — | 2.00 | % | — | ||||||||||
| U.S. Multi-Cap Equity Fund |
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 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.
137 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, the management fees and waivers of management fees for each Fund were as follows:
| Fund |
Gross Management Fees |
Waivers of Management Fees 1 |
Net Management Fees |
Percentage of Average Daily Net Assets |
||||||||||||||||
| Gross | Net | |||||||||||||||||||
| Targeted Equity Fund |
$ | 3,202,331 | $ | — | $ | 3,202,331 | 0.69 | % | 0.69 | % | ||||||||||
| Large Cap Value Fund |
500,036 | — | 500,036 | 0.70 | % | 0.70 | % | |||||||||||||
| Diversified Income Fund |
179,211 | — | 179,211 | 0.55 | % | 0.55 | % | |||||||||||||
| U.S. Multi-Cap Equity Fund |
1,691,522 | 59,291 | 1,632,231 | 0.88 | % | 0.85 | % | |||||||||||||
| Small Cap Value Fund |
2,618,280 | — | 2,618,280 | 0.90 | % | 0.90 | % | |||||||||||||
| Value Opportunity Fund |
295,720 | — | 295,720 | 0.80 | % | 0.80 | % | |||||||||||||
| ActiveBeta Equity Fund |
17,879 | 17,879 | — | 0.60 | % | — | ||||||||||||||
| 1 | Management fee waivers are subject to possible recovery until December 31, 2012. |
For the six months ended June 30, 2011, expenses have been reimbursed as follows:
| Fund |
Reimbursement 2 | |||
| ActiveBeta Equity Fund |
$ | 102,244 | ||
| 2 | Expense reimbursements are subject to possible recovery until December 31, 2012. |
For the six months ended June 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:
| Recovered Expenses | ||||||||||||||||||||
| Fund |
Class A | Class B | Class C | Class Y | Total | |||||||||||||||
| Large Cap Value Fund |
$3,241 | $ | 124 | $ | 194 | $ | 265 | $ | 3,824 | |||||||||||
| Value Opportunity Fund |
1,143 | — | 114 | 3,658 | 4,915 | |||||||||||||||
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 and Vaughan Nelson are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
b. Service and Distribution Fees. 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”).
| 138
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 six months ended June 30, 2011, 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 |
$ | 889,568 | $ | 10,882 | $ | 95,523 | $ | 32,645 | $ | 286,569 | ||||||||||
| Large Cap Value Fund |
151,571 | 6,308 | 8,931 | 18,923 | 26,793 | |||||||||||||||
| Diversified Income Fund |
46,317 | — | 35,142 | — | 105,426 | |||||||||||||||
| U.S. Multi-Cap Equity Fund |
403,976 | 32,415 | 40,012 | 97,247 | 120,037 | |||||||||||||||
| Small Cap Value Fund |
373,640 | 9,127 | 48,780 | 27,381 | 146,340 | |||||||||||||||
| Value Opportunity Fund |
20,974 | — | 1,946 | — | 5,838 | |||||||||||||||
| ActiveBeta Equity Fund |
1 | — | 1 | — | 5 | |||||||||||||||
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. Funds that commenced operations prior to July 1, 2011 are subject to a new fund 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. ActiveBeta Equity Fund was subject to the new fund fee during the peroid.
139 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
For the six months ended June 30, 2011, each Fund paid the following administrative fees to Natixis Advisors:
| Fund |
Administrative Fees |
|||
| Targeted Equity Fund |
$ | 216,352 | ||
| Large Cap Value Fund |
33,160 | |||
| Diversified Income Fund |
15,123 | |||
| U.S. Multi-Cap Equity Fund |
88,822 | |||
| Small Cap Value Fund |
135,033 | |||
| Value Opportunity Fund |
17,141 | |||
| ActiveBeta Equity Fund |
49,589 | |||
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 to exceed 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 six months ended June 30, 2011, 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 |
$ | 228,794 | ||
| Large Cap Value Fund |
17,398 | |||
| Diversified Income Fund |
13,961 | |||
| U.S. Multi-Cap Equity Fund |
47,432 | |||
| Small Cap Value Fund |
214,657 | |||
| Value Opportunity Fund |
23,500 | |||
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the six months ended June 30, 2011, were as follows:
| Fund |
Commissions | |||
| Targeted Equity Fund |
$ | 168,148 | ||
| Large Cap Value Fund |
22,658 | |||
| Diversified Income Fund |
18,295 | |||
| U.S. Multi-Cap Equity Fund |
164,717 | |||
| Small Cap Value Fund |
28,427 | |||
| Value Opportunity Fund |
16,693 | |||
| 140
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
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 meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and 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.
7. 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 0.125% 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.
141 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
Prior to April 21, 2011, each 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 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 1.25%. In addition, a commitment fee of 0.15% 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 six months ended June 30, 2011, none of the Funds had borrowings under these agreements.
8. Brokerage Commission Recapture. Certain Fund have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2011, amounts rebated under these agreements were as follows:
| Fund |
Rebates | |||
| Targeted Equity Fund |
$ | 271,555 | ||
| Diversified Income Fund |
405 | |||
| U.S. Multi-Cap Equity Fund |
17,168 | |||
| Small Cap Value Fund |
27,719 | |||
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
10. 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 June 30, 2011, Natixis US and its affiliates owned shares equating to 100% of ActiveBeta Equity Fund’s net assets. As of June 30, 2011, certain Funds had shareholders that held greater than 5% of the fund’s outstanding shares. Such ownership may be beneficially held by multiple individuals or entities other than the owner of record. The number of greater than 5% shareholders and the aggregate percentage of net assets represented by such ownership was as follows:
| Fund |
Number of Greater Than 5% Shareholders |
Percentage of Ownership |
||||||
| Small Cap Value Fund |
1 | 13.74 | % | |||||
| Value Opportunity Fund |
2 | 19.53 | % | |||||
| 142
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| |
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| Targeted Equity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
1,991,792 | $ | 22,003,758 | 7,738,827 | $ | 76,552,424 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 311,600 | 3,451,189 | ||||||||||||
| Redeemed |
(7,864,725 | ) | (86,141,314 | ) | (12,966,098 | ) | (127,132,727 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(5,872,933 | ) | $ | (64,137,556 | ) | (4,915,671 | ) | $ | (47,129,114 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B | ||||||||||||||||
| Issued from the sale of shares |
15,722 | $ | 157,057 | 30,077 | $ | 270,580 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 38 | 356 | ||||||||||||
| Redeemed |
(212,042 | ) | (2,101,417 | ) | (478,236 | ) | (4,192,463 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(196,320 | ) | $ | (1,944,360 | ) | (448,121 | ) | $ | (3,921,527 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
630,474 | $ | 6,255,384 | 2,115,687 | $ | 18,787,778 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 170 | 1,588 | ||||||||||||
| Redeemed |
(1,653,784 | ) | (16,191,871 | ) | (2,720,024 | ) | (23,660,824 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,023,310 | ) | $ | (9,936,487 | ) | (604,167 | ) | $ | (4,871,458 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
2,068,519 | $ | 23,537,265 | 5,946,373 | $ | 59,945,503 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 22,586 | 256,277 | ||||||||||||
| Redeemed |
(3,511,077 | ) | (39,215,086 | ) | (21,046,408 | ) | (216,794,343 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(1,442,558 | ) | $ | (15,677,821 | ) | (15,077,449 | ) | $ | (156,592,563 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(8,535,121 | ) | $ | (91,696,224 | ) | (21,045,408 | ) | $ | (212,514,662 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
143 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| |
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| Large Cap Value Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
185,078 | $ | 2,749,920 | 584,698 | $ | 7,591,609 | ||||||||||
| Issued in connection with the reinvestment of distributions |
1,804 | 26,867 | 28,036 | 394,129 | ||||||||||||
| Redeemed |
(506,361 | ) | (7,509,367 | ) | (1,229,322 | ) | (15,876,577 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(319,479 | ) | $ | (4,732,580 | ) | (616,588 | ) | $ | (7,890,839 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B | ||||||||||||||||
| Issued from the sale of shares |
3,164 | $ | 43,552 | 13,200 | $ | 158,473 | ||||||||||
| Issued in connection with the reinvestment of distributions |
95 | 1,299 | 582 | 7,425 | ||||||||||||
| Redeemed |
(104,546 | ) | (1,427,287 | ) | (259,196 | ) | (3,105,680 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(101,287 | ) | $ | (1,382,436 | ) | (245,414 | ) | $ | (2,939,782 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
9,770 | $ | 132,072 | 81,762 | $ | 989,577 | ||||||||||
| Issued in connection with the reinvestment of distributions |
75 | 1,019 | 322 | 4,092 | ||||||||||||
| Redeemed |
(79,648 | ) | (1,079,403 | ) | (134,778 | ) | (1,585,523 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(69,803 | ) | $ | (946,312 | ) | (52,694 | ) | $ | (591,854 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
33,325 | $ | 512,902 | 195,195 | $ | 2,647,773 | ||||||||||
| Issued in connection with the reinvestment of distributions |
131 | 2,022 | 3,104 | 45,227 | ||||||||||||
| Redeemed |
(99,044 | ) | (1,527,569 | ) | (117,144 | ) | (1,564,634 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(65,588 | ) | $ | (1,012,645 | ) | 81,155 | $ | 1,128,366 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(556,157 | ) | $ | (8,073,973 | ) | (833,541 | ) | $ | (10,294,109 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| |
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| Diversified Income Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
397,068 | $ | 4,277,979 | 676,041 | $ | 6,828,409 | ||||||||||
| Issued in connection with the reinvestment of distributions |
50,278 | 541,470 | 100,890 | 990,220 | ||||||||||||
| Redeemed |
(395,927 | ) | (4,256,915 | ) | (1,007,048 | ) | (10,074,179 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
51,419 | $ | 562,534 | (230,117 | ) | $ | (2,255,550 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
384,675 | $ | 4,132,421 | 612,602 | $ | 6,157,456 | ||||||||||
| Issued in connection with the reinvestment of distributions |
15,932 | 171,370 | 29,035 | 284,425 | ||||||||||||
| Redeemed |
(361,958 | ) | (3,877,094 | ) | (759,919 | ) | (7,388,131 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
38,649 | $ | 426,697 | (118,282 | ) | $ | (946,250 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
90,068 | $ | 989,231 | (348,399 | ) | $ | (3,201,800 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 144
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| |
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| U.S. Multi-Cap Equity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
672,349 | $ | 17,840,234 | 911,448 | $ | 20,451,387 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 18,717 | 466,442 | ||||||||||||
| Redeemed |
(999,694 | ) | (26,394,215 | ) | (2,022,798 | ) | (44,172,568 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(327,345 | ) | $ | (8,553,981 | ) | (1,092,633 | ) | $ | (23,254,739 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B | ||||||||||||||||
| Issued from the sale of shares |
12,414 | $ | 282,414 | 28,907 | $ | 535,647 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | — | — | ||||||||||||
| Redeemed |
(343,063 | ) | (7,789,686 | ) | (791,810 | ) | (14,786,760 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(330,649 | ) | $ | (7,507,272 | ) | (762,903 | ) | $ | (14,251,113 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
124,629 | $ | 2,837,445 | 85,590 | $ | 1,613,257 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | — | — | ||||||||||||
| Redeemed |
(143,997 | ) | (3,298,011 | ) | (255,548 | ) | (4,769,722 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(19,368 | ) | $ | (460,566 | ) | (169,958 | ) | $ | (3,156,465 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
81,346 | $ | 2,361,782 | 10,018 | $ | 239,190 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 134 | 3,603 | ||||||||||||
| Redeemed |
(70,661 | ) | (1,992,917 | ) | (200,693 | ) | (4,399,790 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
10,685 | $ | 368,865 | (190,541 | ) | $ | (4,156,997 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(666,677 | ) | $ | (16,152,954 | ) | (2,216,035 | ) | $ | (44,819,314 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
145 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| |
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| Small Cap Value Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
2,788,065 | $ | 65,400,688 | 1,568,273 | $ | 37,116,627 | ||||||||||
| Issued in connection with the reinvestment of distributions |
317,575 | 7,389,980 | 1,686,885 | 38,516,551 | ||||||||||||
| Redeemed |
(2,106,032 | ) | (49,305,459 | ) | (5,956,654 | ) | (142,473,851 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
999,608 | $ | 23,485,209 | (2,701,496 | ) | $ | (66,840,673 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class B | ||||||||||||||||
| Issued from the sale of shares |
10,577 | $ | 217,041 | 18,984 | $ | 406,070 | ||||||||||
| Issued in connection with the reinvestment of distributions |
14,666 | 294,492 | 79,966 | 1,589,861 | ||||||||||||
| Redeemed |
(104,202 | ) | (2,133,246 | ) | (223,637 | ) | (4,732,199 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(78,959 | ) | $ | (1,621,713 | ) | (124,687 | ) | $ | (2,736,268 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
68,223 | $ | 1,388,881 | 186,557 | $ | 3,849,819 | ||||||||||
| Issued in connection with the reinvestment of distributions |
59,922 | 1,203,224 | 282,744 | 5,618,352 | ||||||||||||
| Redeemed |
(207,376 | ) | (4,236,662 | ) | (455,474 | ) | (9,570,079 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(79,231 | ) | $ | (1,644,557 | ) | 13,827 | $ | (101,908 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
1,454,225 | $ | 34,463,876 | 1,291,230 | $ | 30,400,662 | ||||||||||
| Issued in connection with the reinvestment of distributions |
299,009 | 7,047,654 | 1,369,166 | 31,615,425 | ||||||||||||
| Redeemed |
(2,720,061 | ) | (63,353,642 | ) | (3,559,389 | ) | (85,024,677 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
(966,827 | ) | $ | (21,842,112 | ) | (898,993 | ) | $ | (23,008,590 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
(125,409 | ) | $ | (1,623,173 | ) | (3,711,349 | ) | $ | (92,687,439 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| |
Six Months Ended June 30, 2011 |
|
|
Year Ended December 31, 2010 |
| |||||||||||
| Value Opportunity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
700,637 | $ | 11,258,252 | 845,322 | $ | 10,950,063 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 7,026 | 102,623 | ||||||||||||
| Redeemed |
(239,865 | ) | (3,827,606 | ) | (381,175 | ) | (4,994,591 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
460,772 | $ | 7,430,646 | 471,173 | $ | 6,058,095 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
80,533 | $ | 1,285,635 | 33,713 | $ | 447,990 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 313 | 4,512 | ||||||||||||
| Redeemed |
(7,658 | ) | (123,556 | ) | (7,556 | ) | (94,316 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
72,875 | $ | 1,162,079 | 26,470 | $ | 358,186 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
2,215,082 | $ | 36,091,080 | 2,494,934 | $ | 32,571,037 | ||||||||||
| Issued in connection with the reinvestment of distributions |
— | — | 21,928 | 321,089 | ||||||||||||
| Redeemed |
(517,294 | ) | (8,292,722 | ) | (456,608 | ) | (5,870,040 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1,697,788 | $ | 27,798,358 | 2,060,254 | $ | 27,022,086 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
2,231,435 | $ | 36,391,083 | 2,557,897 | $ | 33,438,367 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 146
Table of Contents
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)
11. Capital Shares (continued).
| |
Six Months Ended June 30, 2011 |
|
|
Period Ended December 31, 2010* |
| |||||||||||
| ActiveBeta Equity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
| Issued from the sale of shares |
— | $ | — | 100 | $ | 1,001 | ||||||||||
| Issued in connection with the reinvestment of distributions |
1 | 8 | — | (a) | 5 | |||||||||||
| Redeemed |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1 | $ | 8 | 100 | $ | 1,006 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C | ||||||||||||||||
| Issued from the sale of shares |
— | $ | — | 100 | $ | 1,001 | ||||||||||
| Issued in connection with the reinvestment of distributions |
1 | 8 | — | (a) | 1 | |||||||||||
| Redeemed |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
1 | $ | 8 | 100 | $ | 1,002 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y | ||||||||||||||||
| Issued from the sale of shares |
— | $ | — | 500,000 | $ | 5,000,000 | ||||||||||
| Issued in connection with the reinvestment of distributions |
3,580 | 42,722 | 2,601 | 29,250 | ||||||||||||
| Redeemed |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change |
3,580 | $ | 42,722 | 502,601 | $ | 5,029,250 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Increase (decrease) from capital share transactions |
3,582 | $ | 42,738 | 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. |
147 |
Table of Contents
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
| (a) (1) | Not applicable. | |
| (a) (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 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). | |
Table of Contents
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: | August 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: | August 23, 2011 | |
| By: | /s/ Michael C. Kardok | |
| Name: | Michael C. Kardok | |
| Title: | Treasurer | |
| Date: | August 23, 2011 | |