-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, PW1Tz9akrYS1E+f9Ww6cJKzsDtx0vLXon27zp5rlGssEk1dp2LhdKZkjLuL3dkxf rxfiKYk8DcnHqA4t9Qp4HQ== 0001206774-03-000482.txt : 20030603 0001206774-03-000482.hdr.sgml : 20030603 20030603155643 ACCESSION NUMBER: 0001206774-03-000482 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030331 FILED AS OF DATE: 20030603 EFFECTIVENESS DATE: 20030603 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS CENTRAL INDEX KEY: 0000872649 IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-06241 FILM NUMBER: 03730465 BUSINESS ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 BUSINESS PHONE: 6173103609 MAIL ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 N-30D 1 d12750.txt EQUITY - -------------------------------------------------------------------------------- [LOGO] LOOMIS SAYLES FUNDS Loomis Sayles Aggressive Growth Fund Loomis Sayles Growth Fund Loomis Sayles International Equity Fund Loomis Sayles Research Fund Loomis Sayles Small Cap Growth Fund Loomis Sayles Small Cap Value Fund Loomis Sayles Value Fund Loomis Sayles Worldwide Fund - -------------------------------------------------------------------------------- [LOGO] LOOMIS SAYLES INVESTMENT TRUST Loomis Sayles Mid Cap Growth Fund Loomis Sayles Provident Fund Loomis Sayles Small Company Growth Fund SEMI-ANNUAL REPORT MARCH 31, 2003 (Unaudited) CORPORATE OVERVIEW LOOMIS SAYLES FUNDS AND LOOMIS SAYLES INVESTMENT TRUST The Loomis Sayles Funds and Loomis Sayles Investment Trust are a Boston-based family of predominantly no-load mutual funds advised by Loomis, Sayles & Company, L.P. The Loomis Sayles Funds and the Loomis Sayles Benchmark Core Bond Fund, a series of the Loomis Sayles Investment Trust, generally have investment minimums and a pricing structure, including multiple classes, that may make them an appropriate investment for certain individual investors and retirement plan participants. The Loomis Sayles Investment Trust series generally have higher investment minimums and a pricing structure that may make them an appropriate investment for small institutions, including endowments and foundations and high net worth individuals. Both Loomis Sayles Funds and Loomis Sayles Investment Trust offer a range of equity and fixed income investments to fit the goals of the most demanding investor. PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION: To request any of the following, press the number: 1 Speak to a customer service representative regarding new or existing accounts for the Loomis Sayles Investment Trust 2 Automated account balances, last transaction and distribution information 3 Speak to a customer service representative regarding new or existing accounts for the Loomis Sayles Funds 4 Net asset values and yields 5 Speak to a marketing representative - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter from the President 1 Economic and Market Overview 2 Average Annual Total Returns vs. Lipper Category Average and Lipper Category Index 4 LOOMIS SAYLES FUNDS Fund and Manager Reviews 5 Portfolio of Investments 14 Statements of Assets and Liabilities 44 Statements of Operations 46 Statements of Changes in Net Assets 48 Financial Highlights 52 LOOMIS SAYLES INVESTMENT TRUST Fund and Manager Reviews 60 Portfolio of Investments 64 Statements of Assets and Liabilities 73 Statements of Operations 74 Statements of Changes in Net Assets 75 Financial Highlights 76 Notes to Financial Statements 78 - -------------------------------------------------------------------------------- As always, we are interested in your comments and answering any questions. For more complete information about any of the Loomis Sayles Funds or the Loomis Sayles Investment Trust, including charges and expenses, please call Loomis Sayles Distributors, L.P. for a free prospectus at 800-633-3330 Monday through Friday, 8:45 a.m. to 4:45 p.m. EST or visit www.loomissayles.com. Read the prospectus carefully before you invest or send money. LOOMIS SAYLES EQUITY FUNDS LETTER FROM THE PRESIDENT [Photo] ROBERT J. BLANDING President Dear Shareholders, A variety of factors challenged investors during the six-month period ended March 31, 2003, from continued sluggish economic growth to heightened terrorism alerts to war with Iraq. But, as is typical of the American spirit, optimism prevailed. In the end, a swift and successful resolution to the conflict in Iraq boosted investor confidence and removed a great deal of uncertainty that had been hanging over the financial markets for several months. Despite the unrest these factors created for the financial markets, we maintained the same strategies that have guided us through previous periods of market turmoil. We always have believed we can overcome the most turbulent market climates by focusing on disciplined, research-focused investment philosophy. Our unwavering commitment to and reliance upon stringent research helps us identify undervalued, out-of-favor and under-followed securities with the potential to reap significant rewards over time. It's an approach that has steered us through market rallies and retreats, proving along the way that diversified, actively-managed stock and bond funds often excel after periods of market instability and uncertainty. We believe that active managers, supported by a powerful research effort, can exploit market volatility and inefficiencies unlike passive managers. For long-term investors, the ability to take advantage of such market opportunities may prove to be rewarding. We encourage you to keep in mind the importance of discipline, diversification and your time horizon in structuring your portfolio and evaluating investment returns. The financial markets may remain somewhat volatile in the months ahead, as investors respond to a slow economic recovery and a changing geopolitical climate. Nevertheless, we continue to believe that focused, patient investors will be rewarded over time. As always, we appreciate your ongoing confidence in Loomis Sayles Funds and Loomis Sayles Investment Trust. We look forward to helping you reach your investment goals. Sincerely, /s/ Robert J. Blanding Robert J. Blanding President Loomis Sayles Funds Loomis Sayles Investment Trust 1 ECONOMIC AND MARKET OVERVIEW Semi-Annual Report for the Six Months Ended March 31, 2003 Economic Review The U.S. economy continued growing during the six-month period ended March 31, 2003, albeit at a snail's-pace average growth rate of 1.5 percent. Inflation remained tame, and it appears that the unemployment rate may have leveled off at 5.8 percent. Once again, consumer spending gets the credit for keeping the economy in positive-growth territory. Despite concerns surrounding sluggish growth, the war with Iraq, the unemployment rate and the extended bear market in stocks, coupled with waning confidence, consumers continued to spend. The impetus was low mortgage rates, which created a refinancing explosion that helped put more cash in consumers' pockets. Nevertheless, it seems unlikely that consumers alone will be able to sustain a growing economy. Although consumer spending has not abated dramatically, to expect it to move higher would be unrealistic. For the economy to really strengthen, corporate spending must resume. Corporate America's unwillingness or inability to spend is one of the key reasons the economy has remained weak for so long. The catalyst for a resumption of business spending may be a post-war replenishment of the inventory pipeline, which has become particularly lean in technology product lines. Key to our outlook is the expectation that business confidence also will rebound quickly as the clouds clear, so CEOs can once again plan, invest and hire with confidence. A strengthening labor market should support consumer spending, even as the refinancing boom fades. Our outlook also assumes that Congress will enact a fiscal package by mid-year, complete with tax cuts and rebate checks. This should provide another stimulus to consumer spending, particularly if energy prices decline sharply, as our analysts have forecast. Stock Market Review After posting positive results during the fourth quarter of 2002, stocks retreated during the first quarter of 2003, as war with Iraq, tensions with North Korea, terrorism alerts and even bad weather took their toll on nervous investors. The stock market, as measured by the Standard & Poor's ("S&P") 500 Index, posted a total return of 5.02 percent for the six-month period ended March 31, 2003. We remain confident that the stock market still offers attractive opportunities for long-term investors. Stock price multiples, on a trailing-and forward-earnings-estimate basis, remain well within historical levels, and many quality companies are selling well below the market multiple. Of course, market volatility most likely will continue in the near term, as stocks remain locked in a trading range. But, as bottom-up stock pickers, we believe we can use these volatile markets to purchase good companies at bargain prices. Although overshadowed by the many non-business related concerns, corporate profits improved notably in the fourth quarter of 2002. As companies began to reap some of the benefits of cost reductions, earnings increased more than four percent from the previous quarter, representing the largest quarterly gain in three years. We acknowledge that corporations cannot continue to cut their way to sustainable profit growth, but we do believe such cost-cutting efforts represent positive news going forward. Many companies should be better positioned to spend aggressively on new equipment and new employees once it becomes more certain that the economy is on the mend. The signs of improving profitability also indicate that companies may be deferring capital spending more so because of uncertainty rather than financial considerations. Nevertheless, we do believe that first quarter 2003 earnings reports most likely will be mixed for a multitude of reasons, most notably the war, rising fuel costs and one of the harshest winters on record. Looking beyond these effects, we anticipate earnings will accelerate in the second half of 2003. As difficult as it can be to look beyond the geopolitical factors, we see a number of key stimuli for economic recovery in the fiscal and monetary policies being pursued in Washington, D.C. In particular, low interest rates and proposed tax cuts should help get the economy back on a proper growth trajectory. The mid-March pre-war market levels mark yet another step in determining the market's bottom point for this cycle. Although we expect the equity markets to remain volatile and possibly re-test previous lows, it is unlikely they will break the market lows of last fall. Longer term and as the war winds down, we anticipate the economy should improve slowly, led by a rebound in capital expenditures in late 2003, early 2004. Among international stock markets, the emerging markets continue to present excellent opportunities, with single-digit earnings multiples and expected growth rates of 20 percent. Although the markets in Asia and Europe offer lower valuations than the U.S. market, they also contain lower growth rates. Looking ahead, we anticipate a stock picker's market, in which company fundamentals rule, and overall trends remain a secondary influence on stock prices. LOOMIS SAYLES EQUITY FUNDS Bond Market Review The six-month period ended March 31, 2003, began on a sour note for bond investors, as corporate bonds faced one of their worst years in history. Investors worried about the lack of strength in the economy as well as the threat of terrorism and the ongoing conflict with Iraq. Also, a variety of corporate accounting scandals that had surfaced earlier in 2002 had rocked confidence and sent investors fleeing to the safety of U.S. Treasuries and mortgage-backed securities. But the Federal Reserve Board's 50-basis-point interest rate cut in early November 2002 on the heels of Republican victories in the mid-term elections caused investors to reassess the landscape. Valuations on corporate bonds started to look particularly appealing. Credit spreads narrowed, and corporate bonds, particularly high-yield issues, posted stellar performance for the fourth quarter of 2002. (Narrowing spreads refer to smaller yield differences between U.S. Treasuries and non-U.S. Treasury securities of comparable maturity. When spreads tighten, prices on the non-U.S. Treasury securities increase; when spreads widen, prices on the non-U.S. Treasury securities decline.) This trend continued into the first quarter of 2003. Despite concerns surrounding the impending war with Iraq and the economic consequences of war, investors continued to invest in corporate securities. Low yields on government securities drove investors into higher-yielding alternatives. Funds flowed into high yield mutual funds at a record pace, and formerly out-of-favor sectors that had been priced at distressed levels saw robust demand. This led to strong performance by utilities, telecommunication and technology bonds. We believe yields may trend higher throughout the remainder of the year, based on our forecast for stronger economic growth, diminishing geopolitical risk and increasing U.S. Treasury borrowing needs. As the market begins to anticipate a tightening move by the Federal Reserve Board, yields should start to rise. But they may come under upward pressure before then, if the flight-to-quality trade reverses with the end of the war and as the growing federal budget deficit causes the U.S. Treasury to flood the market with new offerings. The scenario is not a friendly one for U.S. Treasury returns, where yields are so low they offer little protection against principal losses in a rising rate environment. We believe international government securities may perform better than U.S. government securities, given the higher yields and/or more sluggish economic growth abroad. The mortgage market may see dampened performance as interest rates increase. Overall, we believe conditions favor the corporate markets. Corporate securities may be poised to benefit from an improving economy, strong demand for yield, a reversal in the flight-to-quality play, and yield advantages compared to U.S. Treasuries, which should cushion returns in a rising rate environment. - ---------- The views expressed in this report reflect those of the firm only through the end of the period of the report as stated on the cover and do not necessarily represent the views of any particular person in the organization. Any such views are subject to change at any time based upon market or other conditions and the firm disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund. 3 INSTITUTIONAL CLASS AVERAGE ANNUAL TOTAL RETURNS VS. LIPPER CATEGORY AVERAGE AND LIPPER CATEGORY INDEX(1) FOR THE PERIODS ENDED MARCH 31, 2003 (Unaudited)
Since Since 6 Months* 1 Year 5 Years 10 Years Registration(2)(4) Inception(3)(4) - ------------------------------------------------------------------------------------------------------------------------------------ LOOMIS SAYLES FUNDS Loomis Sayles Aggressive Growth Fund -3.08% -33.65% -1.31% NA 3.17% 3.17% Lipper Mid-Cap Growth Funds Average 2.39% -27.47% -4.20% NA 0.87% 0.87% Rank NA 434/499 75/221 NA 69/181 69/181 Percentile NA 87 34 NA 38 38 Lipper Mid-Cap Growth Funds Index 3.01% -27.57% -4.00% NA 0.26% 0.26% Loomis Sayles Growth Fund 3.47% -20.98% -5.71% 4.75% 6.49% 6.49% Lipper Large-Cap Growth Funds Average 3.53% -27.05% -6.17% 5.57% 6.55% 6.55% Rank NA 33/646 155/317 62/87 46/65 46/65 Percentile NA 5 49 71 71 71 Lipper Large-Cap Growth Funds Index 2.73% -27.38% -7.03% 5.95% 6.76% 6.76% Loomis Sayles International Equity Fund -1.43% -23.31% -5.26% 3.44% 3.53% 3.53% Lipper International Funds Average -3.33% -24.60% -6.93% 2.94% 3.48% 3.48% Rank NA 271/823 124/457 40/100 23/48 23/48 Percentile NA 33 27 40 48 48 Lipper International Funds Index -2.74% -23.30% -6.07% 3.73% 3.76% 3.76% Loomis Sayles Research Fund 3.81% -24.87% NA NA -17.61% -17.61% Lipper Large-Cap Core Funds Average 3.30% -25.78% NA NA -18.03% -18.03% Rank NA 348/969 NA NA 382/793 382/793 Percentile NA 36 NA NA 48 48 Lipper Large-Cap Core Funds Index 3.34% -23.73% NA NA -16.70% -16.70% Loomis Sayles Small Cap Growth Fund -4.09% -37.54% -12.57% NA -5.90% -5.90% Lipper Small-Cap Growth Funds Average 0.64% -30.80% -4.97% NA -0.18% -0.18% Rank NA 368/441 210/226 NA 140/160 140/160 Percentile NA 83 93 NA 88 88 Lipper Small-Cap Growth Funds Index 1.52% -29.30% -4.05% NA 0.11% 0.11% Loomis Sayles Small Cap Value Fund 0.12% -22.18% 1.09% 10.41% 12.90% 12.90% Lipper Small-Cap Core Funds Average -0.07% -25.86% -1.42% 7.26% 8.96% 8.96% Rank NA 114/438 59/223 11/60 2/31 2/31 Percentile NA 26 26 1 8 6 6 Lipper Small-Cap Core Funds Index 0.33% -26.04% -1.73% 7.77% NA NA Loomis Sayles Value Fund 2.12% -23.70% -4.83% 6.74% 7.89% 7.89% Lipper Large-Cap Value Funds Average 2.82% -25.54% -4.15% 7.10% 8.38% 8.38% Rank NA 103/387 123/206 42/68 29/47 29/47 Percentile NA 27 60 62 62 62 Lipper Large-Cap Value Funds Index 3.33% -25.04% -3.50% 7.64% 8.74% 8.74% Loomis Sayles Worldwide Fund 9.61% 1.28% 6.46% NA 8.04% 8.04% Lipper Global Flexible Funds Average 2.47% -13.81% -1.38% NA 3.81% 3.81% Rank NA 3/90 1/72 NA 1/42 1/42 Percentile NA 3 1 NA 2 2 Lipper Global Flexible Funds Index 2.76% -12.41% -0.70% NA 3.57% 3.57% LOOMIS SAYLES INVESTMENT TRUST Loomis Sayles Mid Cap Growth Fund -2.74% -33.29% NA NA -30.99% -30.99% Lipper Mid-Cap Growth Funds Average 2.39% -27.47% NA NA -19.49% -19.49% Rank NA 428/499 NA NA 424/446 424/446 Percentile NA 86 NA NA 95 95 Lipper Mid-Cap Growth Funds Index 3.01% -27.57% NA NA -19.00% -19.00% Loomis Sayles Provident Fund 0.31% -18.74% 3.89% NA 6.93% 8.65% Lipper Multi-Cap Core Funds Average 2.72% -24.43% -3.18% NA 2.52% 5.32% Rank NA 65/493 10/221 NA 20/181 NA Percentile NA 13 5 NA 11 NA Lipper Multi-Cap Core Funds Index 3.06% -24.08% -3.62% NA 2.09% 5.44% Loomis Sayles Small Company Growth Fund -1.39% -39.14% NA NA -13.13% -13.13% Lipper Small-Cap Growth Funds Average 0.64% -30.80% NA NA -4.88% -4.88% Rank NA 389/441 NA NA 249/271 249/271 Percentile NA 88 NA NA 92 92 Lipper Small-Cap Growth Funds Index 1.52% -29.30% NA NA -2.88% -2.88%
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (1) Lipper Category Average total return represents the average total return for all funds in each fund's corresponding investment category as determined by Lipper, Inc. The Lipper Category Index total return represents the average total return of 30 funds in each fund's corresponding investment category as determined by Lipper, Inc. Rankings are based on the total return of each fund for the period relative to the total return of all funds in that fund's corresponding investment category. The indexes are unmanaged and index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Returns are adjusted for the reinvestment of capital gains distributions and income dividends. It is not possible to invest directly in an index. Source: Lipper, Inc. (2) Shares of the Loomis Sayles Funds registration dates are the same as their respective inception dates. Shares of the Loomis Sayles Investment Trust (with the exception of the Loomis Sayles Provident Fund, which was registered for offer and sale under the Securities Act of 1933 on 3/7/1997) are the same as their respective inception dates. (3) Actual Inception Dates: Aggressive Growth Fund: 12/31/96; Growth Fund: 5/16/91; International Equity Fund: 5/10/91; Research Fund: 7/31/00; Small Cap Growth Fund: 12/31/96; Small Cap Value Fund: 5/13/91; Value Fund: 5/13/91; Worldwide Fund: 5/1/96; Mid Cap Growth Fund: 2/28/01; Provident Fund 10/1/95; Small Company Growth Fund: 5/7/99 (4) Lipper index, average and ranking performance data is reported only as of month end. For each fund with an inception date other than at month end, Lipper index and average data is reported as of the month end closest to the fund's inception date or registration date as referenced. Lipper ranking data is reported as of the month end following the fund's inception date or registration date as referenced. *Not annualized. LOOMIS SAYLES EQUITY FUNDS FUND AND MANAGER REVIEW Loomis Sayles Aggressive Growth Fund PORTFOLIO REVIEW Poor performance during the fourth quarter of 2002 led to the Fund's underperformance compared to the Russell Midcap Growth Index for the six-month period ended March 31, 2003. Typically, leadership in the fourth quarter comes from high relative-strength, high-earnings momentum stocks--the type of stocks we like to own. Nevertheless, the rebound off the market lows of last October was more like a "January-effect" rally, led by low-priced, negative-earnings stocks--the types of stocks we typically do not own. Specifically, much of the Fund's performance shortfall occurred in the technology and producer durables sectors. In some cases we owned the right stocks but did not time our buys and sells successfully. In addition, because the Fund is relatively concentrated, owning approximately 60 stocks, the impact of specific stock "torpedoes" is magnified. Our largest sector overweights were (and remain) technology and energy. If the market surprises on the upside in 2003, we believe it will be because of a renewed cycle of business investment and capital spending on technology. We believe earnings expectations in technology are more realistic and earnings revisions have become more positive. Within the energy sector, we have favored the energy services stocks. We think there is a structural imbalance between supply and demand for natural gas, which only can be resolved through a combination of higher prices and more drilling. The classic defensive industries and sectors that outperformed during the recent correction, such as consumer staples, may underperform going forward. In addition healthcare services companies could face challenges, as increasing budget deficits hinder Medicare and Medicaid reimbursements. OUTLOOK We remain fully invested in emerging growth stocks that, in our opinion, have strong management teams, new and exciting products or services, and good prospects for strong earnings and revenue growth for the next few years. Volatility tied to news events may offer some interesting trading opportunities throughout the next few months. Given the coalition's success in Iraq, we believe that stocks may work their way higher throughout the remainder of 2003. Longer term, we believe the market may move within a broad trading range for several years, as the market works off the structural imbalances of the post-bubble economy. Key Fund Facts Objective Long-term capital growth Strategy Invests primarily in stocks with market capitalization falling within the capitalization range of the Russell Midcap Growth Index Fund Inception Date 12/31/96 Commencement of Operations of Class Institutional: 1/2/97; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio Institutional: 1.00%; Retail: 1.25%; Admin: 1.50% Total Net Assets (all classes) $37.0 million [Photo] Chris Ely [Photo] Dave Smith [Photo] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years Inception(a) - -------------------------------------------------------------------------------------- Loomis Sayles Aggressive Growth Fund: Institutional -3.08% -33.65% -1.31% 3.17% Retail -3.22 -33.83 -1.59 2.88 Admin(a) -3.43 -34.01 -1.96 2.44 Lipper Mid-Cap Growth Funds Index(b) 3.01 -27.57 -4.00 0.26 Russell Midcap Growth Index(b) 9.14 -26.11 -4.01 1.80
CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
12/31/1996 3/97 3/98 3/99 3/00 3/01 3/02 3/03 ---------- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Aggressive Growth Fund 10,000 9,630 12,980 17,363 51,718 23,577 18,316 12,154 Lipper Mid-Cap Growth Funds Index (b) 10,000 8,846 12,465 13,024 24,927 14,091 14,031 10,166 Russell Midcap Growth Index (b) 10,000 9,635 13,717 14,937 26,467 14,447 15,125 11,177
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Class of shares. (b) Please see page 13 for a description of the indexes and important risk disclosure. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. *Not annualized. 5 FUND AND MANAGER REVIEW Loomis Sayles Growth Fund PORTFOLIO REVIEW We continued to invest in companies positioned for growth within their respective industries and the overall market. This resulted in overweight positions in the consumer discretionary, technology and healthcare sectors. Our consumer discretionary overweight is concentrated in the retail industry, because we believe consumers will remain resilient. We continue to overweight certain technology stocks that offer attractive valuations. Also, the outlook for capital spending remains positive, and technology companies should be prime beneficiaries of improved business spending. Our healthcare overweight is concentrated in equipment and services companies, due to their high consistency of earnings growth. The technology sector was the only area that hurt the Fund's relative performance compared to the benchmark during the period. The semiconductor industry experienced a cyclical bounce in the first quarter of 2003, but the Fund was underweighted in key holdings from this group, relative to the benchmark. Looking ahead, we remain cautious toward the consumer staples and industrials sectors, because we believe they have lower earnings growth potential relative to other sectors. In addition, we have significantly underweighted the energy sector, due to the high prices of oil and natural gas. We do not believe these price levels are sustainable. Some investors argue that the stock market is becoming overvalued. But as growth investors, we do not subscribe to that sentiment. We continue to find numerous companies in our stock universe that have strong growth characteristics not yet realized by the market as a whole. OUTLOOK Because the war with Iraq was swift, we believe much of the uncertainty that has plagued the market now is gone. We believe that this should improve consumer sentiment and cause the economy to start picking up steam. As the economy gains strength, short-term earnings outlooks should improve, and companies may be inclined to increase capital spending. This would be a favorable influence on many stock market sectors. Our longer-term outlook calls for the stock market to return to more "normal" return levels. The market typically does not grow at its historical average return in any single year, but we believe a more positive environment for equities may help the market return to its historical long-term average annual return. Key Fund Facts Objective Long-term capital growth Strategy Invests primarily in equity securities; the Fund focuses on stocks of large capitalization companies, but may invest in companies of any size Fund Inception Date 5/16/91 Commencement of Operations of Class Institutional: 5/16/91; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio Institutional: 0.85%; Retail: 1.10%; Admin: 1.35% Total Net Assets (all classes) $23.3 million [Photo] Mark Baribeau [Photo] Pamela Czekanski [Photo] Richard Skaggs AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years 10 Years Inception(a) - ---------------------------------------------------------------------------------- Institutional 3.47% -20.98% -5.71% 4.75% 6.49% Retail(a) 3.01 -21.34 -5.93 4.57 6.34 Admin(a) 3.03 -21.43 -6.39 4.21 5.99 Lipper Large-Cap Growth Funds Index(b) 2.73 -27.38 -7.03 5.95 6.76 S&P 500 Index(b) 5.02 -24.76 -3.77 8.53 9.01
CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/16/1991 3/92 3/93 3/94 3/95 3/96 3/97 3/98 3/99 --------- ---- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Growth Fund 10,000 11,499 13,274 13,581 14,534 18,401 20,670 28,314 32,360 Lipper Large-Cap Growth Funds Index (b) 10,000 10,865 12,170 12,835 14,073 18,651 21,233 31,232 40,127 S&P 500 Index (b) 10,000 10,620 12,237 12,417 14,351 18,957 22,715 33,619 39,826 3/00 3/01 3/02 3/03 ---- ---- ---- ---- Loomis Sayles Growth Fund 47,513 28,073 26,706 21,093 Lipper Large-Cap Growth Funds Index (b) 54,198 31,380 29,872 21,693 S&P 500 Index (b) 46,968 36,787 36,866 27,739
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and the Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (b) Please see page 13 for a description of the indexes and important risk disclosure. Since index data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (May 31,1991). (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. *Not annualized. LOOMIS SAYLES EQUITY FUNDS FUND AND MANAGER REVIEW Loomis Sayles International Equity Fund PORTFOLIO REVIEW Stock selection, rather than sector or country selections, emerged as the overall key to the Fund's performance--and outperformance relative to the benchmark, the Morgan Stanley Capital International-EAFE Index, during the six-month period. In particular, good stock selection in the consumer discretionary, financials, industrials and materials sectors and in Canada, Hong Kong, Switzerland, the United Kingdom and the emerging markets helped the Fund outperform its benchmark during the six months ended March 31, 2003. The Fund remained invested in what we believe to be fundamentally sound companies exhibiting sustainable growth at reasonable valuations. We continued to overweight stocks in the consumer discretionary sector. Although the sector as a whole underperformed during the six-month period, the Fund's holdings benefitted from good fundamentals. Specifically, stocks in the auto and auto parts, household durables and media industries performed well. In addition, we maintained an overweighting in the materials sector, with the majority of the Fund's holdings in the metals and mining and paper industries, where we found good growth at attractive valuations. We also uncovered good growth opportunities and attractive valuations among many companies in the information technology sector. We directed our overweight in this sector to the commercial services and electronic equipment industries. We underweighted stocks in the financials, utilities and healthcare sectors during the period. Within the financials sector we maintained limited exposure to banks and diversified financial institutions, because many such companies are experiencing slowdowns due to weak credit and financial markets. Electric utilities are not experiencing sustained growth patterns, so we underweighted the industry. In the healthcare sector we underweighted large pharmaceuticals, which have suffered due to an increase in generic drug use and the patent expirations of many popular medications. OUTLOOK We believe that the underpinnings for strong economic growth are visible; business investment in equipment and software has climbed for three consecutive quarters, corporate profitability is improving, prices for raw materials are increasing, and corporations are reorganizing. In the short term, though, market uncertainty and volatility likely will reign, as investors react to each piece of news and rumor emanating from Iraq. Fundamentally, companies' capital investments remain on hold until some clarity emerges regarding stability in Iraq and President Bush's intended tax cuts. Key Fund Facts Objective High total investment return Strategy Invests primarily in stocks of companies organized or headquartered outside of the United States Fund Inception Date 5/10/91 Commencement of Operations of Class Institutional: 5/10/91; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio Institutional: 1.00%; Retail: 1.25%; Admin: 1.50% Total Net Assets (all classes) $41.0 million [Photo] Eswar Menon [Photo] Alexander Muromcew [Photo] John Tribolet AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years 10 Years Inception(a) - ------------------------------------------------------------------------------------------------------- Loomis Sayles International Equity Fund: Institutional -1.43% -23.31% -5.26% 3.44% 3.53% Retail(a) -1.69 -23.46 -5.56 3.24 3.36 Admin(a) -1.69 -23.64 -5.90 2.80 2.92 Lipper International Funds Index(b) -2.74 -23.30 -6.07 3.73 3.76 Morgan Stanley Capital International-EAFE Index (b) -2.29 -23.59 -7.13 1.96 1.78
CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/10/91 3/92 3/93 3/94 3/95 3/96 3/97 3/98 3/99 3/00 ------- ---- ---- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles International Equity Fund 10,000 10,831 10,768 13,641 13,679 15,222 17,277 19,787 18,040 36,869 Lipper International Funds Index (b) 10,000 10,150 10,767 13,655 13,361 15,739 17,677 21,245 21,110 28,906 Morgan Stanley Capital International-EAFE Index (b) 10,000 9,109 10,166 12,454 13,211 14,839 15,055 17,856 18,939 23,691 3/00 3/01 3/02 3/03 ---- ---- ---- ---- Loomis Sayles International Equity Fund 36,869 21,337 19,694 15,530 Lipper International Funds Index (b) 28,906 21,304 20,247 15,106 Morgan Stanley Capital International-EAFE Index (b) 23,691 17,566 16,146 12,340
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (b) Since index data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (April 30,1991). Please see page 13 for a description of the indexes and important risk disclosure. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. * Not annualized. 7 FUND AND MANAGER REVIEW Loomis Sayles Research Fund PORTFOLIO REVIEW For the six-month period ended March 31, 2003, the Fund's under-performance compared to its benchmark, the S&P 500 Index, was due primarily to being too conservatively positioned during the late-2002 market rally. After all the major indexes hit lows in October, investors began to bid up shares in those areas expected to benefit from an improving economy. Telecommunication shares rebounded sharply during the fourth quarter led by the Baby Bells and was our best performing sector for the period. Technology and healthcare were fueled by increased investor enthusiasm for higher growth niche and specialty companies. In technology, our exposure to more defensive software and services companies held back performance during the fourth quarter of 2002. Entering 2003, we positioned the Fund more aggressively in a number of high-growth niche companies, a strategy that served us well and helped narrow the performance gap. The Fund's holdings in specialty pharmaceuticals and equipment companies helped boost the healthcare sector to strong gains. In the end, these areas were not enough to offset the disappointing performance in our consumer staples holdings. While the entire consumer staples sector suffered from profit taking as investors shifted their attention to faster-growing sectors, earnings weakness and mixed business outlooks hurt two of our larger holdings here. OUTLOOK Consumers have been responsible for keeping the economy moving, albeit sluggishly, throughout the slowdown. Although consumer spending has not abated dramatically, in our opinion, it's unlikely to move much higher. As such, we believe corporate spending needs to return to "normal" levels for the economy to strengthen. Corporate America's unwillingness or inability to spend is a key reason the economy has remained weak for so long. We believe that the primary catalyst for improved spending will be a post-war replenishment of the lean inventory pipeline, especially in technology product lines. From a market perspective, we believe the mid-March, pre-war price levels mark yet another step in determining the market's bottom. Although we expect the equity markets to remain volatile and possibly re-test previous lows, it's unlikely we will break the market low of October 9, 2002. Longer term, we anticipate a slow improvement in economic growth, led by a rebound in capital expenditures in late-2003 and 2004 and a return to more normal corporate spending levels. Key Fund Facts Objective Long-term capital growth Strategy Invests in stocks with large capitalization but may invest in companies of any size Fund Inception Date 7/31/00 Commencement of Operations of Class Institutional: 7/31/00; Retail: 11/30/01 Expense Ratio Institutional: 0.85%; Retail: 1.10% Total Net Assets (all classes) $17.4 million [Photo] Laurlann Kloppenburg AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003 Since 6 Months* 1 Year Inception(a) - -------------------------------------------------------------------------------- Loomis Sayles Research Fund: Institutional 3.81% -24.87% -17.61% Retail(a) 3.88 -24.99 -17.79 Lipper Large-Cap Core Funds Index(b) 3.34 -23.73 -16.70 S&P 500 Index(b) 5.02 -24.76 -16.59 CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
7/31/00 3/01 3/02 3/03 ------- ---- ---- ---- Loomis Sayles Research Fund 10,000 7,659 7,938 5,964 Lipper Large-Cap Core Funds Index (b) 10,000 8,084 8,054 6,143 S&P 500 Index (b) 10,000 8,174 8,191 6,163
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (November 30, 2001) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective class of shares. (b) Please see page 13 for a description of the indexes and important risk disclosure. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail Class of shares would, due to the higher fees paid by the Retail Class of shares, be lower. *Not annualized. LOOMIS SAYLES EQUITY FUNDS FUND AND MANAGER REVIEW Loomis Sayles Small Cap Growth Fund PORTFOLIO REVIEW Our primary investment strategy focused on owning stocks with earnings growth rates expected to be higher than the market as a whole. As usual, we looked for companies with strong fundamentals, rapid earnings growth, a strong management and a solid business model. The consumer discretionary and technology sectors remained the most substantial weightings in the portfolio for the six-month period ended March 31, 2003. Because individual stock selection is the primary driver of our sector weightings, it's not surprising that we have seen most of the current growth opportunities from these two sectors. The consumer discretionary sector includes a diverse group of companies in a variety of industries, from advertising to education to retail. All are experiencing significant growth in sales and earnings, despite relatively slow economic growth. Our overweight position in the technology sector reflects a combination of companies that are experiencing significant growth or are beginning to show signs of a return to growth after a long drought. Financial services remained the largest underweight sector in the portfolio. Surprisingly, the financial services sector weighting exceeded the technology sector weighting for the first time in the Russell 2000 Growth Index's history. Nevertheless, the sector was populated with relatively small, slow-growth banks, REITs (real estate investment trusts) and other financial companies that did not meet our growth criteria. This difference between the Fund's and the benchmark's financial holdings accounted for the majority of the Fund's underperformance during the period. OUTLOOK Stock valuations remain lower today than they were three years ago, and corporate earnings are beginning to grow again. We believe the missing ingredient is investor confidence. Investors have large sums of cash sitting on the sidelines, and we believe that a string of positive days, weeks and months should bolster confidence. In addition, the successful prosecution of the Iraq war should provide some short-term stimulus for the market. Our longer-term outlook depends on the pace of economic growth and corporate earnings performance. One of the drags over the past two years has been the dramatic fall-off in capital spending, and a rebound in this type of spending would make us much more constructive about the long term. Key Fund Facts Objective Long-term capital growth Strategy Invests in stocks with market capitalization falling within the capitalization range of the Russell 2000 Index Fund Inception Date 12/31/96 Commencement of Operations of Class Institutional: 1/2/97; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio Institutional: 1.00%; Retail: 1.25%; Admin: 1.50% Total Net Assets (all classes) $47.0 million [Photo] Chris Ely [Photo] Dave Smith [Photo] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years Inception(a) - ------------------------------------------------------------------------------------------ Loomis Sayles Small Cap Growth Fund: Institutional -4.09% -37.54% -12.57% -5.90% Retail -4.31 -37.73 -12.82 -6.15 Admin(a) -4.33 -37.81 -13.11 -6.46 Lipper Small-Cap Growth Funds Index(b) 1.52 -29.30 -4.05 0.11 Russell 2000 Growth Index(b) 3.34 -31.63 -9.38 -4.05 Russell 2000 Index(b) 1.39 -26.96 -4.12 1.41
CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
12/31/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 -------- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Small Cap Growth Fund 10,000 8,510 13,388 14,717 31,544 14,081 10,947 6,839 Lipper Small-Cap Growth Funds Index (b) 10,000 8,808 12,379 10,865 21,340 13,471 14,245 10,071 Russell 2000 Growth Index (b) 10,000 8,951 12,636 11,241 17,879 10,761 11,294 7,721 Russell 2000 Index (b) 10,000 9,483 13,467 11,278 15,484 13,110 14,943 10,915
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Class of shares. (b) Please see page 13 for a description of the indexes and important risk disclosure. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. * Not annualized. 9 FUND AND MANAGER REVIEW Loomis Sayles Small Cap Value Fund PORTFOLIO REVIEW The Fund's value orientation and the higher fundamental quality were eclipsed by the market's renewed affinity for growth stocks, and specifically technology, during the period. For the six months ended March 31, 2003 the Fund modestly lagged it's benchmark, the Russell 2000 Index. Sector weighting was a negative factor, as the portfolio's focus on valuations and earnings visibility led to an underweight position in technology, which proved to be the strongest performing sector during the period. Still, positive stock selection accounted for the majority of the value added during the quarter. Specific sectors where our stock selection exceeded that of the benchmark included consumer staples, health care, and materials and processing. Favorable stock selection in technology partially offset the impact of our underweight position in that sector. Disappointing news on the economic recovery and concerns about the approaching war in Iraq put pressure on economically-sensitive sectors, such as automotive and transportation, materials and processing, and consumer discretionary. Our stock selection was unfavorable in the automotive group, as declines in our auto supplier holdings were offset only partially by gains in trucking stocks. Stock selections in materials and processing were positive, but the overall sector suffered from negative earnings estimate revisions. Looking ahead, we expect to maintain our modest overweight in the consumer discretionary sector, where we have shifted attention from retail holdings to advertising-and marketing-driven companies. Advertising firms are showing modest signs of improvement after an extended period of flat results, and future improvements in economic growth should directly benefit these businesses. We remain underweighted in financial services stocks as compared to the September 30, 2002 fiscal year end, as decent performance in banks and savings and loans has reduced the relative attractiveness of this group. OUTLOOK In an environment of below-average economic growth and lingering geopolitical uncertainty, we believe stock selection will be the key to good performance in 2003. Small- to mid-cap stocks continue to have relatively attractive valuations relative to larger companies, and earnings growth for smaller companies has proven to be more resilient during the recent slow growth period. Within the small cap value sector, we are tilting our stock selections in favor of companies with good earnings visibility. Our emphasis remains on individual stock selection, as opposed to sector selection. Key Fund Facts Objective Long-term capital growth Strategy Invests primarily in stocks with market capitalizations falling within the capitalization range of the Russell 2000 Index, employing a value approach to stock selection Fund Inception Date 5/13/91 Commencement of Operations of Class Institutional: 5/13/91; Retail: 1/2/97; Admin: 1/2/98 Expense Ratio Institutional: 0.90%; Retail: 1.15%; Admin: 1.40% Total Net Assets (all classes) $357.1 million [Photo] Joseph Gatz [Photo] Daniel Thelen AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years 10 Years Inception(a) - ------------------------------------------------------------------------------------------------ Loomis Sayles Small Cap Value Fund: Institutional 0.12% -22.18% 1.09% 10.41% 12.90% Retail(a) 0.00 -22.33 0.83 10.23 12.75 Admin(a) -0.12 -22.51 0.55 9.85 12.37 Lipper Small-Cap Core Funds Index(b) 0.33 -26.04 -1.73 7.77 NA Russell 2000 Value Index(b) -0.41 -23.27 0.03 9.26 11.72 Russell 2000 Index(b) 1.39 -26.96 -4.12 6.22 8.16
CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS RERPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/13/91 12/31/91 3/92 3/93 3/94 3/95 3/96 3/97 3/98 ------- ------- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Small Cap Value Fund 10,000 13,048 14,364 15,710 17,438 18,002 23,989 28,569 40,068 Lipper Small-Cap Core Funds Index (b) 10,000 10,573 11,887 12,814 13,984 18,217 19,123 27,417 Russell 2000 Value Index (b) 10,000 10,884 12,223 15,424 17,160 17,763 22,484 26,076 37,326 Russell 2000 Index (b) 10,000 11,286 12,131 13,935 15,463 16,317 21,057 22,132 31,431 3/99 3/00 3/01 3/02 3/03 ---- ---- ---- ---- ---- Loomis Sayles Small Cap Value Fund 32,116 39,617 43,250 54,363 42,303 Lipper Small-Cap Core Funds Index (b) 21,814 31,585 28,287 33,963 25,201 Russell 2000 Value Index (b) 29,103 32,961 39,373 48,724 37,386 Russell 2000 Index (b) 26,321 36,137 30,598 34,876 25,403
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and Admin Class (January 2, 1998) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Classes of shares. (b) Since index performance data is not available coincident with the Fund's inception date, the beginning value of the index is the value as of the month end closest to the Fund's inception date (April 30, 1991). Please see page 13 for a description of the indexes and important risk disclosure. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. * Not annualized. LOOMIS SAYLES EQUITY FUNDS FUND AND MANAGER REVIEW Loomis Sayles Value Fund PORTFOLIO REVIEW Our ongoing strategy is to select stocks exhibiting below-average valuations and a near-term catalyst for an improvement in the company's fundamental outlook. The Fund's telecommunication and technology holdings continued to trend downward, given the weak economic climate. In addition, the Fund's consumer staples exposure consisted of one holding, which suffered a steep decline during the period. Such stock-selection efforts lead the Fund to underperform its benchmark, the S&P 500 Index during the six-month period. In particular, select holdings within the energy, utilities and financials sectors boosted results. The defensive characteristics of these holdings were important in a sluggish economic environment. In addition, energy holdings benefited from an increase in oil and natural gas prices and from solid dividend yields. The healthcare sector remains one of the few sectors we continue to overweight in the Fund, due to low valuations and attractive earnings growth potential. We also believe the economically-sensitive sectors remain attractive going forward. These areas should benefit as economic activity returns and the pent-up demand caused by the war comes to the surface. We are under-weighting the financials sector due to concerns about a potential increase in interest rates as economic activity improves. Rising interest rates may cause mortgage and refinancing activity to subside, which would negatively affect the earnings of many financial companies. OUTLOOK Our short-term market outlook calls for continued volatility, as investors react to the situation in Iraq. Longer-term, we believe the market should improve as the coalition forces restore stability to Iraq and economic activity improves. In addition, with interest rates historically low and stock valuations reasonable, we believe the probability of equities eventually outperforming other asset classes has improved greatly. We believe that corporate spending likely will be the driver of renewed economic growth. Many corporations substantially curtailed their spending in response to recent economic and geopolitical uncertainties. As those uncertainties dissipate, a resumption in corporate spending should have a strong positive impact on the economy. Key Fund Facts Objective Long-term growth of capital and income Strategy Invests primarily in medium-and large-sized companies and employs a value approach when selecting stocks Fund Inception Date 5/13/91 Expense Ratio 0.85% Total Net Assets $33.1 million [Photo] Warren Koontz [Photo] James Carroll [Photo] Jeffrey Wardlow AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years 10 Years Inception - -------------------------------------------------------------------------------- Loomis Sayles Value Fund 2.12% -23.70% -4.83% 6.74% 7.89% Lipper Large-Cap Value Funds Index(a) 3.33 -25.04 -3.50 7.64 8.74 S&P 500 Index(a) 5.02 -24.76 -3.77 8.53 9.33
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS RERPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/13/91 3/92 3/93 3/94 3/95 3/96 3/97 3/98 3/99 ------- ---- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Value Fund 10,000 11,031 12,852 13,481 14,994 19,240 22,741 31,599 31,838 Lipper Large-Cap Value Funds Index (a) 10,000 11,251 13,006 13,538 15,174 19,712 23,068 32,439 35,217 S&P 500 Index (a) 10,000 11,077 12,764 12,952 14,969 19,774 23,694 35,068 41,542 3/00 3/01 3/02 3/03 ---- ---- ---- ---- Loomis Sayles Value Fund 30,331 31,885 32,334 24,669 Lipper Large-Cap Value Funds Index (a) 38,173 35,847 36,209 27,144 S&P 500 Index (a) 48,993 38,373 38,455 28,935
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (April 30,1991). Please see page 13 for a description of the indexes and important risk disclosure. * Not annualized 11 FUND AND MANAGER REVIEW Loomis Sayles Worldwide Fund PORTFOLIO REVIEW Within the Fund's equity component we continued to invest in a diversified portfolio of what we believe are the strongest growth companies located throughout the world. Throughout the six month period ended March 31, 2003, we used market volatility to our advantage, snapping up stocks with good growth potential during periods of price weakness. Our strategy in the international equity arena focused on investing in a diverse group of fundamentally sound growth companies exhibiting sustainable growth at reasonable valuations. Stock selection took the lead in driving returns, rather than sector or country allocations. Within the domestic equity component, we positioned the Fund's investments for a gradual economic recovery. The domestic equity portfolio's cash position constrained overall performance somewhat, but stock selection was effective. The Fund's fixed income holdings were the greatest contributors to the Fund's outperformance compared to its benchmark, the S&P 500 Index, during the six month period ended March 31, 2003. In particular, the four-pronged strategy we implemented within the Fund's international fixed income portfolio was effective. We overweighted non-dollar currencies; we avoided Japan; we continued to look for attractive corporate issues, particularly Euro issues of U.S. companies; and we maintained the portfolio's Euro duration (interest rate risk). On the domestic side, our key strategy was to focus on corporate debt. Corporate bonds performed well, as the market rebounded from lows posted late last summer. OUTLOOK Looking ahead, we believe that the underpinnings for strong economic growth are visible: Business investment in equipment and software has climbed for three consecutive quarters, corporate profitability is improving, prices for raw materials are increasing, and corporations are reorganizing. In the short term, though, market uncertainty and volatility likely will reign, as investors react to each piece of news and rumor on the geopolitical front. Within the fixed income market, the U.S. credit market appears to offer the best value. In particular, high-yield corporate issues offer excellent return potential versus U.S. Treasuries. Among investment grade bonds, the lower the credit rating, the better, given the strong yield advantage and the outlook for an eventual economic recovery. In addition, Canadian dollar-denominated bonds look attractive when compared to historical levels. Euro bonds also are encouraging, due to expected weak economic growth, falling inflation and rate cuts abroad. Key Fund Facts Objective High total investment return Strategy Invests primarily in equity and fixed income securities of United States and foreign issuers Fund Inception Date 5/1/96 Expense Ratio 1.00% Total Net Assets $9.0 million [Photo] Daniel Fuss [Photo] Alexander Muromcew [Photo] Robert Ix [Photo] Eswar Menon [Photo] David Rolley [Photo] John Tribolet AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years Inception - ----------------------------------------------------------------------------------- Loomis Sayles Worldwide Fund 9.61% 1.28% 6.46% 8.04% Lipper Global Flexible Funds Index(a) 2.76 -12.41 -0.70 3.57 S&P 500 Index(a) 5.02 -24.76 -3.77 5.44
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS RERPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/1/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 ------ ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Worldwide Fund 10,000 10,924 12,477 11,945 20,314 16,741 16,850 17,065 Lipper Global Flexible Funds Index (a) 10,000 10,953 13,200 13,544 16,731 14,658 14,548 12,741 S&P 500 Index (a) 10,000 11,808 17,477 20,703 24,416 19,124 19,165 14,420
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (April 30, 1996). Please see page 13 for a description of the indexes and important risk disclosure. * Not annualized. LOOMIS SAYLES EQUITY FUNDS DISCLOSURE Loomis Sayles Aggressive Growth Fund, Loomis Sayles Small Cap Growth Fund, Loomis Sayles Small Cap Value Fund Small and mid-cap stocks may be more volatile and subject to wider value fluctuations than larger, more established companies. The secondary market of small- and mid-cap stocks may be less liquid, or harder to sell, which could also adversely impact the Fund's value. Loomis Sayles Aggressive Growth Fund, Loomis Sayles Growth Fund, Loomis Sayles International Equity Fund, Loomis Sayles Research Fund, Loomis Sayles Small Cap Growth Fund, Loomis Sayles Small Cap Value Fund, Loomis Sayles Value Fund, Loomis Sayles Worldwide Fund Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the Fund. Index Definitions Lipper Mid-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the mid-cap growth funds investment objective. Lipper Large-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the large-cap growth funds investment objective. Lipper International Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the international funds investment objective. Lipper Large-Cap Core Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the large-cap core funds investment objective. Lipper Small-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the small-cap growth funds investment objective. Lipper Small-Cap Core Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the small-cap core funds investment objective. Lipper Large-Cap Value Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the large-cap value funds investment objective. Lipper Global Flexible Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the global flexible portfolio funds investment objective. Lipper Averages consist of all mutual funds in a stated category. Source: Lipper, Inc. Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000 Growth Index. Morgan Stanley Capital International-EAFE Index is a free float adjusted market capitalization index that is designed to measure international equity market performance. Russell 2000 Growth Index is an unmanaged index comprised of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Russell 2000 Index is an unmanaged index comprised of the 2,000 smallest companies in the Russell 3000 Index (a broad market index), representing approximately 8% of the Russell 3000 total market capitalization. Russell 2000 Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock's weight in the index proportionate to its market value. The indexes are unmanaged and index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Returns are adjusted for the reinvestment of capital gains distributions and income dividends. It is not possible to invest directly in an index. 13 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Aggressive Growth Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--99.8% of net assets Banks/Savings & Loans--1.7% New York Community Bancorp, Inc. 21,550 $ 642,190 ---------- Biotechnology--8.9% Affymetrix, Inc.* 18,975 493,350 Celgene Corp.* 12,800 333,824 Genzyme Corp.* 14,375 523,969 Gilead Sciences, Inc.* 13,900 583,661 IDEC Pharmaceuticals Corp.* 8,750 301,166 MedImmune, Inc.* 17,250 566,317 Millennium Pharmaceuticals, Inc.* 36,050 283,353 Neurocrine Biosciences, Inc.* 4,725 197,411 ---------- 3,283,051 ---------- Commercial Services & Supplies--5.8% Career Education Corp.* 12,100 591,932 Corinthian Colleges, Inc.* 16,550 653,725 University of Phoenix Online* 21,066 898,465 ---------- 2,144,122 ---------- Communications Equipment--4.3% Emulex Corp.* 29,050 556,307 McDATA Corp., Class A* 61,125 525,064 NetScreen Technologies, Inc.* 29,425 493,752 ---------- 1,575,123 ---------- Computers & Peripherals--3.6% Network Appliance, Inc.* 81,525 912,265 Skyworks Solutions, Inc.* 65,350 407,130 ---------- 1,319,395 ---------- Consumer Services--1.5% Leapfrog Enterprises, Inc.* 22,925 546,532 ---------- Diversified Financials--1.5% Investors Financial Services Corp. 23,450 571,008 ---------- Energy Equipment & Services--5.9% Nabors Industries Ltd.* 13,625 543,229 Patterson-UTI Energy, Inc.* 22,125 715,965 Pride International, Inc.* 29,425 396,943 Varco International, Inc.* 28,950 530,074 ---------- 2,186,211 ---------- Healthcare--Drugs--3.6% Allergan, Inc. 9,675 659,932 Biovail Corp.* 16,825 670,813 ---------- 1,330,745 ---------- Healthcare--Equipment & Supplies--5.3% St. Jude Medical, Inc.* 12,700 619,125 Varian Medical Systems, Inc.* 11,325 610,757 Zimmer Holdings, Inc.* 15,075 733,098 ---------- 1,962,980 ---------- Healthcare--Providers & Services--4.8% Caremark Rx, Inc.* 37,300 676,995 Covance, Inc.* 21,950 507,484 Mid Atlantic Medical Services, Inc.* 14,775 599,126 ---------- 1,783,605 ---------- LOOMIS SAYLES EQUITY FUNDS
Shares Value + - ----------------------------------------------------------------------------------- COMMON STOCKS--continued Hotels, Restaurant & Leisure--5.1% International Game Technology* 8,050 $ 659,295 Starbucks Corp.* 24,725 636,916 Station Casinos, Inc.* 28,200 595,302 ---------- 1,891,513 ---------- Information Technology--Consulting & Services--2.1% Cognizant Technology Solutions Corp.* 11,575 779,576 ---------- Internet & Catalog Retail--2.2% Amazon.com, Inc.* 30,775 801,073 ---------- Internet Software & Services--5.0% Hotels.com, Class A* 17,150 989,126 Yahoo! Inc.* 36,300 871,926 ---------- 1,861,052 ---------- Media & Entertainment--4.3% Entercom Communications Corp.* 10,125 444,589 Getty Images, Inc.* 13,625 374,143 Univision Communications, Inc., Class A* 15,975 391,547 Westwood One, Inc.* 12,800 399,872 ---------- 1,610,151 ---------- Oil & Gas--1.5% XTO Energy, Inc. 29,833 566,833 ---------- Retail--Specialty--7.0% Abercrombie & Fitch Co., Class A* 18,900 567,567 AutoZone, Inc.* 8,500 584,035 Bed Bath & Beyond, Inc.* 19,050 657,987 Weight Watchers International, Inc.* 16,850 775,942 ---------- 2,585,531 ---------- Semiconductor Equipment & Products--13.3% Cymer, Inc.* 21,550 509,658 Intersil Corp., Class A* 40,100 623,956 KLA-Tencor Corp.* 15,725 565,188 Linear Technology Corp. 28,775 888,284 Marvell Technology Group Ltd.* 28,000 593,320 Novellus Systems, Inc.* 13,250 361,328 QLogic Corp.* 14,375 533,887 Xilinx, Inc.* 36,500 854,465 ---------- 4,930,086 ---------- Software--10.6% Adobe Systems, Inc. 12,425 383,063 BEA Systems, Inc.* 81,000 825,390 Cognos, Inc.* 28,625 650,389 Electronic Arts, Inc.* 10,100 592,264 Mercury Interactive Corp.* 21,525 638,862 Symantec Corp.* 20,775 813,964 ---------- 3,903,932 ---------- Telecommunications--Wireless--1.8% Nextel Communications, Inc., Class A* 48,500 649,415 ----------
15 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Aggressive Growth Fund--continued
Value + - --------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Identified Cost$35,847,984) $ 36,924,124 ------------ Face Amount - --------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--1.5% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $537,007 on 4/01/03 collateralized by $375,000 U.S. Treasury Bond, 8.875% due 8/15/17 with a value of $554,299 $537,000 537,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $537,000) 537,000 TOTAL INVESTMENTS--101.3% (Identified Cost $36,384,984)@ 37,461,124 Liabilities, Less Cash and Other Assets--(1.3%) (474,092) ------------ NET ASSETS--100% $ 36,987,032 ============
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $36,384,984 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $2,950,550 and $1,874,410, respectively, resulting in net unrealized appreciation of $1,076,140. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Looomis Sayles Growth Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--96.9% of net assets Banks/Savings & Loans--3.2% Bank of America Corp. 5,040 $ 336,873 Wells Fargo & Co. 9,325 419,532 --------- 756,405 --------- Biotechnology--3.9% Amgen, Inc.* 9,350 538,092 Gilead Sciences, Inc.* 8,925 374,761 --------- 912,853 --------- Communications Equipment--3.6% Cisco Systems, Inc.* 51,485 668,275 QUALCOMM, Inc. 4,850 174,891 --------- 843,166 --------- Computers & Peripherals--6.8% Dell Computer Corp.* 34,330 937,552 Hewlett-Packard Co. 19,050 296,228 International Business Machines Corp. 4,500 352,935 --------- 1,586,715 --------- Diversified Financials--13.6% American Express Co. 15,000 498,450 Citigroup, Inc. 16,600 571,870 Goldman Sachs Group, Inc. 7,900 537,832 Lehman Brothers Holdings, Inc. 5,650 326,288 Moody's Corp. 16,215 749,619 SLM Corp. 4,465 495,258 --------- 3,179,317 --------- Food & Drug Retailing--1.0% Whole Foods Market, Inc.* 4,225 235,079 --------- Healthcare--Drugs--7.1% Forest Laboratories, Inc.* 11,655 629,020 Johnson & Johnson 17,825 1,031,533 --------- 1,660,553 --------- Healthcare--Equipment & Supplies--7.0% Boston Scientific Corp.* 5,350 218,066 Medtronic, Inc. 7,550 340,656 St. Jude Medical, Inc.* 10,175 496,031 Zimmer Holdings, Inc.* 11,875 577,481 --------- 1,632,234 --------- Healthcare--Providers & Services--3.5% UnitedHealth Group, Inc. 8,810 807,613 --------- Hotels, Restaurant & Leisure--1.0% Starbucks Corp.* 9,075 233,772 --------- Industrial Conglomerates--7.4% 3M Co. 6,665 866,650 General Electric Co. 33,455 853,102 --------- 1,719,752 --------- Information Technology--Consulting & Services--1.0% Affiliated Computer Services, Inc., Class A 5,175 229,046 --------- 17 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Growth Fund--continued
Shares Value + - ------------------------------------------------------------------------------------- COMMON STOCKS--continued Media & Entertainment--3.2% The E.W. Scripps Co., Class A 3,675 $ 278,345 Viacom, Inc., Class B* 12,600 460,152 ----------- 738,497 Pharmaceutical--4.2% Pfizer, Inc. 31,650 986,214 ----------- Retail--Internet & Catalog--1.7% eBay, Inc.* 4,640 395,746 ----------- Retail--Multiline--4.5% Kohl's Corp.* 9,750 551,655 Wal-Mart Stores, Inc. 9,750 507,292 ----------- 1,058,947 Retail--Specialty--9.0% Bed Bath & Beyond, Inc.* 15,670 541,242 Coach, Inc.* 7,975 305,682 Gap, Inc., 34,525 500,267 Lowe's Cos., Inc. 18,150 740,883 ----------- 2,088,074 Semiconductor Equipment & Products--6.8% Intel Corp. 35,875 584,045 Maxim Integrated Products, Inc. 15,225 549,927 Texas Instruments, Inc. 27,475 449,766 ----------- 1,583,738 Software--6.9% Electronic Arts, Inc.* 6,670 391,129 Mercury Interactive Corp.* 7,450 221,116 Microsoft Corp. 17,640 427,064 Oracle Corp.* 53,575 581,235 ----------- 1,620,544 Telecommunications--Wireless--1.5% Nextel Communications, Inc., Class A* 25,600 342,784 ----------- TOTAL COMMON STOCKS (Identified Cost $22,076,920) 22,611,049 ----------- Face Amount - ------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--1.6% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $381,005 on 4/01/03 collateralized by $285,000 U.S. Treasury Bond, 7.625% due 2/15/25 with a value of $392,290 $ 381,000 381,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $381,000) 381,000 ------------ TOTAL INVESTMENTS--98.5% (Identified Cost $22,457,920)@ 22,992,049 Cash and Other Assets, Less Liabilities--1.5% 354,777 ------------ NET ASSETS--100% $ 23,346,826 ============
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $22,457,920 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,099,739 and $565,610, respectively, resulting in net unrealized appreciation of $534,129. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles International Equity Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--96.2% of net assets Australia--3.7% John Fairfax Holdings Ltd. 178,000 $ 329,395 News Corporation Ltd. ADR 2,425 62,808 News Corporation Ltd. 84,600 551,013 Rio Tinto Ltd. 19,900 373,431 Westpac Banking Corp. Ltd. 23,650 215,679 ---------- 1,532,326 ---------- Austria--1.9% Telekom Austria AG 77,000 789,051 ---------- Canada--7.0% Agrium, Inc. 30,350 325,267 Biovail Corp.* 11,725 467,476 Encana Corp. 13,164 427,723 Fairmont Hotels & Resorts, Inc. 17,723 384,585 Petro-Canada 8,878 302,055 Precision Drilling Corp.* 9,225 309,341 Rogers Communications, Inc., Class B* 20,900 222,567 The Toronto-Dominion Bank 18,769 413,797 ---------- 2,852,811 ---------- Finland--3.6% Kymmene Oyj 30,000 387,548 Nokia Oyj ADR 47,000 658,470 Stora Enso Oyj 48,700 448,613 ---------- 1,494,631 ---------- France--5.4% Axa 16,600 195,804 BNP Paribas SA 10,100 404,086 Pernod-Ricard SA 5,400 459,760 Schneider Electric SA 9,000 420,907 Technip 3,200 218,902 Total Fina SA, Class B 4,030 509,623 ---------- 2,209,082 ---------- Germany--3.0% Altana AG 5,250 246,101 BASF AG 11,450 425,768 Deutsche Bank AG 4,900 205,657 Stada Arzneimittel 7,060 333,257 ---------- 1,210,783 ---------- Greece--1.8% Greek Organization of Football Prognostics 36,300 300,750 Public Power Corp. 29,350 424,266 ---------- 725,016 ---------- Hong Kong--1.0% Esprit Holdings Ltd. 209,400 394,666 ---------- Hungary--0.8% OTP Bank 33,600 328,498 ---------- Ireland--3.7% Anglo Irish Bank Corp. Plc 139,900 997,428 Ryanair Holdings Plc* 79,600 537,143 ---------- 1,534,571 ---------- Israel--1.1% Teva Pharmaceutical Industries Ltd. ADR 11,260 468,979 ---------- 19 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles International Equity Fund--continued Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Italy--5.3% Banca Nazionale del Lavoro S.p.A. 342,000 $ 430,993 Banco Popolare di Verona e Novara Scrl* 61,033 691,965 ENI Spa 44,750 597,119 Mediaset Spa 30,500 231,417 Saipem Spa 36,000 226,053 ----------- 2,177,547 ----------- Japan--14.6% Bridgestone Corp. 33,400 394,039 Canon, Inc. 10,000 350,625 Daiwa House Industry Co. Ltd. 38,000 219,809 Honda Motor Co. Ltd. 10,200 341,224 Japan Telecom Holdings Co. Ltd. 108 293,610 JGC Corp. 56,000 400,762 Kaneka Corp. 35,000 165,107 Keyence Corp. 2,610 405,398 KYOCERA Corp. 3,300 164,336 Mabuchi Motor Co. Ltd. 2,900 222,028 Mitsui Fudosan Co. Ltd. 52,000 299,471 Nippon Oil Corp. 55,000 232,437 Nissan Motor Co. Ltd. 56,000 374,677 Nitto Denko Corp. 10,800 289,951 NSK Ltd. 84,000 229,075 NTT DoCoMo, Inc. 93 174,067 ROHM Co. Ltd. 2,200 239,424 Seven-Eleven Japan Co. Ltd. 6,000 159,052 Sharp Corp. 21,000 208,088 Sumitomo Mitsui Financial Group, Inc. 44 79,001 Takeda Chemical Industries Ltd. 4,400 165,082 Tokyo Electron Ltd. 5,100 200,415 Uni-Charm Corp. 9,600 378,878 ----------- 5,986,556 ----------- Mexico--0.6% Wal-Mart de Mexico SA de CV, Series V 95,600 233,080 ----------- Netherlands--4.4% Heineken NV 11,400 422,418 Kon KPN* 113,700 728,826 Koninklijke (Royal) Philips Electronics NV 12,800 200,797 TPG NV 30,000 456,555 ----------- 1,808,596 ----------- Russia--1.0% OAO LUKoil ADR 7,500 415,200 ----------- South Africa--2.2% Anglo American Plc 35,200 499,766 AngloGold Ltd. 6,500 194,792 Impala Platinum Holdings Ltd. 4,000 203,164 ----------- 897,722 ----------- South Korea--1.0% Samsung Electronics 1,840 417,714 ----------- Spain--2.7% Altadis SA 11,200 272,764 Banco Popular Espanol SA 11,500 496,455 Grupo Ferrovial SA 13,800 357,447 ----------- 1,126,666 ----------- LOOMIS SAYLES EQUITY FUNDS Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Sweden--0.8% Autoliv, Inc. ADR 16,000 $ 311,692 ------------ Switzerland--4.9% Converium Holding AG* 9,200 387,426 Credit Suisse Group 10,900 189,243 Nestle SA 1,100 217,391 Novartis AG 21,000 776,514 UBS AG 10,100 429,057 ------------ 1,999,631 ------------ Thailand--1.0% Siam Cement Public Co. Ltd. 13,300 421,454 ------------ United Kingdom--24.7% Barclays Plc 77,000 443,862 Billiton Plc 82,885 414,954 BP Amoco Plc 104,300 660,943 British Sky Broadcasting Group Plc* 62,600 619,384 Diageo Plc 64,700 663,153 GlaxoSmithKline Plc 49,800 875,365 Hilton Group Plc 232,400 505,583 Imperial Tobacco Group Plc 29,000 460,287 Kingfisher Plc 274,650 997,636 Lloyds TSB Group Plc 38,400 195,277 Next Plc 38,000 509,514 Pearson Plc 50,225 381,134 Reckitt Benckiser Plc 26,600 435,637 Royal Bank of Scotland Group Plc 44,543 1,002,441 United Utilities Plc 46,300 428,492 Vodafone Group Plc 725,640 1,294,984 William Hill Plc 66,700 230,956 ------------ 10,119,602 ------------ TOTAL COMMON STOCKS (Identified Cost $39,752,025) 39,455,874 ------------ PREFERRED STOCKS--0.5% of net assets Germany--0.5% Porsche AG 700 195,660 ------------ TOTAL PREFERRED STOCKS (Identified Cost $275,849) 195,660 ------------ TOTAL INVESTMENTS--96.7% (Identified Cost $40,027,874)@ 39,651,534 Cash and Other Assets, Less Liabilities--3.3% 1,369,333 ------------ NET ASSETS--100% $ 41,020,867 ============ + See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized depreciation on investments based on cost of $40,027,874 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,988,014 and $2,364,354, respectively, resulting in net unrealized depreciation of $376,340. Key to abbreviations: ADR: American Depository Receipt
Ten Largest Sector Holdings at March 31, 2003 as a Percentage of Net Assets Banks/Savings & Loans 12.3% Pharmaceutical 4.0% Oil & Gas 6.3 Beverages 3.8 Metals & Mining 5.1 Telecommunications - ireless 3.6 Media & Entertainment 4.5 Diversified Financials 3.2 Retail - Multiline 4.3 Energy Equipment & Services 2.9
See accompanying notes to financial statements. 21 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Research Fund Shares Value + - ------------------------------------------------------------------------------- COMMON STOCKS--99.0% of net assets Aerospace/Defense--2.0% Honeywell International, Inc. 8,650 $ 184,764 Northrop Grumman Corp. 2,000 171,600 ---------- 356,364 ---------- Airlines--1.2% Southwest Airlines Co. 13,975 200,681 ---------- Banks/Savings & Loans--7.3% Bank of America Corp. 7,000 467,880 KeyCorp 7,950 179,352 U.S. Bancorp 14,475 274,736 Wells Fargo & Co. 7,750 348,672 ---------- 1,270,640 ---------- Beverages--2.0% Anheuser-Busch Cos., Inc. 7,400 344,914 ---------- Biotechnology--1.9% Amgen, Inc.* 5,650 325,158 ---------- Broadcasting--1.4% Clear Channel Communications, Inc.* 7,450 252,704 ---------- Chemicals--0.9% Praxair, Inc. 2,700 152,145 ---------- Communications Equipment--1.8% Cisco Systems, Inc.* 23,775 308,600 ---------- Computers & Peripherals--1.6% Dell Computer Corp.* 10,400 284,024 ---------- Diversified Financials--7.0% American Express Co. 6,250 207,687 Citigroup, Inc. 16,091 554,335 J.P. Morgan Chase & Co. 9,025 213,983 Lehman Brothers Holdings, Inc. 4,300 248,325 ---------- 1,224,330 ---------- Food--2.2% Kellogg Co. 7,575 232,174 Kraft Foods, Inc., Class A 5,625 158,625 ---------- 390,799 ---------- Food & Drug Retailing--1.6% SYSCO Corp. 10,900 277,296 ---------- Forest & Paper Products--1.6% Bowater, Inc. 3,825 142,099 International Paper Co. 4,100 138,580 ---------- 280,679 ---------- Freight Transportation--1.0% CSX Corp. 6,225 177,537 ---------- Healthcare--Drugs--3.8% Allergan, Inc. 3,275 223,388 Forest Laboratories, Inc.* 8,150 439,855 ---------- 663,243 ---------- LOOMIS SAYLES EQUITY FUNDS Shares Value + - ------------------------------------------------------------------------------- COMMON STOCKS--continued Healthcare--Equipment & Supplies--6.4% Boston Scientific Corp.* 7,850 $ 319,966 Medtronic, Inc. 4,825 217,704 St. Jude Medical, Inc.* 5,175 252,281 Zimmer Holdings, Inc.* 6,600 320,958 --------- 1,110,909 --------- Healthcare--Providers & Services--3.2% Amerisource Corp. 3,375 177,188 Tenet Healthcare Corp.* 10,550 176,185 UnitedHealth Group, Inc. 2,250 206,257 --------- 559,630 --------- Hotels, Restaurant & Leisure--3.5% Carnival Corp. 14,600 352,006 Hilton Hotels Corp. 22,950 266,449 --------- 618,455 --------- Household Products--3.1% Procter & Gamble Co. 5,975 532,074 --------- Industrial Conglomerates--4.0% 3M Co. 3,850 500,615 Tyco International Ltd. 15,075 193,865 --------- 694,480 --------- Information Technology--Consulting & Services--0.9% Affiliated Computer Services, Inc., Class A* 3,550 157,123 --------- Insurance--5.4% Ace Ltd. 9,550 276,472 American International Group, Inc. 9,375 463,594 Prudential Financial, Inc.* 6,850 200,363 --------- 940,429 --------- Machinery--2.6% Danaher Corp. 3,900 256,464 Ingersoll-Rand Co., Class A 5,325 205,492 --------- 461,956 --------- Media & Entertainment--2.3% Viacom, Inc., Class B* 10,975 400,807 --------- Oil & Gas--6.4% ConocoPhillips 3,050 163,480 Exxon Mobil Corp. 18,325 640,459 Halliburton Co. 14,950 309,913 --------- 1,113,852 --------- Pharmaceutical--0.7% Pfizer, Inc. 4,125 128,535 --------- Retail--Multiline--5.5% Kohl's Corp.* 6,950 393,231 Target Corp. 8,400 245,784 Wal-Mart Stores, Inc. 6,000 312,180 --------- 951,195 --------- 23 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Research Fund--continued
Shares Value + - -------------------------------------------------------------------------------------- COMMON STOCKS--continued Semiconductor Equipment & Products--4.9% Intel Corp. 10,975 $ 178,673 Maxim Integrated Products, Inc. 7,650 276,318 NVIDIA Corp.* 18,475 237,403 Texas Instruments, Inc. 9,875 161,654 ------------ 854,048 ------------ Software--5.9% BEA Systems, Inc.* 18,500 188,515 Electronic Arts, Inc.* 4,000 234,560 Microsoft Corp. 17,975 435,175 Symantec Corp.* 4,250 166,515 ------------ 1,024,765 ------------ Telecommunication Services--Diversified--3.0% BellSouth Corp. 8,775 190,154 CenturyTel, Inc. 5,150 142,140 SBC Communications, Inc. 9,350 187,561 ------------ 519,855 ------------ Telecommunications--0.8% Sprint Corp. 11,600 136,300 ------------ Utilities--Electric--3.1% Entergy Corp. 7,150 344,272 Public Service Enterprise Group, Inc. 5,200 190,788 ------------ 535,060 ------------ TOTAL COMMON STOCKS (Identified Cost $17,882,927) 17,248,587 ------------ Face Amount - ------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--0.9% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $162,002 on 4/01/03 collateralized by $140,000 U.S. Treasury Bond, 6.250% due 5/15/30 with a value of $170,259 $ 162,000 162,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $162,000) 162,000 ------------ TOTAL INVESTMENTS--99.9% (Identified Cost $18,044,927)@ 17,410,587 Cash and Other Assets, Less Liabilities--0.1% 12,804 ------------ NET ASSETS--100% $ 17,423,391 ============
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized depreciation on investments based on cost of $18,044,927 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $720,658 and $1,354,998, respectively, resulting in net unrealized depreciation of $634,340. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Cap Growth Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--95.3% of net assets Banks--2.0% UCBH Holdings, Inc. 21,650 $ 952,167 ---------- Biotechnology--6.7% Affymetrix, Inc.* 25,800 670,800 Alkermes, Inc.* 54,275 492,274 ICOS Corp.* 12,775 239,020 Integra LifeSciences Holdings* 30,675 705,525 Neurocrine Biosciences, Inc.* 6,200 259,036 Telik, Inc.* 31,925 429,072 Trimeris, Inc.* 8,175 336,647 ---------- 3,132,374 ---------- Broadcasting--1.4% Radio One, Inc., Class D* 50,750 671,930 ---------- Business Services--1.3% Documentum, Inc.* 47,425 622,216 ---------- Commercial Services & Supplies--6.8% Corinthian Colleges, Inc.* 17,225 680,388 Corporate Executive Board Co.* 20,075 715,071 Education Management Corp.* 14,375 571,694 FTI Consulting, Inc.* 18,200 841,204 Strayer Education, Inc. 6,900 378,810 ---------- 3,187,167 ---------- Communications Equipment--5.0% Emulex Corp.* 37,775 723,391 McDATA Corp., Class A* 100,425 862,651 NetScreen Technologies, Inc.* 46,350 777,753 ---------- 2,363,795 ---------- Computers & Peripherals--1.3% Skyworks Solutions, Inc.* 98,550 613,967 ---------- Consumer Services--1.5% Leapfrog Enterprises, Inc.* 30,575 728,908 ---------- Diversified Financials--1.1% Investors Financial Services Corp. 21,125 514,394 ---------- Education--1.0% ITT Educational Services, Inc.* 16,550 463,400 ---------- Electronic Equipment & Instruments--1.8% FLIR Systems, Inc.* 17,675 837,972 ---------- Energy Equipment & Services--6.4% Grant Prideco, Inc.* 77,550 935,253 Key Energy Services, Inc.* 46,875 472,500 Maverick Tube Corp.* 41,075 763,995 Patterson-UTI Energy, Inc.* 26,600 860,776 ---------- 3,032,524 ---------- Healthcare--Drugs--1.5% Angiotech Pharmaceuticals, Inc.* 34,650 690,228 ---------- Healthcare Providers--0.8% CTI Molecular Imaging, Inc.* 18,450 361,620 ---------- 25 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Cap Growth Fund--continued
Shares Value + - ---------------------------------------------------------------------------------- COMMON STOCKS--continued Healthcare--Providers & Services--7.1% Advisory Board Co.* 23,725 $ 829,188 Covance, Inc.* 35,900 830,008 Odyssey Healthcare, Inc.* 36,900 877,113 United Surgical Partners International, Inc.* 43,375 802,004 ---------- 3,338,313 ---------- Hotels, Restaurant & Leisure--7.1% P.F. Chang's China Bistro, Inc.* 25,300 936,100 Panera Bread Co., Class A* 19,975 609,038 Penn National Gaming, Inc.* 50,400 894,600 Station Casinos, Inc.* 43,250 913,007 ---------- 3,352,745 ---------- Information Technology--Consulting & Services--3.4% Avocent Corp.* 28,525 665,773 Cognizant Technology Solutions Corp.* 13,625 917,644 ---------- 1,583,417 ---------- Internet Software--0.9% webMethods, Inc.* 46,850 427,741 ---------- Internet Software & Services--3.2% DoubleClick, Inc.* 51,300 398,601 United Online, Inc.* 63,025 1,086,551 ---------- 1,485,152 ---------- Media & Entertainment--2.4% Entercom Communications Corp.* 15,500 680,605 Getty Images, Inc.* 16,525 453,776 ---------- 1,134,381 ---------- Oil & Gas--1.4% Evergreen Resources, Inc.* 14,550 659,260 ---------- Pharmaceutical--2.4% Pharmaceutical Resources, Inc.* 13,975 593,658 The Medicines Co.* 27,675 515,862 ---------- 1,109,520 ---------- Retail--Specialty--6.0% Cost Plus, Inc.* 31,575 831,054 Gart Sports Co.* 27,425 523,269 Hot Topic, Inc.* 32,150 749,417 PETCO Animal Supplies, Inc.* 37,625 709,231 ---------- 2,812,971 ---------- Semiconductor Equipment & Products--10.3% Cabot Microelectronics Corp.* 19,075 798,670 Cymer, Inc.* 25,250 597,163 Integrated Circuit Systems, Inc. 29,200 633,640 Integrated Device Technology, Inc.* 66,975 531,782 Intersil Corp., Class A* 57,625 896,645 Micrel, Inc.* 72,275 666,375 OmniVision Technologies, Inc.* 34,575 716,394 ---------- 4,840,669 ----------
LOOMIS SAYLES EQUITY FUNDS Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Software--12.5% Business Objects SA ADR* 48,875 $ 799,106 F5 Networks, Inc.* 51,000 644,130 Informatica Corp.* 69,550 448,598 Kronos, Inc.* 25,475 892,899 Quest Software, Inc.* 100,025 900,225 RSA Security, Inc.* 100,325 712,307 SERENA Software, Inc.* 45,225 721,836 Take-Two Interactive Software, Inc.* 33,475 748,166 ----------- 5,867,267 ----------- TOTAL COMMON STOCKS (Identified Cost $43,939,703) 44,784,098 ----------- TOTAL INVESTMENTS--95.3% (Identified Cost $43,939,703)@ 44,784,098 Cash and Other Assets, Less Liabilities--4.7% 2,225,897 ----------- NET ASSETS--100% $47,009,995 =========== + See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $43,939,703 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $3,403,077 and $2,558,682, respectively, resulting in net unrealized appreciation of $844,395. Key to abbreviations: ADR: American Depository Receipt See accompanying notes to financial statements. 27 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Cap Value Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--94.8% of net assets Aerospace/Defense--0.4% United Defense Industries, Inc.* 67,575 $ 1,462,323 ----------- Automobile & Components--1.4% Cooper Tire & Rubber Co. 130,200 1,588,440 Lear Corp.* 43,400 1,534,190 Monaco Coach Corp.* 186,675 1,933,953 ----------- 5,056,583 ----------- Banks/Savings & Loans--10.0% Boston Private Financial Holdings, Inc. 143,425 2,145,638 Commercial Federal Corp. 70,300 1,526,916 CVB Financial Corp. 131,250 2,543,625 Downey Financial Corp. 85,050 3,351,820 East West Bancorp, Inc. 76,100 2,347,685 First Midwest Bancorp, Inc. 113,675 2,933,952 First Niagara Financial Group, Inc. 337,973 3,971,521 F.N.B. Corp. 50,300 1,440,592 Gold Banc Corp., Inc. 303,175 2,428,432 New York Community Bancorp, Inc. 48,800 1,454,240 Port Financial Corp. 65,600 3,135,024 Provident Financial Services, Inc. 235,775 3,727,603 Republic Bancorp, Inc. 234,577 2,763,317 Umpqua Holdings Corp. 109,425 1,979,498 ----------- 35,749,863 ----------- Building Products--1.8% ElkCorp 158,150 3,004,850 Lennox International, Inc. 246,250 3,546,000 ----------- 6,550,850 ----------- Chemicals--3.6% Ferro Corp. 126,850 2,710,785 Great Lakes Chemical Corp. 78,775 1,748,805 Olin Corp. 123,800 2,249,446 Scotts Co.* 17,300 896,140 Spartech Corp. 182,400 3,527,616 The Valspar Corp. 42,825 1,752,827 ----------- 12,885,619 ----------- Commercial Services & Supplies--4.4% Arbitron, Inc.* 79,350 2,515,395 Kelly Services, Inc., Class A 86,750 1,866,860 Navigant Consulting, Inc.* 350,775 1,859,108 NCO Group, Inc.* 119,050 1,726,225 NDC Health Corp. 57,400 962,598 Pegasus Solutions, Inc.* 101,625 1,138,200 Viad Corp. 141,825 3,040,728 Waste Connections, Inc.* 72,125 2,488,312 ----------- 15,597,426 ----------- Communications Equipment--1.3% Adaptec, Inc.* 162,100 977,463 ADTRAN, Inc.* 56,325 2,022,631 Tekelec* 187,625 1,628,585 ----------- 4,628,679 ----------- LOOMIS SAYLES EQUITY FUNDS Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Computers & Peripherals--1.7% Cray, Inc.* 206,150 $ 1,364,713 Imation Corp.* 94,950 3,534,039 Maxtor Corp.* 199,225 1,121,637 ----------- 6,020,389 ----------- Containers & Packaging--0.5% Rock-Tenn Co., Class A 140,750 1,801,600 ----------- Diversified Financials--1.3% Affiliated Managers Group, Inc.* 56,150 2,334,156 Federated Investors, Inc., Class B 89,525 2,278,411 ----------- 4,612,567 ----------- Electrical Equipment--2.6% American Power Conversion Corp.* 169,875 2,419,020 AMETEK, Inc. 94,100 3,106,241 C&D Technologies, Inc. 58,500 700,830 Varian, Inc. 103,025 2,952,696 ----------- 9,178,787 ----------- Electronic Components--0.8% CommScope, Inc.* 165,300 1,239,750 FEI Co.* 101,800 1,624,728 ----------- 2,864,478 ----------- Electronic Equipment & Instruments--0.6% Technitrol, Inc. 150,400 2,201,856 ----------- Electronics--Office--0.7% IKON Office Solutions, Inc. 357,700 2,539,670 ----------- Energy Equipment & Services--2.2% Atwood Oceanics, Inc.* 75,500 1,905,620 Grey Wolf, Inc.* 732,825 2,887,330 Hydril Co.* 58,950 1,473,161 TETRA Technologies, Inc.* 72,575 1,669,225 ----------- 7,935,336 ----------- Food--1.8% Flowers Foods, Inc. 78,425 2,148,061 Ralcorp Holdings, Inc.* 163,850 4,266,654 ----------- 6,414,715 ----------- Food--Packaged & Miscellaneous--0.6% Hain Celestial Group, Inc.* 146,125 2,207,949 ----------- Forest & Paper Products--0.2% Boise Cascade Corp. 37,875 827,569 ----------- Freight Transportation--2.1% Genesee & Wyoming, Inc., Class A* 162,825 2,523,788 Landstar System, Inc.* 47,325 2,718,821 Yellow Corp.* 90,825 2,191,607 ----------- 7,434,216 ----------- Healthcare--Equipment & Supplies--2.2% Cytyc Corp.* 133,150 1,737,607 Invacare Corp. 22,375 704,589 Sybron Dental Specialties, Inc.* 143,875 2,510,619 The Cooper Cos., Inc. 5,825 174,167 29 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Cap Value Fund--continued Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Healthcare--Equipment & Supplies--continued Ventana Medical Systems, Inc.* 86,675 $ 1,741,301 Wright Medical Group, Inc.* 61,825 1,083,174 ----------- 7,951,457 ----------- Healthcare--Providers & Services--1.0% Omnicare, Inc. 64,050 1,742,801 Renal Care Group, Inc.* 61,175 1,907,436 ----------- 3,650,237 ----------- Hotels, Restaurant & Leisure--3.1% Applebee's International, Inc. 115,325 3,233,713 CEC Entertainment, Inc.* 99,700 2,712,837 Dover Downs Entertainment, Inc. 168,065 1,662,163 Fairmont Hotels & Resorts, Inc. 156,775 3,527,437 ----------- 11,136,150 ----------- Household Durables--2.7% Blyth, Inc. 40,100 1,019,743 Furniture Brands International, Inc.* 196,875 3,850,875 Harman International Industries, Inc. 28,575 1,673,638 Standard Pacific Corp. 125,700 3,206,607 ----------- 9,750,863 ----------- Information Technology--Consulting & Services--0.4% Anteon International Corp.* 68,400 1,535,580 ----------- Insurance--4.8% American Financial Group, Inc. 129,100 2,562,635 AmerUs Group Co. 93,850 2,303,079 Endurance Specialty Holdings Ltd.* 109,650 2,652,433 Platinum Underwriters Holdings Ltd. 93,575 2,372,126 PMA Capital Corp., Class A 163,925 1,109,772 ProAssurance Corp.* 92,900 2,185,008 Protective Life Corp. 72,950 2,082,723 RLI Corp. 69,400 1,864,778 ----------- 17,132,554 ----------- Machinery--5.3% Actuant Corp., Class A* 101,250 3,558,937 CLARCOR, Inc. 84,450 3,057,090 Gardner Denver, Inc.* 127,875 2,352,900 IDEX Corp. 90,775 2,632,475 Mueller Industries, Inc.* 99,775 2,491,382 Reliance Steel & Aluminum Co. 108,200 1,633,820 Robbins & Myers, Inc. 111,700 1,503,482 Stewart & Stevenson Services, Inc. 144,500 1,575,050 ----------- 18,805,136 ----------- Media & Entertainment--7.3% A.H. Belo Corp., Series A 87,850 1,779,841 ADVO, Inc.* 94,050 3,103,650 Harte-Hanks, Inc. 115,600 2,207,960 John Wiley & Son, Inc., Class A 211,800 4,803,624 R.H. Donnelley Corp.* 198,550 5,892,964 Regent Communications, Inc.* 307,675 1,461,456 Saga Communications, Inc., Class A* 148,875 2,575,537 Scholastic Corp.* 54,875 1,476,138 Westwood One, Inc.* 88,925 2,778,017 ----------- 26,079,187 ----------- LOOMIS SAYLES EQUITY FUNDS Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Metals & Mining--0.7% Quanex Corp. 80,250 $ 2,543,925 ----------- Multi-Utilities & Unregulated Power--1.3% Energy East Corp. 55,900 995,020 Texas Genco Holdings, Inc. 78,625 1,367,289 Vectren Corp. 101,750 2,188,642 ----------- 4,550,951 ----------- Mutual Funds--1.4% iShares Russell 2000 Value Index Fund 46,550 4,934,300 ----------- Office Equipment--0.2% School Specialty, Inc.* 40,850 725,905 ----------- Oil & Gas--1.5% Evergreen Resources, Inc.* 62,000 2,809,220 Patina Oil & Gas Corp. 27,425 902,282 Remington Oil & Gas Corp.* 85,500 1,456,065 ----------- 5,167,567 ----------- Pharmaceutical--3.2% CIMA Labs, Inc.* 129,250 2,804,725 Medicis Pharmaceutical Corp., Class A* 50,875 2,828,141 Perrigo Co. 476,675 5,662,899 ----------- 11,295,765 ----------- Real Estate Investment Trusts--5.8% Bedford Property Investors, Inc. 123,000 3,215,220 CBL & Associates Properties, Inc. 74,750 3,034,102 Corporate Office Properties Trust 203,925 3,038,482 Heritage Property Investment Trust 135,400 3,391,770 LaSalle Hotel Properties 77,125 921,644 Liberty Property Trust 77,975 2,440,618 RFS Hotel Investors, Inc. 178,850 1,734,845 The Macerich Co. 88,450 2,802,096 ----------- 20,578,777 ----------- Retail--General--0.6% BJ's Wholesale Club, Inc.* 194,650 2,199,545 ----------- Retail--Specialty--2.6% AnnTaylor Stores Corp.* 61,250 1,257,463 Cole National Corp.* 104,175 937,575 Genesco, Inc.* 186,150 2,647,053 Hughes Supply, Inc. 101,225 2,357,530 Men's Wearhouse, Inc.* 139,900 2,092,904 ----------- 9,292,525 ----------- Semiconductor Equipment & Products--3.1% Actel Corp.* 112,150 1,913,279 Cymer, Inc.* 52,425 1,239,851 DSP Group, Inc.* 221,800 4,021,234 Integrated Circuit Systems, Inc.* 110,900 2,406,530 Semtech Corp.* 99,150 1,502,123 ----------- 11,083,017 ----------- Software--2.6% ANSYS, Inc.* 43,825 1,049,609 Autodesk, Inc. 181,475 2,769,308 31 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Cap Value Fund--continued
Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Software--continued Concord Communications, Inc.* 55,875 $ 478,849 Hyperion Solutions Corp.* 59,625 1,445,906 National Instruments Corp.* 57,250 2,019,208 NetIQ Corp.* 130,675 1,458,333 ------------- 9,221,213 ------------- Telecommunication Services-- Diversified--0.9% Commonwealth Telephone Enterprises, Inc.* 81,200 3,152,184 ------------- Textiles, Apparel & Luxury Goods--0.9% Fossil, Inc.* 58,925 1,014,688 Liz Claiborne, Inc. 72,050 2,227,786 ------------- 3,242,474 Transportation--0.5% SCS Transportation, Inc.* 155,625 1,646,513 ------------- Utilities--0.4% Energen Corp. 41,975 1,345,719 ------------- Utilities--Electric--1.2% Allete, Inc. 131,675 2,733,573 Black Hills Corp. 51,475 1,415,048 ------------- 4,148,621 Utilities--Gas--1.9% AGL Resources, Inc. 142,450 3,366,093 New Jersey Resources Corp. 109,075 3,561,299 ------------- 6,927,392 Utilities--Water--1.2% American States Water Co. 83,700 2,000,430 Philadelphia Suburban Corp. 105,850 2,323,407 ------------- 4,323,837 TOTAL COMMON STOCKS (Identified Cost $338,059,444) 338,391,869 ------------- Face Amount - ----------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--5.7% of net assets Commercial Paper--5.7% UBS Finance, Inc., 1.280%, 4/01/03 $ 20,492,000 20,492,000 ------------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $20,492,000) 20,492,000 ------------- TOTAL INVESTMENTS--100.5% (Identified Cost $358,551,444)@ 358,883,869 Liabilities, Less Cash and Other Assets--(0.5%) (1,797,976) ------------- NET ASSETS--100% $ 357,085,893 =============
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $358,551,444 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $27,028,269 and $26,695,844, respectively, resulting in net unrealized appreciation of $332,425. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Value Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--95.9% of net assets Aerospace/Defense--4.0% Honeywell International, Inc. 22,725 $ 485,406 Northrop Grumman Corp. 9,800 840,840 ---------- 1,326,246 ---------- Banks/Savings & Loans--14.1% Bank of America Corp. 17,300 1,156,332 Comerica, Inc. 8,275 313,457 KeyCorp 20,375 459,660 PNC Financial Services Group 12,225 518,095 U.S. Bancorp 36,000 683,280 Washington Mutual, Inc. 23,500 828,845 Wells Fargo & Co. 16,000 719,840 ---------- 4,679,509 ---------- Building Products--1.8% Masco Corp. 31,825 592,582 ---------- Chemicals--2.1% Praxair, Inc. 12,300 693,105 ---------- Commercial Services & Supplies--2.0% Waste Management, Inc. 30,725 650,756 ---------- Computers & Peripherals--3.3% Apple Computer, Inc.* 31,850 450,359 Hewlett-Packard Co. 41,775 649,601 ---------- 1,099,960 ---------- Diversified Financials--11.0% American Express Co. 22,550 749,337 Citigroup, Inc. 28,458 980,378 Federal Home Loan Mortgage Corp. 9,950 528,345 J.P. Morgan Chase & Co. 14,775 350,315 Lehman Brothers Holdings, Inc. 9,475 547,181 Merrill Lynch & Co., Inc. 14,050 497,370 ---------- 3,652,926 ---------- Food--2.0% Kellogg Co. 5,225 160,146 Kraft Foods, Inc., Class A 18,000 507,600 ---------- 667,746 ---------- Forest & Paper Products--1.9% Bowater, Inc. 8,775 325,991 International Paper Co. 9,075 306,735 ---------- 632,726 ---------- Healthcare--Equipment & Supplies--2.4% Baxter International, Inc. 15,500 288,920 McKesson Corp. 20,400 508,572 ---------- 797,492 ---------- Healthcare--Providers & Services--1.7% Tenet Healthcare Corp.* 33,700 562,790 ---------- Hotels, Restaurant & Leisure--3.6% Carnival Corp. 17,500 421,925 Harrah's Entertainment, Inc.* 9,825 350,753 McDonald's Corp. 28,500 412,110 ---------- 1,184,788 ---------- 33 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Value Fund--continued Shares Value + - ------------------------------------------------------------------------------- COMMON STOCKS--continued Industrial Conglomerates--1.6% Tyco International Ltd. 40,000 $ 514,400 ---------- Information Technology--Consulting & Services--1.5% SunGard Data Systems, Inc.* 23,150 493,095 ---------- Insurance--6.0% Allstate Corp. 15,400 510,818 Berkshire Hathaway, Inc., Class B* 329 703,073 Lincoln National Corp. 9,500 266,000 Prudential Financial, Inc.* 17,350 507,487 ---------- 1,987,378 ---------- Machinery--1.0% Caterpillar, Inc. 6,775 333,330 ---------- Media & Entertainment--6.7% AOL Time Warner, Inc.* 39,475 428,699 General Motors Corp., Class H* 41,875 469,000 Knight-Ridder, Inc. 5,350 312,975 McGraw-Hill Cos., Inc. 5,875 326,591 Walt Disney Co. 40,125 682,927 ---------- 2,220,192 ---------- Oil & Gas--11.0% BP Amoco Plc ADR 17,300 667,607 ChevronTexaco Corp. 10,300 665,895 ConocoPhillips 7,950 426,120 Exxon Mobil Corp. 41,825 1,461,784 Halliburton Co. 19,825 410,972 ---------- 3,632,378 ---------- Pharmaceutical--5.8% Abbott Laboratories 11,425 429,694 Bristol Myers Squibb Co. 25,050 529,307 Merck & Co., Inc. 11,475 628,600 Pfizer, Inc. 10,875 338,865 ---------- 1,926,466 ---------- Retail--Specialty--1.1% Gap Inc. 24,650 357,179 ---------- Semiconductor Equipment & Products--0.8% NVIDIA Corp.* 20,000 257,000 ---------- Telecommunication Services-- Diversified--4.3% BellSouth Corp. 22,050 477,824 CenturyTel, Inc. 12,350 340,860 SBC Communications, Inc. 30,200 605,812 ---------- 1,424,496 ---------- Telecommunications--1.2% Sprint Corp. 35,275 414,481 ---------- Utilities--Electric--5.0% Constellation Energy Group 32,225 893,599 Entergy Corp. 15,650 753,548 ---------- 1,647,147 ---------- TOTAL COMMON STOCKS (Identified Cost $35,484,333) 31,748,168 ---------- LOOMIS SAYLES EQUITY FUNDS
Face Amount Value+ - --------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--3.8% of net assets Commercial Paper--3.8% UBS Finance, Inc., 1.280%, 4/01/03 $ 1,265,000 $ 1,265,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,265,000) 1,265,000 ------------ TOTAL INVESTMENTS--99.7% (Identified Cost $36,749,333)@ 33,013,168 Cash and Other Assets, Less Liabilities--0.3% 94,538 ------------ NET ASSETS--100% $ 33,107,706 ============
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized depreciation on investments based on cost of $36,749,333 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $953,697 and $4,689,862, respectively, resulting in net unrealized depreciation of $3,736,165. Key to abbreviations: ADR: American Depository Receipt See accompanying notes to financial statements. 35 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Worldwide Fund
Face Amount Value + - ----------------------------------------------------------------------------------------- BONDS AND NOTES--52.5% of net assets NON-CONVERTIBLE BONDS--48.0% Argentina--0.1% YPF Sociedad Anonima, 7.750%, 8/27/07 USD 10,000 $ 9,525 --------- Australia--1.5% Queensland Treasury, 8.000%, 9/14/07 AUD 100,000 67,657 South Australia Government Finance Authority, Zero Coupon Bond, 12/21/15 220,000 66,744 --------- 134,401 --------- Brazil--0.5% Republic of Brazil, 8.875%, 4/15/24 USD 75,000 48,562 --------- Canada--1.6% Alcan, Inc., 5.500%, 5/02/06 EUR 25,000 28,784 Brascan Corp., 8.125%, 12/15/08 USD 25,000 28,629 Province of Ontario, 5.900%, 3/08/06 CAD 35,000 24,939 Rogers Cablesystems Ltd., 9.650%, 1/15/14 40,000 26,957 Teck Cominco Ltd., 7.000%, 9/15/12 USD 15,000 14,976 Tembec Industries, Inc., 8.500%, 2/01/11 CAD 15,000 15,356 --------- 139,641 --------- Chile--0.5% Empresa Nacional de Electricidad SA, Series B, 8.500%, 4/01/09 USD 50,000 45,304 --------- Costa Rica--0.2% Republic of Costa Rica, 8.050%, 1/31/13 144A 15,000 15,506 --------- Denmark--0.9% Kingdom of Denmark, 4.000%, 8/15/08 DKK 190,000 28,420 Kingdom of Denmark, 5.000%, 8/15/05 360,000 55,420 --------- 83,840 --------- Dominican Republic--0.2% Republic of Dominican, 9.040%, 1/23/13 144A USD 20,000 19,700 --------- Ecuador--0.1% Republic of Ecuador, 6.000%, 8/15/30 144A 25,000 13,138 --------- Germany--5.2% Bayerische Vereinsbank, 6.000%, 1/23/06 EUR 85,000 100,219 Eurohypo AG--Europaeische Hypothekenbank der Deutschen Bank, 4.000%, 2/01/07 150,000 168,688 Kreditanstalt Wiederauf, 5.250%, 1/04/10 170,000 202,249 --------- 471,156 --------- Ireland--0.3% Republic of Ireland, 4.600%, 4/18/16 25,000 27,762 --------- Italy--0.8% Republic of Italy, 4.500%, 3/01/07 60,000 68,994 --------- Malaysia--1.0% Telekom Malaysia Berhad, 7.875%, 8/01/25 144A USD 25,000 25,894 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 60,000 59,736 --------- 85,630 --------- Mexico--3.1% Gruma SA de CV, 7.625%, 10/15/07 USD 30,000 30,300 Petroleos Mexicanos, 8.625%, 12/01/23 144A 115,000 120,750
LOOMIS SAYLES EQUITY FUNDS
Face Amount Value + - ------------------------------------------------------------------------------------------------------ BONDS AND NOTES--continued Mexico--continued TFM SA de CV, 11.750%, 6/15/09 USD 10,000 $ 9,200 United Mexican States, 8.300%, 8/15/31 110,000 118,250 -------- 278,500 -------- Netherlands--2.6% GMAC International Finance BV, 8.000%, 3/14/07 NZD 55,000 29,663 Kingdom of Netherlands, 5.500%, 1/15/28 EUR 50,000 59,875 PTC International Finance BV, 10.750%, 7/01/07 USD 30,000 31,200 Repsol International Finance BV, 5.750%, 12/04/06 EUR 100,000 114,342 -------- 235,080 -------- Norway--0.6% Kingdom of Norway, 6.750%, 1/15/07 NOK 380,000 55,152 -------- Peru--0.4% Republic of Peru, 4.500%, 3/07/17 (step to 5.000% on 3/07/05)# USD 50,000 39,815 -------- Russia--1.0% Russian Federation, 5.000%, 3/31/30 (step to 7.500% on 3/31/07)# 100,000 86,450 -------- Singapore--0.1% Flextronics International Ltd., 9.750%, 7/01/10 EUR 10,000 11,456 -------- South Korea--1.1% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A USD 100,000 99,346 -------- Supranational--0.1% Corporacion Andina De Fomento, 6.875%, 3/15/12 10,000 10,313 -------- Sweden--0.7% Government of Sweden, 5.250%, 3/15/11 SEK 495,000 61,361 -------- United Kingdom--0.2% United Kingdom Treasury, 6.250%, 11/25/10 GBP 10,000 17,931 -------- United States--25.2% American Standard, Inc., 8.250%, 6/01/09 10,000 16,127 AT&T Corp., 6.500%, 11/21/06 EUR 10,000 11,020 Borden, Inc., 7.875%, 2/15/23 USD 150,000 90,000 Chesapeake Energy Corp., 8.125%, 4/01/11 50,000 52,750 Chesapeake Energy Corp., 9.000%, 8/15/12 50,000 54,250 CIT Group, Inc., 5.500%, 5/16/05 EUR 25,000 27,685 CITGO Petroleum Corp., 11.375%, 2/01/11 144A 25,000 26,188 Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 50,000 48,852 Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 50,000 53,514 Corning Glass, 8.875%, 3/15/16 25,000 21,750 Cummins Engine Co., Inc., 7.125%, 3/01/28 110,000 90,750 Dana Corp., 9.000%, 8/15/11 EUR 25,000 26,158 El Paso Corp., 5.750%, 3/14/06 25,000 21,821 ESI Tractebel Acquisition Corp., Series B, 7.990%, 12/30/11 24,000 23,581 Federal Home Loan Mortgage Corp., 5.125%, 1/15/12 200,000 233,225 Federal Home Loan Mortgage Corp., 6.000%, 11/01/31 USD 54,165 56,175 Ford Motor Credit Co., 5.800%, 1/12/09 50,000 44,743 Ford Motor Credit Co., 7.250%, 2/22/05 GBP 15,000 23,171
37 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Worldwide Fund--continued
Face Amount Value + - ------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued United States--continued Fort James Corp., 4.750%, 6/29/04 EUR 50,000 $ 52,016 Georgia-Pacific Group, 7.375%, 12/01/25 USD 50,000 38,250 Georgia-Pacific Group, 7.750%, 11/15/29 35,000 27,650 Hasbro, Inc., 6.600%, 7/15/28 50,000 45,250 IMC Global, Inc., 7.375%, 8/01/18 50,000 40,000 J.C. Penney Co., Inc., 7.125%, 11/15/23 75,000 67,500 J.C. Penney Co., Inc., 8.250%, 8/15/22 30,000 28,500 Lear Corp., 8.125%, 4/01/08 EUR 50,000 56,462 Lucent Technologies, Inc., 5.500%, 11/15/08 USD 65,000 49,075 Lucent Technologies, Inc., 7.250%, 7/15/06 35,000 30,800 Moore North America Finance, Inc., 7.875%, 1/15/11 10,000 10,350 Motorola, Inc., 8.000%, 11/01/11 75,000 82,125 National Rural Utilities Cooperative Finance Corp., 4.125%, 2/24/06 EUR 25,000 27,388 News America Holdings, Inc., 8.625%, 2/07/14 AUD 50,000 29,775 Pioneer Natural Resources Co., 7.200%, 1/15/28 USD 175,000 171,841 Qwest Corp., 8.875%, 6/01/31 25,000 24,750 Raytheon Co., 6.400%, 12/15/18 150,000 156,008 Southern California Edison Co., 6.375%, 1/15/06 25,000 24,500 Sprint Capital Corp., 6.875%, 11/15/28 25,000 21,875 Time Warner, Inc., 6.625%, 5/15/29 75,000 70,465 Transocean Sedco Forex, Inc., 7.375%, 4/15/18 75,000 89,576 US West Capital Funding, Inc., 6.875%, 7/15/28 50,000 35,000 Woolworth Corp., 8.500%, 1/15/22 150,000 149,411 Xerox Corp., 7.150%, 8/01/04 20,000 19,850 ---------- 2,270,177 ---------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $3,757,505) 4,328,740 ---------- CONVERTIBLE BONDS--4.5% Canada--0.1% Nortel Networks Corp., 4.250%, 9/01/08 15,000 11,025 ---------- Netherlands--0.3% Koninklijke (Royal) KPN NV, 3.500%, 11/24/05 EUR 20,000 21,057 ---------- United States--4.1% Analog Devices, Inc., 4.750%, 10/01/05 USD 50,000 50,500 Builders Transportation, Inc., 8.000%, 8/15/05^ 95,000 119 Corning, Inc., 3.500%, 11/01/08 50,000 49,125 Genzyme Corp., 3.000%, 5/15/21 25,000 24,375 Human Genome Sciences, Inc., 3.750%, 3/15/07 25,000 18,844 Loews Corp., 3.125%, 9/15/07 140,000 128,450 Thermedics, Inc., Zero Coupon Bond, 6/01/03 100,000 98,639 ---------- 370,052 ---------- TOTAL CONVERTIBLE BONDS (Identified Cost $456,351) 402,134 ---------- TOTAL BONDS AND NOTES (Identified Cost $4,213,856) 4,730,874 ----------
LOOMIS SAYLES EQUITY FUNDS Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--41.6% of net assets Australia--0.7% News Corporation Ltd. 9,950 $ 64,763 -------- Austria--0.4% Telekom Austria AG 3,900 39,998 -------- Canada--2.8% Biovail Corp.* 1,025 40,867 Ensign Resource Service Group, Inc. 3,425 40,732 National Bank of Canada 1,930 42,528 Penn West Petroleum Ltd. 1,525 39,438 Rogers Communications, Inc., Class B* 4,250 45,277 WestJet Airlines Ltd.* 4,235 45,262 -------- 254,104 China--0.4% Sinopec Shanghai Petrochemical Co., Ltd. 210,000 35,272 -------- Finland--1.2% Nokia Oyj ADR 5,500 77,055 Stora Enso Oyj 2,900 26,736 -------- 103,791 France--1.0% BNP Paribas SA 1,300 52,054 Total, Fina SA, Class B 300 37,968 -------- 90,022 Greece--0.4% Public Power Corp. 2,700 39,062 -------- Hong Kong--0.4% Esprit Holdings Ltd. 21,000 39,580 -------- Ireland--1.6% Anglo Irish Bank Corp. Plc 10,096 72,040 Ryanair Holdings Plc* 10,400 70,237 -------- 142,277 Italy--0.8% Banca Nazionale del Lavoro S.p.A. 18,000 22,703 Banco Popolare di Verona e Novara Scrl* 4,100 46,522 -------- 69,225 -------- Japan--3.6% CHIYODA Corp. 15,000 41,138 Diamond Lease Co. Ltd. 2,300 35,724 Kappa Create Co. Ltd. 950 47,846 Mitsui Fudosan Co. Ltd. 10,000 57,559 Nintendo Co. Ltd. 600 48,756 Noritsu Koki Co. Ltd. 1,700 49,213 Uss Co. Ltd. 900 44,489 -------- 324,725 -------- 39 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Worldwide Fund--continued Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Netherlands--1.2% Heineken NV 1,200 $ 44,502 Kon KPN* 9,500 60,946 -------- 105,448 -------- Singapore--0.8% Flextronics International Ltd.* 3,000 26,160 Keppel Capital Holdings Ltd. 21,000 49,993 -------- 76,153 -------- South Africa--0.2% Anglo American Plc 1,100 15,635 -------- South Korea--0.1% Samsung Electronics 40 9,081 -------- Sweden--0.5% Autoliv, Inc. ADR 2,100 40,939 -------- Switzerland--0.9% Nestle SA 200 39,580 Novartis AG 1,100 40,730 -------- 80,310 -------- Thailand--0.5% Siam Cement Public Co. Ltd. 1,300 41,214 -------- United Kingdom--5.5% Billiton Plc 9,365 46,938 Diageo Plc 4,300 44,124 Hilton Group Plc 15,100 32,887 Kingfisher Plc 18,600 67,639 Next Plc 3,550 47,654 Pearson Plc 4,200 31,908 Royal Bank of Scotland Group Plc 2,217 49,951 Smith & Nephew 7,145 43,719 Tesco Plc 15,200 42,838 Vodafone Group Plc 49,000 87,546 -------- 495,204 -------- United States--18.6% Ace Ltd. 800 23,160 Affiliated Computer Services, Inc., Class A* 800 35,408 AFLAC, Inc. 1,500 48,075 American International Group, Inc. 1,150 56,867 Amgen, Inc.* 500 28,775 Baxter International, Inc. 700 13,048 Cardinal Health, Inc. 1,150 65,515 CenturyTel, Inc. 2,050 56,580 Cisco Systems, Inc.* 2,500 32,450 Comcast Corp. 1,000 27,490 ConocoPhillips 500 26,800 Danaher Corp. 800 52,608 Dell Computer Corp.* 1,400 38,234 Devon Energy Corp. 1,250 60,275 Dominion Resources, Inc. 900 49,833 Exxon Mobil Corp. 1,000 34,950 Federal Home Loan Mortgage Corp. 1,000 53,100 General Electric Co. 1,300 33,150 LOOMIS SAYLES EQUITY FUNDS
Shares Value + - ---------------------------------------------------------------------------------- COMMON STOCKS--continued United States--continued GlobalSantaFe Corp. 1,100 $ 22,715 Illinois Tool Works, Inc. 700 40,705 International Paper Co. 1,250 42,250 John Hancock Financial Services, Inc. 1,650 45,837 Jones Apparel Group, Inc.* 1,250 34,288 Kohl's Corp.* 500 28,290 Kraft Foods, Inc., Class A 1,750 49,350 Leggett & Platt, Inc. 1,650 30,162 Lexmark International Group, Inc.* 600 40,170 Masco Corp. 1,800 33,516 Maxim Integrated Products, Inc. 900 32,508 Medtronic, Inc. 975 43,992 Microsoft Corp. 1,100 26,631 Northrop Grumman Corp. 650 55,770 NVIDIA Corp.* 1,500 19,275 PepsiCo, Inc. 1,400 56,000 Pfizer, Inc. 1,650 51,414 Praxair, Inc. 1,000 56,350 SunGard Data Systems, Inc.* 1,950 41,535 Target Corp. 1,400 40,964 Texas Instruments, Inc. 1,000 16,370 Viacom, Inc., Class B* 1,150 41,998 Wells Fargo & Co. 900 40,491 Whole Foods Market, Inc.* 950 52,858 ---------- 1,679,757 ---------- TOTAL COMMON STOCKS (Identified Cost $3,807,546) 3,746,560 ---------- PREFERRED STOCKS--1.1% of net assets NON-CONVERTIBLE PREFERRED STOCKS--0.2% United States--0.2% Highwoods Properties, Inc., Series B, 8.000% 750 17,513 ---------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $12,881) 17,513 ---------- CONVERTIBLE PREFERRED STOCKS--0.9% Philippines--0.7% Philippine Long Distance Telephone Co., $3.50 GDS 2,500 63,750 ---------- United States--0.2% Equity Residential Properties Trust, 7.250% 500 12,495 Owens Corning, 6.500%^ 3,250 0 ---------- 12,495 TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $210,806) 76,245 ---------- TOTAL PREFERRED STOCKS (Identified Cost $223,687) 93,758 ----------
41 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Worldwide Fund--continued
Face Amount Value + - --------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--4.1% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $372,005 on 4/01/03 collateralized by $270,000 U.S. Treasury Bond, 8.125% due 8/15/19 with a value of $380,033 USD 372,000 $ 372,000 ---------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $372,000) 372,000 ---------- TOTAL INVESTMENTS--99.3% (Identified Cost $8,617,089)@ 8,943,192 Cash and Other Assets, Less Liabilities--0.7% 66,438 ---------- NET ASSETS--100% $9,009,630 ==========
+ See Note 1. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. ^ Security in default * Non-income producing security. @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $8,621,581 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $512,527 and $190,916, respectively, resulting in net unrealized appreciation of $321,611. Key to abbreviations: ADR: American Depository Receipt; AUD: Australian Dollar; CAD: Canadian Dollar; DKK: Danish Krone; EUR: Euro; GBP: Great British Pound; GDS: Global Depository Security; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; USD: United States Dollar Ten Largest Sector Holdings at March 31, 2003 as a Percentage of Net Assets Foreign Government/Agency 13.3% Banking & Finance 3.5 Government/Agencies 3.2 Oil & Gas Exploration 3.1 Utilities - Electric 3.0 Retail - General 2.7 Oil & Gas 2.6 Banks/Savings & Loans 2.5 Auto & Related 2.4 Aerospace/Defense 2.4 See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS THIS PAGE INTENTIONALLY LEFT BLANK 43 STATEMENTS OF ASSETS AND LIABILITIES March 31, 2003 (Unaudited)
Aggressive International Growth Fund Growth Fund Equity Fund - -------------------------------------------------------------------------------------------------- Assets Investments at value $ 37,461,124 $ 22,992,049 $ 39,651,534 Cash 201 583 0 Foreign currency at value 0 0 31,085 Receivable for: Fund shares sold 81,558 37,592 2,311 Securities sold 671,394 762,048 2,034,249 Dividends and interest 656 9,027 303,880 Foreign tax reclaim 0 0 48,332 Due from the adviser 7,506 3,831 10,992 ------------- ------------ ------------ 38,222,439 23,805,130 42,082,383 ------------- ------------ ------------ Liabilities Payable for: Securities purchased 626,788 422,849 289,758 Fund shares redeemed 533,140 1,230 543,089 Foreign taxes 0 0 35,607 Due to Custodian 0 0 123,946 Accrued expenses: Management fees 24,043 9,996 26,606 Trustees' fees 987 987 987 Administrative fees 1,270 702 1,471 12b-1 fees 5,664 123 751 Other 43,515 22,417 39,301 ------------- ------------ ------------ 1,235,407 458,304 1,061,516 ------------- ------------ ------------ Net Assets $ 36,987,032 $ 23,346,826 $ 41,020,867 ============= ============ ============ Net Assets consist of: Capital paid in $ 159,869,668 $ 42,146,903 $ 82,504,935 Undistributed accumulated net investment income (loss) (219,604) (11,297) 278,375 Accumulated net realized gain (loss) (123,739,172) (19,322,909) (41,395,722) Unrealized appreciation (depreciation) on: Investments* 1,076,140 534,129 (378,467) Foreign currency translations 0 0 11,746 ------------- ------------ ------------ Net Assets $ 36,987,032 $ 23,346,826 $ 41,020,867 ============= ============ ============ Institutional Class Net assets $ 12,825,157 $ 22,783,266 $ 38,776,494 Shares of beneficial interest outstanding, no par value 1,237,051 5,874,762 5,069,437 Net asset value and redemption price $ 10.37 $ 3.88 $ 7.65 Retail Class Net assets $ 21,903,410 $ 543,388 $ 1,319,474 Shares of beneficial interest outstanding, no par value 2,145,897 144,364 174,239 Net asset value and redemption price $ 10.21 $ 3.76 $ 7.57 Admin Class Net assets $ 2,258,465 $ 20,172 $ 924,899 Shares of beneficial interest outstanding, no par value 222,450 5,394 122,363 Net asset value and redemption price $ 10.15 $ 3.74 $ 7.56 Identified cost of investments $ 36,384,984 $ 22,457,920 $ 40,027,874 Cost of foreign currency $ 0 $ 0 $ 30,937
*Net of capital gain withholding taxes of $2,127 and $172 for the Loomis Sayles International Equity and Worldwide Funds, respectively. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS
Small Cap Small Cap Research Fund Growth Fund Value Fund Value Fund Worldwide Fund - -------------------------------------------------------------------------------------------- $ 17,410,587 $ 44,784,098 $ 358,883,869 $ 33,013,168 $ 8,943,192 235 1,753,059 1,459 971 0 0 0 0 0 22,407 28,272 47,843 589,546 95,261 0 237,189 5,407,648 737,802 181,717 142,312 8,376 1,213 486,923 37,396 103,536 0 0 0 0 1,346 1,961 6,701 26,157 1,727 8,062 - ------------ ------------- ------------- ------------ ------------ 17,686,620 52,000,562 360,725,756 33,330,240 9,220,855 - ------------ ------------- ------------- ------------ ------------ 230,377 321,596 3,148,724 160,153 175,708 0 4,554,183 160,913 27,100 0 0 0 0 0 2,415 0 0 0 0 17 7,393 35,317 223,701 14,139 5,740 987 987 987 987 987 518 0 10,461 992 185 8 6,574 30,981 0 0 23,946 71,910 64,096 19,163 26,173 - ------------ ------------- ------------- ------------ ------------ 263,229 4,990,567 3,639,863 222,534 211,225 - ------------ ------------- ------------- ------------ ------------ $ 17,423,391 $ 47,009,995 $ 357,085,893 $ 33,107,706 $ 9,009,630 ============ ============= ============= ============ ============ $ 22,492,049 $ 275,064,530 $ 375,730,632 $ 41,249,103 $ 11,447,586 23,580 (361,024) 761,217 222,003 177,285 (4,457,898) (228,537,906) (19,738,381) (4,627,235) (2,941,880) (634,340) 844,395 332,425 (3,736,165) 325,931 0 0 0 0 708 - ------------ ------------- ------------- ------------ ------------ $ 17,423,391 $ 47,009,995 $ 357,085,893 $ 33,107,706 $ 9,009,630 ============ ============= ============= ============ ============ $ 17,388,096 $ 21,872,613 $ 231,407,808 $ 33,107,706 $ 9,009,630 2,946,092 3,590,764 13,373,361 2,925,185 1,129,615 $ 5.90 $ 6.09 $ 17.30 $ 11.32 $ 7.98 $ 35,295 $ 24,282,287 $ 100,180,172 -- -- 5,985 4,050,574 5,807,745 -- -- $ 5.90 $ 5.99 $ 17.25 -- -- -- $ 855,095 $ 25,497,913 -- -- -- 143,298 1,484,287 -- -- -- $ 5.97 $ 17.18 -- -- $ 18,044,927 $ 43,939,703 $ 358,551,444 $ 36,749,333 $ 8,617,089 $ 0 $ 0 $ 0 $ 0 $ 21,045
See accompanying notes to financial statements. 45 STATEMENTS OF OPERATIONS For the Six Months Ended March 31, 2003 (Unaudited)
Aggressive International Growth Fund Growth Fund Equity Fund - ---------------------------------------------------------------------------------------------------- Investment Income Dividends* $ 19,083 $ 85,842 $ 506,025 Interest 3,999 1,934 2,057 ----------- ----------- ----------- Total income 23,082 87,776 508,082 ----------- ----------- ----------- Expenses Management fees 154,176 57,855 169,252 12b-1 fees (Retail Class) 30,967 674 1,774 12b-1 fees (Admin Class) 3,076 23 1,267 Shareholder service fees (Admin Class) 3,076 23 1,267 Trustees' fees and expenses 2,837 2,837 2,837 Administrative fees 7,194 4,050 7,898 Custodian and accounting fees 33,112 31,029 67,634 Transfer Agent fees (Institutional Class) 12,175 14,281 16,948 Transfer Agent fees (Retail Class) 16,059 6,819 7,448 Transfer Agent fees (Admin Class) 7,574 7,162 7,363 Audit and tax services fees 25,538 17,419 26,544 Registration fees 14,413 11,598 15,726 Printing fees 10,377 3,126 6,134 Legal fees 1,756 1,574 1,350 Other expenses 3,177 554 2,860 ----------- ----------- ----------- Total expenses 325,507 159,024 336,302 Less expenses waived and reimbursed by the investment adviser (82,821) (59,951) (106,324) ----------- ----------- ----------- Net expenses 242,686 99,073 229,978 ----------- ----------- ----------- Net investment income (loss) (219,604) (11,297) 278,104 ----------- ----------- ----------- Net Realized Gain (Loss) on: Investments (5,546,840) (1,704,328) (5,203,667) Foreign currency transactions 0 0 15,111 ----------- ----------- ----------- Total net realized gain (loss) (5,546,840) (1,704,328) (5,188,556) ----------- ----------- ----------- Change in Unrealized Appreciation (Depreciation) on: Investments 4,387,023 2,281,300 4,724,116 Foreign currency translations 0 0 8,171 ----------- ----------- ----------- Total net change in unrealized appreciation (depreciation) 4,387,023 2,281,300 4,732,287 ----------- ----------- ----------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) (1,159,817) 576,972 (456,269) ----------- ----------- ----------- Net Increase (Decrease) in Net Assets from Operations $(1,379,421) $ 565,675 $ (178,165) =========== =========== ===========
* Net of foreign withholding taxes of $59,724, $967, $1,413 and $3,929 for the International Equity, Small Cap Value, Value and Worldwide Funds, respectively. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS
Small Cap Small Cap Research Fund Growth Fund Value Fund Value Fund Worldwide Fund - ------------- ----------- ---------- ---------- -------------- $ 130,914 $ 33,103 $ 2,402,581 $ 365,648 $ 41,821 888 5,015 124,414 5,355 180,585 - ----------- ------------ ------------ ----------- ----------- 131,802 38,118 2,526,995 371,003 222,406 - ----------- ------------ ------------ ----------- ----------- 43,333 267,882 1,340,538 87,038 32,699 43 39,248 119,421 0 0 0 1,359 30,241 0 0 0 1,359 30,241 0 0 2,837 2,837 2,837 2,837 2,837 3,033 12,501 62,558 6,093 1,526 26,853 39,658 93,170 22,188 32,208 10,096 15,640 44,027 14,327 9,595 6,487 13,836 20,082 0 0 0 7,341 10,568 0 0 14,633 46,030 72,734 17,572 12,247 10,485 22,692 21,740 5,613 6,080 1,186 21,232 37,663 3,594 814 1,234 4,787 10,660 956 158 563 5,224 7,498 2,399 513 - ----------- ------------ ------------ ----------- ----------- 120,783 501,626 1,903,978 162,617 98,677 (47,074) (102,484) (115,429) (14,652) (55,079) - ----------- ------------ ------------ ----------- ----------- 73,709 399,142 1,788,549 147,965 43,598 - ----------- ------------ ------------ ----------- ----------- 58,093 (361,024) 738,446 223,038 178,808 - ----------- ------------ ------------ ----------- ----------- (1,358,663) (10,048,041) (18,488,225) (1,867,878) (443,602) 0 0 0 0 7,187 - ----------- ------------ ------------ ----------- ----------- (1,358,663) (10,048,041) (18,488,225) (1,867,878) (436,415) - ----------- ------------ ------------ ----------- ----------- 1,901,097 7,578,037 17,749,582 2,307,587 1,028,218 0 0 0 0 (1,538) - ----------- ------------ ------------ ----------- ----------- 1,901,097 7,578,037 17,749,582 2,307,587 1,026,680 - ----------- ------------ ------------ ----------- ----------- 542,434 (2,470,004) (738,643) 439,709 590,265 - ----------- ------------ ------------ ----------- ----------- $ 600,527 $ (2,831,028) $ (197) $ 662,747 $ 769,073 =========== ============ ============ =========== ===========
See accompanying notes to financial statements. 47 STATEMENTS OF CHANGES IN NET ASSETS Aggressive Growth Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ (219,604) $ (690,149) Net realized gain (loss) (5,546,840) (25,765,558) Change in unrealized appreciation (depreciation) 4,387,023 14,653,848 ------------ ------------ Increase (decrease) in net assets from operations (1,379,421) (11,801,859) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (4,502,430) (5,538,390) ------------ ------------ Total increase (decrease) in net assets (5,881,851) (17,340,249) Net Assets Beginning of the period 42,868,883 60,209,132 ------------ ------------ End of the period $ 36,987,032 $ 42,868,883 ============ ============ Undistributed Net Investment Income (Loss) End of the period $ (219,604) $ 0 ============ ============ Growth Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------- From Operations Net investment income (loss) $ (11,297) $ (93,275) Net realized gain (loss) (1,704,328) (2,239,521) Change in unrealized appreciation (depreciation) 2,281,300 (137,103) ------------ ------------ Increase (decrease) in net assets from operations 565,675 (2,469,899) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 2,672,275 400,616 ------------ ------------ Total increase (decrease) in net assets 3,237,950 (2,069,283) Net Assets Beginning of the period 20,108,876 22,178,159 ------------ ------------ End of the period $ 23,346,826 $ 20,108,876 ============ ============ Undistributed Net Investment Income (Loss) End of the period $ (11,297) $ 0 ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS International Equity Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ 278,104 $ 248,780 Net realized gain (loss) (5,188,556) (10,540,787) Change in unrealized appreciation (depreciation) 4,732,287 17,941 ------------ ------------ Increase (decrease) in net assets from operations (178,165) (10,274,066) ------------ ------------ From Distributions to Shareholders Institutional Class Net investment income (105,408) (235,551) Retail Class Net investment income 0 (5,046) Admin Class Net investment income 0 0 ------------ ------------ Total distributions (105,408) (240,597) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (5,111,799) (999,346) ------------ ------------ Total increase (decrease) in net assets (5,395,372) (11,514,009) Net Assets Beginning of the period 46,416,239 57,930,248 ------------ ------------ End of the period $ 41,020,867 $ 46,416,239 ============ ============ Undistributed Net Investment Income (Loss) End of the period $ 278,375 $ 105,679 ============ ============ Research Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ 58,093 $ 63,575 Net realized gain (loss) (1,358,663) (1,897,647) Change in unrealized appreciation (depreciation) 1,901,097 (2,170,405) ------------ ------------ Increase (decrease) in net assets from operations 600,527 (4,004,477) ------------ ------------ From Distributions to Shareholders Institutional Class Net investment income (81,514) (19,618) Retail Class Net investment income (66) 0 ------------ ------------ Total distributions (81,580) (19,618) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 998,266 15,685,332 ------------ ------------ Total increase (decrease) in net assets 1,517,213 11,661,237 Net Assets Beginning of the period 15,906,178 4,244,941 ------------ ------------ End of the period $ 17,423,391 $ 15,906,178 ============ ============ Undistributed Net Investment Income (Loss) End of the period $ 23,580 $ 47,067 ============ ============
See accompanying notes to financial statements. 49 STATEMENTS OF CHANGES IN NET ASSETS Small Cap Growth Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ (361,024) $ (1,557,767) Net realized gain (loss) (10,048,041) (69,953,299) Change in unrealized appreciation (depreciation) 7,578,037 42,467,218 ------------ ------------- Increase (decrease) in net assets from operations (2,831,028) (29,043,848) ------------ ------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (25,786,694) (71,265,569) ------------ ------------- Total increase (decrease) in net assets (28,617,722) (100,309,417) Net Assets Beginning of the period 75,627,717 175,937,134 ------------ ------------- End of the period $ 47,009,995 $ 75,627,717 ============ ============= Undistributed Net Investment Income (Loss) End of the period $ (361,024) $ 0 ============ ============= Small Cap Value Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ 738,446 $ 1,494,746 Net realized gain (loss) (18,488,225) 2,148,740 Change in unrealized appreciation (depreciation) 17,749,582 (26,278,549) ------------- ------------- Increase (decrease) in net assets from operations (197) (22,635,063) ------------- ------------- From Distributions to Shareholders Institutional Class Net investment income 0 (1,284,900) Net realized gain on investments 0 (23,675,371) Retail Class Net investment income 0 (323,268) Net realized gain on investments 0 (10,876,851) Admin Class Net investment income 0 (8,857) Net realized gain on investments 0 (1,968,755) ------------- ------------- Total distributions 0 (38,138,002) ------------- ------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 11,244,448 77,160,687 ------------- ------------- Total increase (decrease) in net assets 11,244,251 16,387,622 Net Assets Beginning of the period 345,841,642 329,454,020 ------------- ------------- End of the period $ 357,085,893 $ 345,841,642 ============= ============= Undistributed Net Investment Income (Loss) End of the period $ 761,217 $ 22,771 ============= =============
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS Value Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ 223,038 $ 369,503 Net realized gain (loss) (1,867,878) (2,696,017) Change in unrealized appreciation (depreciation) 2,307,587 (4,495,539) ------------ ------------ Increase (decrease) in net assets from operations 662,747 (6,822,053) ------------ ------------ From Distributions to Shareholders Institutional Class Net investment income (273,025) (463,295) Net realized gain on investments 0 (791,340) ------------ ------------ Total distributions (273,025) (1,254,635) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (307,124) 1,552,946 ------------ ------------ Total increase (decrease) in net assets 82,598 (6,523,742) Net Assets Beginning of the period 33,025,108 39,548,850 ============ ============ End of the period $ 33,107,706 $ 33,025,108 ------------ ------------ Undistributed Net Investment Income (Loss) End of the period $ 222,003 $ 271,990 ============ ============ Worldwide Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ 178,808 $ 374,183 Net realized gain (loss) (436,415) (1,192,459) Change in unrealized appreciation (depreciation) 1,026,680 568,809 ----------- ----------- Increase (decrease) in net assets from operations 769,073 (249,467) ----------- ----------- From Distributions to Shareholders Net investment income (284,901) (747,534) ----------- ----------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 185,148 808,897 ----------- ----------- Total increase (decrease) in net assets 669,320 (188,104) Net Assets Beginning of the period 8,340,310 8,528,414 ----------- ----------- End of the period $ 9,009,630 $ 8,340,310 =========== =========== Undistributed Net Investment Income (Loss) End of the period $ 177,285 $ 283,378 =========== ===========
See accompanying notes to financial statements. 51 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions ------------------------------------------- -------------------------------- Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from net beginning investment gain (loss) on investment net investment realized of period income (loss) investments operations income capital gains - ----------------------------------------------------------------------------------------------------------------------------- Aggressive Growth Fund Institutional Class 3/31/2003(f) $10.70 $(0.05)(d) $(0.28) $(0.33) $-- $-- 9/30/2002 13.56 (0.13)(d) (2.73) (2.86) -- -- 9/30/2001 47.71 (0.20)(d) (33.43) (33.63) -- (0.52) 9/30/2000 20.08 (0.26)(d) 29.11 28.85 -- (1.22) 9/30/1999 10.51 (0.09)(d) 10.05 9.96 -- (0.39) 9/30/1998(g) 11.49 (0.03) (0.95) (0.98) -- -- 12/31/1997* 10.00 (0.03) 2.26 2.23 (0.12) (0.62) Retail Class 3/31/2003(f) 10.55 (0.06)(d) (0.28) (0.34) -- -- 9/30/2002 13.41 (0.16)(d) (2.70) (2.86) -- -- 9/30/2001 47.33 (0.25)(d) (33.15) (33.40) -- (0.52) 9/30/2000 19.99 (0.38)(d) 28.94 28.56 -- (1.22) 9/30/1999 10.49 (0.14)(d) 10.03 9.89 -- (0.39) 9/30/1998(g) 11.49 (0.05) (0.95) (1.00) -- -- 12/31/1997* 10.00 (0.06) 2.27 2.21 (0.10) (0.62) Admin Class 3/31/2003(f) 10.51 (0.07)(d) (0.29) (0.36) -- -- 9/30/2002 13.38 (0.20)(d) (2.67) (2.87) -- -- 9/30/2001 47.31 (0.26)(d) (33.15) (33.41) -- (0.52) 9/30/2000** 40.38 (0.09)(d) .02 6.93 -- -- Growth Fund Institutional Class 3/31/2003(f) $ 3.75 $(0.00)(d)(e) $ 0.13 $ 0.13 $-- $-- 9/30/2002 4.23 (0.02)(d) (0.46) (0.48) -- -- 9/30/2001 15.00 (0.02)(d) (7.42) (7.44) -- (3.33) 9/30/2000 11.17 (0.05) 4.90 4.85 -- (1.02) 9/30/1999 11.65 (0.04) 3.01 2.97 -- (3.45) 9/30/1998(g) 12.63 (0.03) (0.95) (0.98) -- -- 12/31/1997 13.44 (0.04) 3.17 3.13 -- (3.94) Retail Class 3/31/2003(f) 3.65 (0.01)(d) 0.12 0.11 -- -- 9/30/2002 4.12 (0.03)(d) 0.44) (0.47) -- -- 9/30/2001 14.80 (0.04)(d) (7.31) (7.35) -- (3.33) 9/30/2000 11.06 (0.07) 4.83 4.76 -- (1.02) 9/30/1999 11.59 (0.06) 2.98 2.92 -- (3.45) 9/30/1998(g) 12.59 (0.03) (0.97) (1.00) -- -- 12/31/1997* 13.44 (0.07) 3.16 3.09 -- (3.94) Admin Class 3/31/2003(f) 3.63 (0.01)(d) 0.12 0.11 -- -- 9/30/2002 4.11 (0.04)(d) (0.44) (0.48) -- -- 9/30/2001 14.79 (0.08)(d) (7.27) (7.35) -- (3.33) 9/30/2000** 14.09 (0.02) 0.72 0.70 -- --
* From commencement of fund operations on January 2, 1997 through December 31, 1997. ** From commencement of class operations on July 31, 2000 through September 30, 2000. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (e) Amount is less than $0.01 per share. (f) For the six months ended March 31, 2003 (Unaudited). (g) For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS
Ratios to Average Net Assets ---------------------------------------------- Net asset Net assets, value, end of Net Portfolio Total end of Total period Net Gross investment turnover distributions period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate - --------------------------------------------------------------------------------------------------------------------- $-- $ 10.37 (3.1)% $ 12,825 1.00% 1.40% (0.89)% 123% -- 10.70 (21.1) 13,421 1.00 1.31 (0.91) 220 (0.52) 13.56 (71.1) 16,347 1.00 1.13 (0.75) 258 (1.22) 47.71 147.8 62,364 1.00 1.11 (0.66) 191 (0.39) 20.08 97.9 13,308 1.00 2.96 (0.56) 199 -- 10.51 (8.5) 2,073 1.00 7.13 (0.35) 82 (0.74) 11.49 22.7 1,848 1.00 9.35 (0.38) 174 -- 10.21 (3.2) 21,903 1.25 1.61 (1.14) 123 -- 10.55 (21.3) 26,885 1.25 1.45 (1.16) 220 (0.52) 13.41 (71.2) 41,456 1.25 1.37 (1.01) 258 (1.22) 47.33 147.0 110,824 1.25 1.35 (0.89) 191 (0.39) 19.99 97.5 1,175 1.25 9.05 (0.80) 199 -- 10.49 (8.7) 85 1.25 27.97 (0.60) 82 (0.72) 11.49 22.4 74 1.25 36.58 (0.67) 174 -- 10.15 (3.4) 2,258 1.50 2.35 (1.39) 123 -- 10.51 (21.5) 2,562 1.50 2.35 (1.41) 220 (0.52) 13.38 (71.3) 2,406 1.50 2.92 (1.35) 258 -- 47.31 17.2 0 1.50 1.60 (1.14) 191 $-- $ 3.88 3.5% $ 22,783 0.85% 1.25% (0.09)% 108% -- 3.75 (11.4) 19,635 0.85 1.32 (0.39) 192 (3.33) 4.23 (50.8) 21,653 0.85 1.24 (0.17) 281 (1.02) 15.00 45.6 45,328 0.85 1.01 (0.36) 203 (3.45) 11.17 30.9 28,235 0.85 1.18 (0.40) 164 -- 11.65 (7.8) 24,663 0.85 1.02 (0.32) 118 (3.94) 12.63 24.5 32,149 0.85 0.98 (0.26) 116 -- 3.76 3.0 543 1.10 3.91 (0.33) 108 -- 3.65 (11.4) 456 1.10 5.20 (0.65) 192 (3.33) 4.12 (50.9) 518 1.10 4.11 (0.42) 281 (1.02) 14.80 45.3 1,028 1.10 3.29 (0.61) 203 (3.45) 11.06 30.6 649 1.10 4.43 (0.65) 164 -- 11.59 (7.9) 516 1.10 4.74 (0.58) 118 (3.94) 12.59 24.2 194 1.10 12.96 (0.42) 116 -- 3.74 3.0 20 1.35 79.59 (0.59) 108 -- 3.63 (11.7) 18 1.35 142.14 (0.85) 192 (3.33) 4.11 (50.9) 8 1.35 68.34 (0.94) 281 -- 14.79 5.0 0 1.35 1.50 (0.87) 203
See accompanying notes to financial statements. 53 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions -------------------------------------------- -------------------------------- Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from net beginning investment gain (loss) on investment net investment realized of period income (loss) investments operations income capital gains - -------------------------------------------------------------------------------------------------------------------------------- International Equity Fund Institutional Class 3/31/2003(e) $ 7.78 $ 0.05(d) $(0.16) $(0.11) $(0.02) $-- 9/30/2002 9.61 0.04(d) (1.83) (1.79) (0.04) -- 9/30/2001 17.41 0.05(d) (5.91) (5.86) -- (1.94) 9/30/2000 13.79 (0.06)(d) 4.77 4.71 (0.09) (1.00) 9/30/1999 10.74 0.07 3.31 3.38 (0.13) (0.20) 9/30/1998(f) 11.30 0.14 (0.70) (0.56) -- -- 12/31/1997 13.16 0.15(d) (0.27) (0.12) (0.19) (1.55) Retail Class 3/31/2003(e) 7.70 0.04(d) (0.17) (0.13) -- -- 9/30/2002 9.50 0.02(d) (1.80) (1.78) (0.02) -- 9/30/2001 17.31 0.02(d) (5.89) (5.87) -- (1.94) 9/30/2000 13.73 (0.05)(d) 4.67 4.62 (0.04) (1.00) 9/30/1999 10.70 0.05 3.28 3.33 (0.10) (0.20) 9/30/1998(f) 11.28 0.10 (0.68) (0.58) -- -- 12/31/1997* 13.16 0.10(d) (0.26) (0.16) (0.17) (1.55) Admin Class 3/31/2003(e) 7.69 0.03(d) (0.16) (0.13) -- -- 9/30/2002 9.49 0.00(d) (1.80) (1.80) -- -- 9/30/2001 17.30 0.02(d) (5.89) (5.87) -- (1.94) 9/30/2000** 17.62 (0.02)(d) (0.30) (0.32) -- -- Research Fund Institutional Class 3/31/2003(e) $ 5.71 $ 0.02(d) $ 0.20 $ 0.22 $(0.03) $-- 9/30/2002 6.85 0.03(d) (1.16) (1.13) (0.01) -- 9/30/2001 10.54 0.01(d) (3.65) (3.64) -- (0.05) 9/30/2000** 10.00 0.00 0.54 0.54 -- -- Retail Class 3/31/2003(e) 5.69 0.01(d) 0.21 0.22 (0.01) -- 9/30/2002*** 7.61 0.01(d) (1.92) (1.91) (0.01) --
*From commencement of class operations on January 2, 1997 through December 31, 1997. **From commencement of class operations on July 31, 2000 through September 30, 2000. ***From commencement of class operations on November 30, 2001 through September 30, 2002. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d) Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (e)For the six months ended March 31, 2003 (Unaudited). (f) For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS
Ratios to Average Net Assets ------------------------------------------------ Net asset Net assets, value, end of Net Portfolio Total end of Total period Net Gross investment turnover distributions period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate - --------------------------------------------------------------------------------------------------------------------- $ (0.02) $ 7.65 (1.4)% $ 38,776 1.00% 1.41% 1.25% 84% (0.04) 7.78 (18.7) 44,101 1.00 1.43 0.47 135 (1.94) 9.61 (34.5) 54,080 1.00 1.35 0.34 207 (1.09) 17.41 34.4 107,792 1.00 1.15 (0.32) 226 (0.33) 13.79 32.0 79,415 1.00 1.22 0.53 207 -- 10.74 (5.0) 68,464 1.00 1.18 1.49 96 (1.74) 11.30 (1.0) 82,188 1.00 1.16 1.12 119 -- 7.57 (1.7) 1,319 1.25 2.64 1.08 84 (0.02) 7.70 (18.8) 1,338 1.25 2.69 0.19 135 (1.94) 9.50 (34.7) 2,793 1.25 1.99 0.13 207 (1.04) 17.31 33.9 5,588 1.25 1.67 (0.26) 226 (0.30) 13.73 31.6 261 1.25 12.33 0.29 207 -- 10.70 (5.1) 150 1.25 10.26 1.16 96 (1.72) 11.28 (1.3) 233 1.25 16.24 0.73 119 -- 7.56 (1.7) 925 1.50 3.28 0.81 84 -- 7.69 (19.0) 978 1.50 3.88 (0.03) 135 (1.94) 9.49 (34.8) 1,057 1.50 2.01 0.19 207 -- 17.30 (1.8) 0 1.50 1.77 (0.83) 226 $ (0.03) $ 5.90 3.8% $ 17,388 0.85% 1.32% 0.67% 68% (0.01) 5.71 (16.6) 15,889 0.89 1.46 0.36 130 (0.05) 6.85 (34.7) 4,245 1.15 4.26 0.09 171 -- 10.54 5.4 3,510 1.15 8.02 (0.14) 20 (0.01) 5.90 3.9 35 1.10 39.22 0.43 68 (0.01) 5.69 (25.2) 17 1.10 213.89 0.22 130
See accompanying notes to financial statements. 55 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions ---------------------------------------------- -------------------------------- Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from net beginning investment gain (loss) on investment net investment realized of period income (loss) investments operations income capital gains - -------------------------------------------------------------------------------------------------------------------------------- Small Cap Growth Fund Institutional Class 3/31/2003(e) $ 6.35 $(0.03)(d) $(0.23) $(0.26) $-- $-- 9/30/2002 8.83 (0.08)(d) (2.40) (2.48) -- -- 9/30/2001 26.98 (0.12)(d) (17.06) (17.18) -- (0.97) 9/30/2000 16.74 (0.16)(d) 10.40 10.24 -- -- 9/30/1999 9.83 (0.08) 6.99 6.91 -- -- 9/30/1998(f) 11.32 (0.02) (1.47) (1.49) -- -- 12/31/1997* 10.00 (0.07)(d) 1.99 1.92 (0.01) (0.59) Retail Class 3/31/2003(e) 6.26 (0.04)(d) (0.23) (0.27) -- -- 9/30/2002 8.72 (0.10)(d) (2.36) (2.46) -- -- 9/30/2001 26.74 (0.15)(d) (16.90) (17.05) -- (0.97) 9/30/2000 16.65 (0.24)(d) 10.33 10.09 -- -- 9/30/1999 9.80 (0.08) 6.93 6.85 -- -- 9/30/1998(f) 11.30 (0.08) (1.42) (1.50) -- -- 12/31/1997* 10.00 (0.10)(d) 1.99 1.89 -- (0.59) Admin Class 3/31/2003(e) 6.24 (0.04)(d) (0.23) (0.27) -- -- 9/30/2002 8.71 (0.12)(d) (2.35) (2.47) -- -- 9/30/2001 26.73 (0.17)(d) (16.88) (17.05) -- (0.97) 9/30/2000** 23.67 (0.05)(d) 3.11 3.06 -- -- Small Cap Value Fund Institutional Class 3/31/2003(e) 17.28 $ 0.04(d) $(0.02) $ 0.02 $-- $-- 9/30/2002 19.89 0.10(d) (0.36) (0.26) (0.11) (2.24) 9/30/2001 20.42 0.16(d) 0.60 0.76 (0.20) (1.09) 9/30/2000 17.33 0.14(d) 3.36 3.50 (0.14) (0.27) 9/30/1999 15.60 0.16 1.83 1.99 (0.12) (0.14) 9/30/1998(f) 18.62 0.12 (3.14) (3.02) -- -- 12/31/1997 17.39 0.17 4.26 4.43 (0.15) (3.05) Retail Class 3/31/2003(e) 17.25 0.02(d) (0.02) -- -- -- 9/30/2002 19.85 0.05(d) (0.35) (0.30) (0.06) (2.24) 9/30/2001 20.38 0.11(d) 0.60 0.71 (0.15) (1.09) 9/30/2000 17.28 0.10(d) 3.36 3.46 (0.09) (0.27) 9/30/1999 15.57 0.09 1.84 1.93 (0.08) (0.14) 9/30/1998(f) 18.62 0.10 (3.15) (3.05) -- -- 12/31/1997* 17.39 0.15(d) 4.21 4.36 (0.08) (3.05) Admin Class 3/31/2003(e) 17.20 0.00(d)(g) (0.02) (0.02) -- -- 9/30/2002 19.80 0.00(d) (0.35) (0.35) (0.01) (2.24) 9/30/2001 20.34 0.05(d) 0.60 0.65 (0.10) (1.09) 9/30/2000 17.24 0.04(d) 3.37 3.41 (0.04) (0.27) 9/30/1999 15.54 0.04 1.83 1.87 (0.03) (0.14) 9/30/1998*** 18.62 0.03 (3.11) (3.08) -- --
*From commencement of fund operations on January 2, 1997 through December 31, 1997. **From commencement of class operations on July 31, 2000 through September 30, 2000. ***From commencement of class operations on January 2, 1998 through September 30, 1998. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (e)For the six months ended March 31, 2003 (Unaudited). (f)For the nine months ended September 30, 1998. (g) Amount is less than $0.01 per share. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS
Ratios to Average Net Assets ------------------------------------------------ Net asset Net assets, value, end of Net Portfolio Total end of Total period Net Gross investment turnover distributions period return(a) (000) expenses (b)(c) expenses(c) income (loss)(c) rate - --------------------------------------------------------------------------------------------------------------------------- $-- $ 6.09 (4.1)% $ 21,873 1.00% 1.26% (0.89)% 95% -- 6.35 (28.1) 42,415 1.00 1.07 (0.90) 162 (0.97) 8.83 (65.2) 124,479 0.99 0.99 (0.74) 140 -- 26.98 61.2 262,147 0.92 0.92 (0.62) 170 -- 16.74 70.3 81,132 1.00 1.11 (0.80) 163 -- 9.83 (13.2) 17,174 1.00 2.15 (0.53) 116 (0.60) 11.32 19.4 3,893 1.00 5.81 (0.65) 211 -- 5.99 (4.3) 24,282 1.25 1.52 (1.15) 95 -- 6.26 (28.2) 32,135 1.25 1.33 (1.15) 162 (0.97) 8.72 (65.3) 50,197 1.25 1.26 (1.01) 140 -- 26.74 60.6 69,416 1.23 1.23 (0.92) 170 -- 16.65 69.9 6,032 1.25 1.80 (1.04) 163 -- 9.80 (13.3) 1,057 1.25 3.70 (0.80) 116 (0.59) 11.30 19.2 1,139 1.25 7.82 (0.94) 211 -- 5.97 (4.3) 855 1.50 3.04 (1.40) 95 -- 6.24 (28.4) 1,078 1.50 3.01 (1.39) 162 (0.97) 8.71 (65.3) 1,261 1.50 3.56 (1.29) 140 -- 26.73 12.9 0 1.50 1.50 (1.16) 170 $-- $ 17.30 0.1% $231,408 0.90% 0.96% 0.51% 34% (2.35) 17.28 (2.6) 234,370 0.94 0.96 0.48 86 (1.29) 19.89 3.9 215,439 0.98 0.98 0.76 98 (0.41) 20.42 20.7 214,919 0.93 0.93 0.76 102 (0.26) 17.33 12.8 301,496 0.90 0.90 0.87 113 -- 15.60 (16.2) 296,116 0.92 0.92 1.04 78 (3.20) 18.62 26.0 245,177 0.94 0.94 0.97 94 -- 17.25 0.0 100,180 1.15 1.22 0.28 34 (2.30) 17.25 (2.8) 86,816 1.19 1.20 0.22 86 (1.24) 19.85 3.6 97,544 1.22 1.22 0.51 98 (0.36) 20.38 20.4 92,698 1.17 1.17 0.53 102 (0.22) 17.28 12.4 75,302 1.20 1.20 0.57 113 -- 15.57 (16.4) 54,060 1.19 1.19 0.79 78 (3.13) 18.62 25.6 34,353 1.25 1.35 0.79 94 -- 17.18 (0.1) 25,498 1.40 1.51 0.00 34 (2.25) 17.20 (3.0) 24,655 1.44 1.53 (0.01) 86 (1.19) 19.80 3.3 16,471 1.50 1.59 0.23 98 (0.31) 20.34 20.1 11,391 1.50 1.68 0.21 102 (0.17) 17.24 12.0 4,863 1.50 1.70 0.30 113 -- 15.54 (16.5) 1,046 1.50 3.99 0.95 78
See accompanying notes to financial statements. 57 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions --------------------------------------------- ------------------------------- Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from net beginning investment gain (loss)on investment net investment realized of period income (loss) investments operations income capital gains - -------------------------------------------------------------------------------------------------------------------------- Value Fund Institutional Class 3/31/2003(e) $11.17 $ 0.08(d) $ 0.16 $ 0.24 $(0.09) $-- 9/30/2002 13.90 0.13(d) (2.42) (2.29) (0.16) (0.28) 9/30/2001 15.12 0.14(d) (1.19) (1.05) (0.17) -- 9/30/2000 16.54 0.17 0.41 0.58 (0.15) (1.85) 9/30/1999 16.85 0.22 1.53 1.75 (0.24) (1.82) 9/30/1998(f) 17.64 0.18 (0.97) (0.79) -- -- 12/31/1997 15.60 0.18 4.32 4.50 (0.19) (2.27) Worldwide Fund Institutional Class 3/31/2003(e) $ 7.53 $ 0.16(d) $ 0.56 $ 0.72 $(0.27) $-- 9/30/2002* 8.48 0.35(d) (0.55) (0.20) (0.75) -- 9/30/2001 13.93 0.65(d) (2.44) (1.79) (0.35) (3.31) 9/30/2000 10.28 0.58(d) 4.02 4.60 (0.48) (0.47) 9/30/1999 8.79 0.50 1.82 2.32 (0.44) (0.39) 9/30/1998(f) 9.86 0.33 (1.40) (1.07) -- -- 12/31/1997 10.63 0.47 (0.10) 0.37 (0.47) (0.67)
*As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities for financial statement purposes only. For the year ended September 30, 2002, the impact to the Fund's per share net investment income and net realized and unrealized gain (loss) was less than $0.01. The ratio of net investment income to average net assets for the Fund decreased from 4.29% to 4.26% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (e)For the six months ended March 31, 2003 (Unaudited). (f)For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS
Ratios to Average Net Assets ------------------------------------------------ Net asset Net assets, value, end of Net Portfolio Total end of Total period Net Gross investment turnover distributions period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate - ------------------------------------------------------------------------------------------------------------------------- $ (0.09) $ 11.32 2.1% $33,108 0.85% 0.93% 1.28% 30% (0.44) 11.17 (17.2) 33,025 0.85 0.90 0.90 66 (0.17) 13.90 (7.1) 39,549 0.85 0.96 0.87 90 (2.00) 15.12 3.6 38,792 0.85 0.89 0.87 73 (2.06) 16.54 10.5 66,726 0.78 0.78 1.20 59 -- 16.85 (4.5) 66,928 0.79 0.79 1.36 49 (2.46) 17.64 29.2 63,303 0.84 0.84 1.12 64 $ (0.27) $ 7.98 9.6% $ 9,010 1.00% 2.26% 4.10% 46% (0.75) 7.53 (3.0) 8,340 1.00 2.43 4.26 113 (3.66) 8.48 (15.0) 8,528 1.00 2.58 6.85 160 (0.95) 13.93 46.5 9,748 1.00 2.48 4.26 183 (0.83) 10.28 27.8 6,233 1.00 3.46 5.07 165 -- 8.79 (10.9) 4,907 1.00 3.28 4.37 93 (1.14) 9.86 3.5 5,597 1.00 2.62 3.89 134
See accompanying notes to financial statements. 59 FUND AND MANAGER REVIEW Loomis Sayles Mid Cap Growth Fund PORTFOLIO REVIEW Poor performance during the fourth quarter of 2002 led to the Fund's underperformance compared to its benchmark, the Russell Midcap Growth Index, for the six-month period ending March 31, 2003. Typically, leadership in the fourth quarter comes from high relative strength, high earnings momentum stocks--the type of stocks we like to own. Nevertheless, the rebound off the market lows of last October was more like a "January- effect" rally, led by low-priced, negative-earnings stocks-the types of stocks we typically do not own. Specifically, much of the Fund's performance shortfall occurred in technology and producer durables sectors. In some cases we owned the right stocks but did not time our buys and sells successfully. In addition, because the Fund is relatively concentrated, owning approximately 60 stocks, the impact of specific stock "torpedoes" is magnified. Our largest sector over-weights were (and remain) technology and energy. If the market surprises on the upside in 2003, we believe it will be because of a renewed cycle of business investment and capital spending on technology. We believe earnings expectations in technology are more realistic and earnings revisions have become more positive. Within the energy sector, we have favored the energy services stocks. We think there is a structural imbalance between supply and demand for natural gas, which only can be resolved through a combination of higher prices and more drilling. The classic defensive industries and sectors that outperformed during the recent correction, such as consumer staples, may under-perform going forward. In addition healthcare services companies could face challenges, as increasing budget deficits hinder Medicare and Medicaid reimbursements. OUTLOOK We remain fully invested in emerging growth stocks that, in our opinion, have strong management teams, new and exciting products or services, and good prospects for strong earnings and revenue growth for the next few years. Volatility tied to news events may offer some interesting trading opportunities throughout the next few months. Given the coalition's success in Iraq, we believe that stocks may work their way higher throughout the remainder of 2003. Longer term, though, we believe the market may move within a broad trading range for several years, as the market works off the structural imbalances of the post-bubble economy. Key Fund Facts Objective Long-term capital growth Strategy Invests primarily in stocks with market capitalization falling within the capitalization range of the Russell Midcap Growth Index Fund Inception Date 2/28/01 Expense Ratio 0.90% Total Net Assets $5.8 million [Photo] Chris Ely [Photo] Dave Smith [Photo] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003 6 Months* 1 Year Since Inception - -------------------------------------------------------------------------------- Loomis Sayles Mid Cap Growth Fund -2.74% -33.29% -30.99% Lipper Mid-Cap Growth Funds Index(a) 3.01 -27.57 -19.00 Russell Midcap Growth Index(a) 9.14 -26.11 -17.91 CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE CHART IN THE PRINTED MATERIAL] 2/28/01 3/02 3/03 ------- ---- ---- Loomis Sayles Mid Cap Growth Fund 10,000 6,910 4,610 Lipper Mid-Cap Growth Funds Index 10,000 8,901 6,449 Russell Midcap Growth Index 10,000 8,971 6,629 Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Please see page 63 for a description of the indexes and important risk disclosure. * Not annualized. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS FUND AND MANAGER REVIEW Loomis Sayles Provident Fund PORTFOLIO REVIEW During the six-month period ended March 31, 2003, the Fund has been positioned to benefit from an economic recovery, but this strategy hurt performance compared to its benchmark, the S&P 500 Index, as the economy continued to struggle. In addition, certain high-profile stocks in the consumer staples sector suffered from volume and pricing pressures, which created a drag on Fund performance. Furthermore, the Fund's significant cash position at the end of the third quarter of 2002, relative to the benchmark, caused portfolio performance to lag. On the bright side, the telecommunication sector rebounded, and the Fund benefited from favorable security selection. Technology also was strong, as the market discounted appropriate expectations for revenue and earnings growth. In addition, the utilities sector advanced, due to a recovery among regulated utilities. The Fund consistently has been over-weighted in the energy sector. As geopolitical events worsened, we expected integrated oil and natural gas companies to benefit from higher commodity pricing, a colder winter and potential disruptions or shortages. In addition, valuations and yields remained quite compelling. We also maintained a slight overweight in materials, where we expect an improvement in capital spending to spark a gradual earnings recovery. The Fund remains under-weighted in healthcare, due to political pressures on drug pricing and the lack of new blockbuster drugs. In addition, concerns about interest rates, mounting consumer debt levels and the challenging investment environment caused us to underweight financial companies. OUTLOOK We continue to position the Fund for a gradual economic recovery. We have used market volatility to complement our predictable-earnings stocks with quality names leveraged to an improving economy. In particular, we believe stocks in the materials, technology and consumer discretionary sectors should benefit from an economic recovery. Key Fund Facts Objective Long-term capital growth Strategy Invests primarily in equity securities and may invest in companies of any size Fund Inception Date 10/1/95 Fund Registration Date 3/7/97 Expense Ratio 0.65% Total Net Assets $2.0 million [Photo] Robert Ix AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since Since 6 Months* 1 Year 5 Years Registration(a) Inception(a) - ------------------------------------------------------------------------------------------------------- Loomis Sayles Provident Fund 0.31% -18.74% 3.89% 6.93% 8.65% Lipper Multi-Cap Core Funds Index(b) 3.06 -24.08 -3.62 2.09 5.44 S&P 500 Index(b) 5.02 -24.76 -3.77 2.63 6.77
CUMULATIVE PERFORMANCE Registration to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE CHART IN THE PRINTED MATERIAL]
3/7/97 3/98 3/99 3/00 3/01 3/02 3/03 ------ ---- ---- ---- ---- ---- ---- Loomis Sayles Provident Fund 10,000 12,403 15,326 19,318 18,313 18,478 15,017 Lipper Multi-Cap Core Funds Index 10,000 13,639 14,707 18,613 14,837 14,938 11,339 S&P 500 Index 10,000 14,192 16,812 19,828 15,530 15,563 11,711
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE CHART IN THE PRINTED MATERIAL]
10/1/95 3/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 ------- ---- ---- ---- ---- ---- ---- ---- ---- Loomis Sayles Provident Fund 10,000 10,213 11,882 15,390 19,017 23,971 22,724 22,928 18,634 Lipper Multi-Cap Core Funds Index (b) 10,000 11,056 12,629 17,887 19,287 24,409 19,457 19,589 14,870 S&P 500 Index (b) 10,000 11,171 13,386 19,811 23,469 27,678 21,678 21,724 16,348
Past performance is no guarantee of future performance. Average returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance would be lower. (a) Shares of the Fund were registered for offer and sale under the Securities Act of 1933 on March 7, 1997. In accordance with SEC regulations, performance information is provided for the period beginning on March 7, 1997 ("Registration"). Performance from inception is also provided for the convenience of our shareholders. (b) Since index performance data is not available coincident with the Fund's inception and registration dates, comparative performance is presented from the month end closest to the Fund's inception and registration dates (September 30, 1995 and February 28, 1997, respectively). Please see page 63 for a description of the indexes and important risk disclosure. * Not annualized. 61 FUND AND MANAGER REVIEW Loomis Sayles Small Company Growth Fund PORTFOLIO REVIEW Our primary investment strategy focused on owning stocks with earnings growth rates expected to be higher than the market as a whole. As usual, we looked for companies with strong fundamentals, rapid earnings growth, a strong management and a solid business model. The consumer discretionary and technology sectors remained the most substantial weightings in the portfolio for the six-month period ending March 31, 2003. Because individual stock selection is the primary driver of our sector weightings, it's not surprising that we have seen most of the current growth opportunities from these two sectors. The consumer discretionary sector includes a diverse group of companies in a variety of industries, from advertising to education to retail. All are experiencing significant growth in sales and earnings, despite relatively slow economic growth. Our overweight position in the technology sector reflects a combination of companies that are experiencing significant growth or are beginning to show signs of a return to growth after a long drought. The financial services sector remained the largest underweight in the portfolio. Surprisingly, the financial services sector weighting exceeded the technology sector weighting for the first time in the Russell 2000 Growth Index's history. Nevertheless, the sector was populated with a number of relatively small, slow-growth banks, REITs (real estate investment trusts) and other financial companies that did not meet our growth criteria. This difference between the Fund's and the benchmark's financial holdings accounted for the majority of the Fund's underperformance for the period. OUTLOOK Stock valuations remain lower today than they were three years ago, and corporate earnings are beginning to grow again. We believe the missing ingredient is investor confidence. Investors have large sums of cash sitting on the sidelines, and a string of positive days, weeks and months should bolster confidence. In addition, the successful prosecution of the Iraq war should provide some short-term stimulus for the market. Our longer-term outlook depends on the pace of economic growth and corporate earnings performance. One of the drags over the past two years has been the dramatic fall-off in capital spending, and a rebound in this type of spending would make us much more optimistic about the long term. Key Fund Facts Objective Long-term capital growth Strategy Invests primarily in stocks with market capitalization falling within the capitalization range of the Russell 2000 Index [Photo] Chris Ely [Photo] Dave Smith [Photo] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
6 Months* 1 Year Since Inception --------- ------ --------------- Loomis Sayles Small Company Growth Fund -1.39% -39.14% -13.13% Lipper Small-Cap Growth Funds Index(a) 1.52 -29.30 -2.88 Russell 2000 Growth Index(a) 3.34 -31.63 -11.08 Russell 2000 Index(a) 1.39 -26.96 -2.98
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE CHART IN THE PRINTED MATERIAL]
5/7/99 3/00 3/01 3/02 3/03 ------ ---- ---- ---- ---- Loomis Sayles Small Company Growth Fund 10,000 21,390 10,412 9,489 5,774 Lipper Small-Cap Growth Funds Index (a) 10,000 18,904 11,933 12,618 8,921 Russell 2000 Growth Index (a) 10,000 14,614 8,796 9,231 6,311 Russell 2000 Index (a) 10,000 12,600 10,669 12,161 8,883
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month-end closest to the Fund's inception date (April 30, 1999). Please see page 63 for a description of the indexes and important risk disclosure. * Not annualized. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS DISCLOSURE Loomis Sayles Mid Cap Growth Fund, Loomis Sayles Provident Fund, Loomis Sayles Small Company Growth Fund Small and mid-cap stocks may be more volatile and subject to wider value fluctuations than larger, more established companies. The secondary market of small and mid-cap stocks may be less liquid, or harder to sell, which could also adversely impact the Fund's value. Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the Fund. Index Definitions Lipper Mid-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the mid-cap growth funds investment objective. Lipper Multi-Cap Core Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the multi-cap core funds investment objective. Lipper Small-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the small-cap growth funds investment objective. Lipper Averages consist of all mutual funds in a stated category. Source: Lipper, Inc. Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000 Growth Index. Russell 2000 Growth Index is an unmanaged index comprised of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Russell 2000 Index is an unmanaged index comprised of the 2,000 smallest companies in the Russell 3000 Index (a broad market index), representing approximately 8% of the Russell 3000 total market capitalization. The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock's weight in the index proportionate to its market value. The indexes are unmanaged and index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Returns are adjusted for the reinvestment of capital gains distributions and income dividends. It is not possible to invest directly in an index. 63 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Mid Cap Growth Fund Shares Value + - ------------------------------------------------------------------------------- COMMON STOCKS--98.2% of net assets Banks/Savings & Loans--1.6% New York Community Bancorp, Inc. 3,150 $ 93,870 -------- Biotechnology--8.7% Affymetrix, Inc.* 2,800 72,800 Celgene Corp.* 1,925 50,204 Genzyme Corp.* 2,200 80,190 Gilead Sciences, Inc.* 2,200 92,378 IDEC Pharmaceuticals Corp.* 1,300 44,745 MedImmune, Inc.* 2,650 86,999 Millennium Pharmaceuticals, Inc.* 5,525 43,426 Neurocrine Biosciences, Inc.* 725 30,291 -------- 501,033 -------- Commercial Services & Supplies--5.6% Career Education Corp.* 1,825 89,279 Corinthian Colleges, Inc.* 2,450 96,775 University of Phoenix Online* 3,216 137,162 -------- 323,216 -------- Communications Equipment--4.5% Emulex Corp.* 5,200 99,580 McDATA Corp., Class A* 9,750 83,752 NetScreen Technologies, Inc.* 4,575 76,769 -------- 260,101 -------- Computers & Peripherals--3.4% Network Appliance, Inc.* 12,375 138,477 Skyworks Solutions, Inc.* 9,675 60,275 -------- 198,752 -------- Consumer Services--1.5% Leapfrog Enterprises, Inc.* 3,575 85,228 -------- Diversified Financials--1.5% Investors Financial Services Corp. 3,475 84,616 -------- Energy Equipment & Services--5.9% Nabors Industries Ltd.* 2,175 86,717 Patterson-UTI Energy, Inc.* 3,450 111,642 Pride International, Inc.* 4,425 59,693 Varco International, Inc.* 4,600 84,226 -------- 342,278 -------- Healthcare--Drugs--3.6% Allergan, Inc. 1,525 104,021 Biovail Corp.* 2,575 102,665 -------- 206,686 -------- Healthcare--Equipment & Supplies--5.4% St. Jude Medical, Inc.* 2,125 103,594 Varian Medical Systems, Inc.* 1,725 93,029 Zimmer Holdings, Inc.* 2,375 115,496 -------- 312,119 -------- Healthcare--Providers & Services--4.7% Caremark Rx, Inc.* 5,525 100,279 Covance, Inc.* 3,425 79,186 Mid Atlantic Medical Services, Inc.* 2,250 91,237 -------- 270,702 -------- LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS
Shares Value + - -------------------------------------------------------------------------------------- COMMON STOCKS--continued Hotels, Restaurant & Leisure--4.9% International Game Technology 1,100 $ 90,090 Starbucks Corp. 3,950 101,752 Station Casinos, Inc.* 4,250 89,717 ---------- 281,559 ---------- Information Technology--Consulting & Services--1.9% Cognizant Technology Solutions Corp.* 1,650 111,128 ---------- Internet & Catalog Retail--2.5% Amazon.com, Inc.* 5,450 141,864 ---------- Internet Software & Services--4.8% Hotels.com, Class A* 2,600 149,955 Yahoo!, Inc.* 5,325 127,906 ---------- 277,861 ---------- Media & Entertainment--4.4% Entercom Communications Corp.* 1,600 70,256 Getty Images, Inc.* 2,100 57,666 Univision Communications, Inc., Class A* 2,500 61,275 Westwood One, Inc.* 1,975 61,699 ---------- 250,896 ---------- Oil & Gas--1.5% XTO Energy, Inc. 4,567 86,767 ---------- Retail--Specialty--6.9% Abercrombie & Fitch Co., Class A* 2,975 89,339 AutoZone, Inc.* 1,375 94,476 Bed Bath & Beyond, Inc.* 2,900 100,166 Weight Watchers International, Inc.* 2,450 112,823 ---------- 396,804 ---------- Semiconductor Equipment & Products--12.8% Cymer, Inc.* 3,300 78,045 Intersil Corp., Class A* 6,100 94,916 KLA-Tencor Corp.* 2,325 83,565 Linear Technology Corp. 4,400 135,828 Marvell Technology Group Ltd.* 4,200 88,998 Novellus Systems, Inc.* 2,000 54,540 QLogic Corp.* 2,000 74,280 Xilinx, Inc.* 5,575 130,511 ---------- 740,683 ---------- Software--10.3% Adobe Systems, Inc. 1,875 57,806 BEA Systems, Inc.* 11,825 120,497 Cognos, Inc.* 4,375 99,404 Electronic Arts, Inc.* 1,600 93,824 Mercury Interactive Corp.* 3,375 100,170 Symantec Corp.* 3,050 119,499 ---------- 591,200 ---------- Telecommunications--Wireless--1.8% Nextel Communications, Inc., Class A* 7,650 102,434 ---------- TOTAL COMMON STOCKS (Identified Cost $5,464,657) 5,659,797 ----------
65 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Mid Cap Growth Fund--continued
Face Amount Value + - ------------------------------------------------------------------------------------ SHORT-TERM INVESTMENT--1.9% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $107,001 on 4/01/03 collateralized by $95,000 U.S. Treasury Bond, 6.375% due 8/15/27 with a value of $114,781 $ 107,000 $ 107,000 TOTAL SHORT-TERM INVESTMENT (Identified Cost $107,000) 107,000 TOTAL INVESTMENTS--100.1% (Identified Cost $5,571,657)@ 5,766,797 Liabilities, Less Cash and Other Assets--(0.1%) (3,828) ---------- NET ASSETS--100% $5,762,969 ==========
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $5,571,657 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $451,717 and $256,577, respectively, resulting in net unrealized appreciation of $195,140. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Provident Fund
Shares Value + - ------------------------------------------------------------------------------------ COMMON STOCKS--92.3% of net assets Aerospace/Defense--2.1% Northrop Grumman Corp. 475 $40,755 ------- Banks/Savings & Loans--1.8% Wells Fargo & Co. 775 34,867 ------- Beverages--3.0% PepsiCo, Inc. 1,500 60,000 ------- Biotechnology--1.9% Amgen, Inc.* 650 37,408 ------- Building Products--2.0% Masco Corp. 2,175 40,499 ------- Chemicals--2.6% Praxair, Inc. 900 50,715 ------- Communications Equipment--3.0% Cisco Systems, Inc.* 2,400 31,152 Nokia Oyj ADR 1,975 27,670 ------- 58,822 Computers & Peripherals--3.4% Dell Computer Corp.* 1,125 30,724 Lexmark International Group, Inc.* 550 36,822 ------- 67,546 ------- Citigroup, Inc. 1,175 40,479 Federal Home Loan Mortgage Corp. 1,075 57,082 ------- 97,561 ------- Flextronics International Ltd.* 2,775 24,198 ------- Energy--1.3% GlobalSantaFe Corp. 1,200 24,780 ------- Food--2.6% Kraft Foods, Inc., Class A 1,825 51,465 ------- Food & Drug Retailing--3.2% Whole Foods Market, Inc.* 1,150 63,986 ------- Forest & Paper Products--2.0% International Paper Co. 1,200 40,560 ------- Healthcare--Equipment & Supplies--2.4% Medtronic, Inc. 1,050 47,376 ------- Healthcare--Providers & Services--3.0% Cardinal Health, Inc. 1,025 58,394 ------- Household Durables--2.0% Leggett & Platt, Inc. 2,175 39,759 ------- Industrial Conglomerates--2.3% General Electric Co. 1,800 45,900 ------- Information Technology--Consulting & Services--4.0% Affiliated Computer Services, Inc., Class A* 750 33,195 SunGard Data Systems, Inc.* 2,175 46,327 ------- 79,522 -------
67 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Provident Fund--continued
Shares Value + - ------------------------------------------------------------------------------------ COMMON STOCKS--continued Insurance--7.7% AFLAC, Inc. 1,750 $ 56,087 American International Group, Inc. 925 45,741 John Hancock Financial Services, Inc. 1,825 50,699 ---------- 152,527 ---------- Machinery--5.5% Danaher Corp. 900 59,184 Illinois Tool Works, Inc. 850 49,427 ---------- 108,611 ---------- Media & Entertainment--4.8% Comcast Corp.* 1,375 37,799 Viacom, Inc., Class B* 1,550 56,606 ---------- 94,405 ---------- Oil & Gas--7.9% ConocoPhillips 825 44,220 Devon Energy Corp. 1,450 69,919 Exxon Mobil Corp. 1,200 41,940 ---------- 156,079 ---------- Pharmaceutical--2.5% Pfizer, Inc. 1,575 49,077 ---------- Retail--Multiline--3.8% Kohl's Corp.* 500 28,290 Target Corp. 1,575 46,084 ---------- 74,374 ---------- Semiconductor Equipment & Products--2.6% Maxim Integrated Products, Inc. 825 29,799 NVIDIA Corp.* 1,750 22,488 ---------- 52,287 ---------- Software--1.2% Microsoft Corp. 975 23,605 ---------- Telecommunication Services--Diversified--2.9% CenturyTel, Inc. 2,050 56,580 ---------- Textiles, Apparel & Luxury Goods--2.3% Jones Apparel Group, Inc.* 1,625 44,574 ---------- Utilities--Electric--2.4% Dominion Resources, Inc. 850 47,065 ---------- TOTAL COMMON STOCKS (Identified Cost $1,802,651) 1,823,297 ----------
LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS
Face Amount Value + - ------------------------------------------------------------------------------------ SHORT-TERM INVESTMENT--9.4% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $186,003 on 4/01/03 collateralized by $160,000 U.S. Treasury Bond, 6.250% due 5/15/30 with a value of $194,582 $ 186,000 $ 186,000 ---------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $186,000) 186,000 ---------- TOTAL INVESTMENTS--101.7% (Identified Cost $1,988,651)@ 2,009,297 Liabilities, Less Cash and Other Assets--(1.7%) (33,124) ---------- NET ASSETS--100% $1,976,173 ==========
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $1,988,651 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $84,965 and $64,319, respectively, resulting in net unrealized appreciation of $20,646. Key to Abbreviations: ADR: American Depository Receipts See accompanying notes to financial statements. 69 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Company Growth Fund Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--96.8% of net assets Banks--1.7% UCBH Holdings, Inc. 5,700 $ 250,686 ---------- Banks/Savings & Loans--2.7% Dime Community Banc shares 7,500 171,225 East West Bancorp, Inc. 7,650 236,002 ---------- 407,227 ---------- Biotechnology--7.2% Alkermes, Inc.* 14,225 129,021 BioMarin Pharmaceutical, Inc.* 10,575 120,026 Connetics Corp.* 7,425 124,369 Digene Corp.* 8,325 137,695 Integra LifeSciences Holdings* 10,750 247,250 Neurocrine Biosciences, Inc.* 1,925 80,427 Telik, Inc.* 9,425 126,672 Trimeris, Inc.* 3,075 126,628 ---------- 1,092,088 ---------- Business Services--0.9% Documentum, Inc.* 9,775 128,248 ---------- Commercial Services & Supplies--5.4% Corporate Executive Board Co.* 6,550 233,311 FTI Consulting, Inc.* 5,850 270,387 Strayer Education, Inc. 5,600 307,440 ---------- 811,138 ---------- Communications Equipment--3.7% McDATA Corp., Class A* 32,575 279,819 NetScreen Technologies, Inc.* 16,425 275,612 ---------- 555,431 ---------- Computers & Peripherals--1.3% Skyworks Solutions, Inc.* 32,100 199,983 ---------- Consumer Services--1.9% Leapfrog Enterprises, Inc.* 11,725 279,524 ---------- Electronic Equipment & Instruments--1.1% FLIR Systems, Inc.* 3,450 163,565 ---------- Energy Equipment & Services--1.8% Maverick Tube Corp.* 14,475 269,235 ---------- Food--1.7% Peet's Coffee & Tea, Inc.* 15,850 262,793 ---------- Healthcare--Drugs--1.1% Angiotech Pharmaceuticals, Inc.* 8,575 170,814 ---------- Healthcare--Equipment & Supplies--1.6% Zoll Medical Corp.* 5,875 240,052 ---------- Healthcare Providers--0.7% CTI Molecular Imaging, Inc.* 5,675 111,230 ---------- Healthcare--Providers & Services--8.7% Advisory Board Co.* 7,475 261,251 Centene Corp.* 6,025 175,990 eResearch Technology, Inc.* 6,075 163,053 Odyssey Healthcare, Inc.* 11,475 272,761 LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS Shares Value + - -------------------------------------------------------------------------------- COMMON STOCKS--continued Healthcare--Providers & Services--continued United Surgical Partners International, Inc.* 12,825 $ 237,134 VistaCare, Inc., Class A* 11,350 202,462 ---------- 1,312,651 ---------- Hotels, Restaurant & Leisure--6.6% P.F. Chang's China Bistro, Inc.* 6,625 245,125 Panera Bread Co., Class A* 6,650 202,758 Penn National Gaming, Inc.* 14,800 262,700 Station Casinos, Inc.* 13,900 293,429 ---------- 1,004,012 ---------- Information Technology--Consulting & Services--1.9% Cognizant Technology Solutions Corp.* 4,175 281,186 ---------- Insurance--1.7% HCC Insurance Holdings, Inc. 9,975 254,961 ---------- Internet Software--1.1% webMethods, Inc.* 18,650 170,275 ---------- Internet Software & Services--5.2% DoubleClick, Inc.* 30,650 238,151 SafeNet, Inc.* 12,825 262,271 United Online, Inc.* 16,950 292,218 ---------- 792,640 ---------- Media & Entertainment--2.6% Cumulus Media, Inc., Class A* 17,025 247,884 Getty Images, Inc.* 5,350 146,911 ---------- 394,795 ---------- Oil & Gas--5.5% Evergreen Resources, Inc.* 5,875 266,196 Unit Corp.* 17,450 354,061 W-H Energy Services, Inc.* 12,725 217,852 ---------- 838,109 ---------- Pharmaceutical--1.5% Adolor Corp.* 7,750 76,803 The Medicines Co.* 8,325 155,178 ---------- 231,981 ---------- Retail--Specialty--5.8% Cost Plus, Inc.* 6,650 175,028 Electronics Boutique Holdings Corp.* 6,000 100,740 Gart Sports Co.* 12,150 231,822 Hot Topic, Inc.* 4,225 98,485 Tractor Supply Co.* 8,300 274,066 ---------- 880,141 ---------- Semiconductor Equipment & Products--8.0% 02Micro International Ltd.* 3,550 38,198 ATMI, Inc. 10,875 209,452 Cymer, Inc.* 5,700 134,805 Entegris Inc.* 15,375 153,135 Integrated Device Technology, Inc.* 19,150 152,051 Micrel, Inc.* 17,625 162,502 71 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Small Company Growth Fund--continued
Shares Value + - ------------------------------------------------------------------------------------- COMMON STOCKS--continued Semiconductor Equipment & Products--continued Microsemi Corp.* 12,350 $ 135,233 Zoran Corp.* 18,000 232,380 ----------- 1,217,756 ----------- Software--15.4% Altiris, Inc.* 10,425 130,208 Concord Communications, Inc.* 22,875 196,039 F5 Networks, Inc.* 15,050 190,081 Informatica Corp.* 37,575 242,359 j2 Global Communications, Inc.* 9,775 278,490 Kronos, Inc.* 5,800 203,290 MicroStrategy Inc., Class A* 6,925 166,962 Packeteer, Inc.* 17,850 174,930 RSA Security, Inc.* 15,950 113,245 SERENA Software, Inc.* 14,675 234,227 THQ, Inc.* 17,725 231,843 WebEx Communications, Inc.* 16,950 175,263 ----------- 2,336,937 ----------- TOTAL COMMON STOCKS (Identified Cost $14,276,338) 14,657,458 ----------- Face Amount - -------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--5.2% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $783,011 on 4/01/03 collateralized by $570,000 U.S. Treasury Bond, 8.125% due 8/15/19 with a value of $802,293 $ 783,000 783,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $783,000) 783,000 ----------- TOTAL INVESTMENTS--102.0% (Identified Cost $15,059,338)@ 15,440,458 Liabilities, Less Cash and Other Assets--(2.0%) (304,029) ----------- NET ASSETS--100% $15,136,429 ===========
+ See Note 1. * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $15,059,338 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,137,066 and $755,946, respectively, resulting in net unrealized appreciation of $381,120. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS STATEMENTS OF ASSETS AND LIABILITIES March 31, 2003 (Unaudited)
Mid Cap Provident Small Company Growth Fund Fund Growth Fund - --------------------------------------------------------------------------------------------------- Assets Investments at value $ 5,766,797 $ 2,009,297 $ 15,440,458 Cash 0 127 704 Receivable for: Securities sold 98,094 0 56,139 Dividends and interest 103 5,049 944 Due from the adviser 8,514 7,023 10,863 ----------- ----------- ------------ 5,873,508 2,021,496 15,509,108 ----------- ----------- ------------ Liabilities Payable for: Securities purchased 94,018 22,756 328,620 Foreign taxes 0 88 0 Due to custodian 88 0 0 Accrued expenses: Management fees 3,671 3,889 12,692 Trustees' fees 537 537 537 Administrative fees 161 315 782 Other 12,064 17,738 30,048 ----------- ----------- ------------ 110,539 45,323 372,679 ----------- ----------- ------------ Net Assets $ 5,762,969 $ 1,976,173 $ 15,136,429 =========== =========== ============ Net Assets consist of: Capital paid in $12,396,580 $ 6,163,969 $100,836,826 Undistributed accumulated net investment income (loss) (23,360) 66,583 (131,089) Accumulated net realized gain (loss) (6,805,391) (4,275,025) (85,950,428) Unrealized appreciation (depreciation) on: Investments 195,140 20,646 381,120 ----------- ----------- ------------ Net Assets $ 5,762,969 $ 1,976,173 $ 15,136,429 =========== =========== ============ Shares of beneficial interest outstanding,no par value 1,250,024 291,738 2,659,257 Net asset value and redemption price $ 4.61 $ 6.77 $ 5.69 Identified cost of investments $ 5,571,657 $ 1,988,651 $ 15,059,338
See accompanying notes to financial statements. 73 STATEMENTS OF OPERATIONS For the Six Months Ended March 31, 2003 (Unaudited)
Mid Cap Provident Small Company Growth Fund Fund Growth Fund - -------------------------------------------------------------------------------------------------- Investment Income Dividends* $ 2,760 $ 107,032 $ 14,538 Interest 766 9,380 3,463 --------- --------- ---------- Total income 3,526 116,412 18,001 --------- --------- ---------- Expenses Management fees 22,405 38,325 124,242 Trustees' fees and expenses 3,018 3,018 3,018 Administrative fees 1,046 2,683 5,798 Custodian and accounting fees 18,803 18,904 29,374 Transfer Agent fees 8,590 9,024 9,693 Audit and tax services fees 11,194 13,451 22,793 Registration fees 7,448 9,786 8,275 Printing fees 1,265 2,790 12,133 Legal fees 184 455 1,687 Other expenses 1,366 1,505 2,295 --------- --------- ---------- Total expenses 75,319 99,941 219,308 Less expenses waived and reimbursed by the investment adviser (48,433) (50,119) (70,218) --------- --------- ---------- Net expenses 26,886 49,822 149,090 --------- --------- ---------- Net investment income (loss) (23,360) 66,590 (131,089) --------- --------- ---------- Net Realized Gain (Loss) on: Investments (761,165) (204,975) (6,372,903) --------- --------- ---------- Change in Unrealized Appreciation (Depreciation) on: Investments 618,125 490,397 6,046,720 --------- --------- ---------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) (143,040) 285,422 (326,183) --------- --------- ---------- Net Increase (Decrease) in Net Assets from Operations $(166,400) $ 352,012 $ (457,272) ========= ========= ==========
* Net of foreign withholding taxes of $88 for the Provident Fund. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS STATEMENTS OF CHANGES IN NET ASSETS Mid Cap Growth Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ (23,360) $ (63,541) Net realized gain (loss) (761,165) (2,678,370) Change in unrealized appreciation (depreciation) 618,125 1,188,599 ----------- ----------- Increase (decrease) in net assets from operations (166,400) (1,553,312) ----------- ----------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 0 150 ----------- ----------- Total increase (decrease) in net assets (166,400) (1,553,162) Net Assets Beginning of the period 5,929,369 7,482,531 ----------- ----------- End of the period $ 5,762,969 $ 5,929,369 =========== =========== Undistributed Net Investment Income (Loss) End of the period $ (23,360) $ 0 =========== =========== Provident Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income $ 66,590 $ 137,374 Net realized gain (loss) (204,975) (1,869,638) Change in unrealized appreciation (depreciation) 490,397 (52,618) ------------ ------------ Increase (decrease) in net assets from operations 352,012 (1,784,882) ------------ ------------ From Distributions to Shareholders Net investment income (82,181) (335,784) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (15,719,783) 335,934 ------------ ------------ Total increase (decrease) in net assets (15,449,952) (1,784,732) Net Assets Beginning of the period 17,426,125 19,210,857 ------------ ------------ End of the period $ 1,976,173 $ 17,426,125 ============ ============ Undistributed Net Investment Income End of the period $ 66,583 $ 82,174 ============ ============ Small Company Growth Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 -------------------------- ------------------ From Operations Net investment income (loss) $ (131,089) $ (630,457) Net realized gain (loss) (6,372,903) (26,904,555) Change in unrealized appreciation (depreciation) 6,046,720 6,766,474 ------------ ------------ Increase (decrease) in net assets from operations (457,272) (20,768,538) ------------ ------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets derived from capital share transactions (32,420,680) (927,166) ------------ ------------ Total increase (decrease) in net assets (32,877,952) (21,695,704) Net Assets Beginning of the period 48,014,381 69,710,085 ------------ ------------ End of the period $ 15,136,429 $ 48,014,381 ============ ============ Undistributed Net Investment Income (Loss) End of the period $ (131,089) $ 0 ============ ============
See accompanying notes to financial statements. 75 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions ------------------------------------------- ------------------------------ Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from net beginning investment gain (loss) on investment net investment realized of period income (loss) investments operations income capital gains --------- ------------- -------------- ---------- -------------- ------------- Mid Cap Growth Fund Institutional Class 3/31/2003(e) $ 4.74 $(0.02)(d) $(0.11) $(0.13) $-- $-- 9/30/2002 5.99 (0.05)(d) (1.20) (1.25) -- -- 9/30/2001* 10.00 (0.03)(d) (3.98) (4.01) -- -- Provident Fund Institutional Class 3/31/2003(e) $ 6.78 $ 0.03(d) $(0.01) $ 0.02 $(0.03) $-- 9/30/2002 7.67 0.06(d) (0.81) (0.75) (0.14) -- 9/30/2001 11.16 0.12(d) (1.60) (1.48) (0.09) (1.92) 9/30/2000 13.46 0.12 2.43 2.55 (0.07) (4.78) 9/30/1999 13.59 0.04 3.87 3.91 (0.10) (3.94) 9/30/1998(f) 12.26 0.10 1.23 1.33 -- -- 12/31/1997 11.48 0.10 1.68 1.78 (0.10) (0.90) Small Company Growth Fund Institutional Class 3/31/2003(e) $ 5.77 $(0.02)(d) $(0.06) $(0.08) $-- $-- 9/30/2002 8.07 (0.07)(d) (2.23) (2.30) -- -- 9/30/2001 19.78 (0.07)(d) (11.45) (11.52) -- (0.19) 9/30/2000 11.67 (0.06) 8.17 8.11 -- -- 9/30/1999** 10.00 (0.01) 1.68 1.67 -- --
*From commencement of fund operations on February 28, 2001 through September 30, 2001. **From commencement of fund operations on May 7, 1999 through September 30, 1999. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (e) For the six months ended March 31, 2003 (Unaudited). (f)For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS
Ratios to Average Net Assets ----------------------------------------------- Net asset Net assets, value, end of Net Portfolio Total end of Total period Net Gross investment turnover distributions period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate - ----------------------------------------------------------------------------------------------------------------- $-- $ 4.61 (2.7)% $ 5,763 0.90% 2.52% (0.78)% 127% -- 4.74 (20.9) 5,929 0.90 1.88 (0.81) 216 -- 5.99 (40.1) 7,483 0.90 1.93 (0.62) 145 $(0.03) $ 6.77 0.3% $ 1,976 0.65% 1.30% 0.87% 117% (0.14) 6.78 (10.1) 17,426 0.65 1.14 0.72 188 (2.01) 7.67 (15.9) 19,211 0.65 1.05 1.29 300 (4.85) 11.16 25.3 23,718 0.65 0.95 1.00 356 (4.04) 13.46 31.7 21,886 0.65 1.00 0.30 250 -- 13.59 10.9 20,910 0.65 1.03 0.74 96 (1.00) 12.26 15.7 38,544 0.65 0.89 0.87 109 $-- $ 5.69 (1.4)% $ 15,136 0.90% 1.32% (0.79)% 109% -- 5.77 (28.5) 48,014 0.90 1.07 (0.82) 157 (0.19) 8.07 (58.6) 69,710 0.90 1.02 (0.61) 150 -- 19.78 69.5 133,784 0.90 0.99 (0.51) 174 -- 11.67 16.7 17,674 0.90 2.17 (0.51) 56
See accompanying notes to financial statements. 77 NOTES TO FINANCIAL STATEMENTS March 31, 2003 (Unaudited) 1. Loomis Sayles Funds (the "LSF Trust") and Loomis Sayles Investment Trust (the "LSIT Trust") (collectively, the "Trusts") consist predominately of no load mutual funds. The Trusts are authorized to issue an unlimited number of full and fractional shares of beneficial interest in multiple series. Each Trust is a diversified, open-end management company registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act") and the interests in each Trust are registered under the Securities Act of 1933 (the "1933 Act"). Shares in the LSIT Trust were first registered under the 1933 Act effective March 7, 1997 (subsequent to its commencement of investment operations). The LSF Trust and the LSIT Trust were organized, as Massachusetts business trusts on February 20, 1991 and December 23, 1993, respectively. Information presented in these financial statements pertains only to the Equity Funds set forth below (each a "Fund," and collectively, the "Funds"). The financial statements for the Fixed Income Funds and the Loomis Sayles Managed Bond Fund are presented in separate reports. Each Fund is separately managed and has its own investment objective and policies. Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the investment advisor of each Fund.
The Loomis Sayles Funds consists of the following Funds: Fixed Income Funds Equity Funds Loomis Sayles Bond Fund Loomis Sayles Aggressive Growth Fund Loomis Sayles Global Bond Fund Loomis Sayles Growth Fund Loomis Sayles Investment Grade Bond Fund Loomis Sayles International Equity Fund Loomis Sayles Managed Bond Fund Loomis Sayles Research Fund Loomis Sayles U.S. Government Securities Fund Loomis Sayles Small Cap Growth Fund Loomis Sayles Small Cap Value Fund Loomis Sayles Value Fund Loomis Sayles Worldwide Fund
The LSF Trust Equity Funds (excluding the Loomis Sayles Value and Worldwide Funds) offer Institutional and Retail Class shares. The Loomis Sayles Value and Worldwide Funds only offer Institutional Class shares. The Loomis Sayles Small Cap Value Fund also offers Admin Class shares.
The Loomis Sayles Investment Trust consists of the following Funds: Fixed Income Funds Equity Funds Loomis Sayles Benchmark Core Bond Fund Loomis Sayles Mid Cap Growth Fund Loomis Sayles Core Plus Fixed Income Fund Loomis Sayles Provident Fund Loomis Sayles Fixed Income Fund Loomis Sayles Small Company Growth Fund Loomis Sayles Institutional High Income Fund Loomis Sayles Intermediate Duration Fixed Income Fund Loomis Sayles Investment Grade Fixed Income Fund
The LSIT Trust Equity Funds offer Institutional Class shares. Shares of each Class represent an equal proportionate interest in the assets of the relevant fund and generally have the same voting privileges. Institutional, Retail and Admin Classes differ with respect to distribution and certain other Class-specific expenses and expense reductions. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds: A. Security Valuation Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, at the closing bid price. Debt securities for which market quotations are readily available are generally valued at market value, as reported by pricing services recommended by the pricing committee and approved by the Board of Trustees. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. 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. Short-term securities with a remaining maturity of 60 days or less are NOTES valued at amortized cost, which approximates fair value. Securities for which market quotations are not readily available (including restricted securities, if any) are fair valued in good faith using consistently applied procedures under the general supervision of the Board of Trustees. If events occurring after the close of the principal market in which securities are traded (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 valued at their fair value taking such events into account. B. Repurchase Agreements The Funds may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the Funds take possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Funds to resell, the obligation at an agreed-upon price and time. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Funds' holding period. The Funds, through their custodian, receive delivery of the underlying securities collateralizing repurchase agreements. It is the Funds' policy that the market value of the collateral held be at least equal to 102% of the repurchase price including accrued interest. These securities are marked-to-market daily. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters into insolvency proceedings, the Funds may be delayed or prevented from recovering the collateral. C. Foreign Currency Translation and Foreign Investments The books and records of each of the Funds (including those Funds that invest in foreign investments) are maintained in U.S. dollars. The value of investments, currencies and other assets and liabilities denominated in foreign currencies is translated into U.S. dollar amounts based upon foreign exchange rates prevailing at the end of each day. Purchases and sales of investments, income and expenses are translated at prevailing exchange rates on the respective dates of such transactions. The results of operations resulting from fluctuations in foreign exchange rates on investments are not isolated from fluctuations arising from changes in market prices of investments held. All such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net gains and losses from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investments in securities at year-end, resulting from changes in exchange rates. Certain Funds 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. Each Fund may purchase investments of foreign issuers. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of appropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government. D. Forward Foreign Currency Exchange Contracts Each Fund that may invest in foreign investments may enter into forward foreign currency exchange contracts to protect its investments against future changes in foreign exchange rates. A forward foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contracts will fluctuate with changes in currency exchange rates. The contracts are marked-to-market daily using the forward currency exchange rates and the changes in market value are recorded as unrealized appreciation (depreciation) on foreign currency translations in the Funds' Statements of Assets and Liabilities. Realized gain or loss is recognized when a contract is closed equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and recorded as realized gain (loss) on foreign currency transactions in the Funds' Statements of Operations. Forward foreign currency exchange contracts expose the Funds to the risk that the counterparties will be unable or unwilling to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. At March 31, 2003, there were no open forward foreign currency exchange contracts. E. Security Transactions, Related Investment Income and Expenses Security transactions are accounted for as of the trade date (the date the buy or sell is executed). Dividend income is recorded on the ex-dividend date or, in the case of dividend income on foreign securities, on the ex-dividend date or when the Fund becomes aware of its declaration, net of foreign withholding taxes where applicable. Interest income is recorded on the accrual basis and increased by the accretion of discount and decreased by the amortization of premium. In determining net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Many expenses of the Trusts can be directly attributed to a particular Fund. Expenses which cannot be directly attributed to a particular Fund are either apportioned among the Funds based upon relative net assets or allocated among the Funds evenly. Investment income, realized and unrealized gains and losses, and the common expenses of each Fund 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. 79 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited) F. Federal Income Taxes Each Fund is a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders all of its net investment income and any net realized capital gains. Accordingly, no provision for federal income tax or excise tax has been made. G. Dividends and Distributions to Shareholders Each Fund pays its net investment income and realized capital gains to shareholders annually. Income and capital gains distributions, if any, are determined in accordance with Federal income tax regulations which may differ from accounting principles generally accepted in the United States. These differences, which may result in reclassifications to a Fund's capital accounts to reflect income and gains available for distribution, are primarily due to differing book and tax treatments for litigation proceeds, forward foreign currency transactions, deferred losses due to wash sales, excise tax regulations, distributions from real estate investment trusts, and net operating losses. Some of these classifications may include temporary book and tax basis differences that will reverse in subsequent periods. Dividends from net investment income are determined on a class level. Distributions to shareholders are recorded on the ex-dividend date. 2. Portfolio Security Transactions The cost of purchases and proceeds from sales and maturities of securities other than short-term investments for each Fund for the six months ended March 31, 2003 were as follows: Loomis Sayles Funds Purchases Sales - ------------------- ------------ ------------ Aggressive Growth Fund $ 49,283,519 $ 52,289,223 Growth Fund 25,911,597 23,309,614 International Equity Fund 36,693,341 41,862,038 Research Fund 12,832,170 11,617,266 Small Cap Growth Fund 64,243,035 90,223,078 Small Cap Value Fund 123,288,159 117,522,917 Value Fund 9,966,218 10,368,749 Worldwide Fund 4,197,436 3,675,855 Loomis Sayles Investment Trust Purchases Sales - ------------------------------ ------------ ------------ Mid Cap Growth Fund $ 7,405,466 $ 7,305,225 Provident Fund 13,854,732 21,136,161 Small Company Growth Fund 34,191,679 66,318,098 Purchases and sales of long-term U.S. Government securities occurred in the Worldwide Fund and totaled $43,141 and $59,152, respectively. 3. Management Fees and Other Transactions with Affiliates During the six months ended March 31, 2003, the Funds incurred management fees payable to Loomis Sayles. Separate management agreements for each Fund in effect during the six months ended March 31, 2003 provided for fees at the following annual percentage rate of each Fund's average daily net assets indicated below. Loomis Sayles has contractually agreed, until February 1, 2004, to reduce its advisory fees and/or bear other expenses, to the extent necessary to limit the total operating expenses of each Fund, to the following percentage rate of each Fund's average daily net assets:
Maximum Expense Ratios Management --------------------------------- Fees Institutional Retail Admin Loomis Sayles Fund Class Class Class Aggressive Growth Fund 0.75% 1.00% 1.25% 1.50% Growth Fund 0.50% 0.85% 1.10% 1.35% International Equity Fund 0.75% 1.00% 1.25% 1.50% Research Fund 0.50% 0.85% 1.10% -- Small Cap Growth Fund 0.75% 1.00% 1.25% 1.50% Small Cap Value Fund 0.75% 0.90% 1.15% 1.40% Value Fund 0.50% 0.85% -- -- Worldwide Fund 0.75% 1.00% -- -- Management Maximum Loomis Sayles Investment Trust Fees Expense Ratios ---------- -------------- Mid Cap Growth Fund 0.75% 0.90% Provident Fund 0.50% 0.65% Small Company Growth Fund 0.75% 0.90%
Certain officers and employees of Loomis Sayles Funds are also officers or Trustees of the Trusts. Loomis Sayles' general partner is indirectly owned by CDC IXIS Asset Management North America, L.P., whose general partner is indirectly owned by CDC IXIS Asset Management SA ("CDC IXIS"). CDC IXIS is part of the Caisse des Depots et Consignations Group. Retail and Admin Class shares are subject to distribution fees payable to Loomis Sayles Distributors, L.P. (the "Distributor"), a subsidiary of Loomis Sayles at an annual rate of 0.25% of the respective Class' average net assets, pursuant to distribution plans NOTES adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940 ("Rule 12b-1"). Admin Class shares may pay a shareholder service fee at an annual rate of up to 0.25% of the average daily net assets attributable to Admin Class shares to securities dealers or financial intermediaries for providing personal service and account maintenance for their customers who hold such shares. Retail and Admin Class shares have exclusive voting rights with respect to their distribution plans. Loomis Sayles charges the Funds an administrative fee related to Loomis Sayles' performance of certain accounting and administrative services. For the six months ended March 31, 2003, the following amounts were incurred by the Funds: Loomis Sayles Funds Amount - ------------------- ------- Aggressive Growth Fund $ 7,194 Growth Fund 4,050 International Equity Fund 7,898 Research Fund 3,033 Small Cap Growth Fund 12,501 Small Cap Value Fund 62,558 Value Fund 6,093 Worldwide Fund 1,526 Loomis Sayles Investment Trust Amount - ------------------- ------- Mid Cap Growth Fund $ 1,046 Provident Fund 2,683 Small Company Growth Fund 5,798 On November 6, 2002, the Board of Trustees approved CDC IXIS Asset Management Services, Inc. ("CIS"), a wholly owned subsidiary of CDC IXIS Asset Management North America, L.P. to act as transfer and shareholder servicing agent for the Funds effective on February 3, 2003. CIS has subcontracted with National Financial Data Services ("NFDS") to serve as sub-transfer agent. Each Fund pays CIS service fees for servicing shareholder accounts.Institutional, Retail and Admin Classes pay service fees monthly representing the amount based on the following calculations: Loomis Sayles Funds Each Fund will pay the greater of: $15,000 or 0.026% of average daily net assets, subject however to the minimum aggregate fee set forth as follows: If the aggregate fees for all Loomis Sayles Funds payable do not equal or exceed $54,167 in any single month, the Loomis Sayles Funds will pay the minimum aggregate fee of $54,167 ($650,000 annually). Any such amount required to achieve the minimum aggregate fee will be allocated to all of the Loomis Sayles Funds based on the percentage of net assets each Fund represents of the total assets. CIS is also reimbursed by the Funds for out-of-pocket expenses. For the period from February 3, 2003, through March 31, 2003, amounts paid to CIS as compensation for its services as transfer agent were as follows: Amount ------- Aggressive Growth Fund $ 1,316 Growth Fund 1,291 International Equity Fund 1,325 Research Fund 1,280 Small Cap Growth Fund 1,394 Small Cap Value Fund 7,627 Value Fund 1,310 Worldwide Fund 1,266 Loomis Sayles Investment Trust Each Fund will pay the greater of: $12,000 or 0.01% of average daily net assets, subject however to the minimum aggregate fee set forth as follows: If the aggregate fees for all Loomis Sayles Investment Trust Funds payable do not equal or exceed $8,334 in any single month, the Loomis Sayles Investment Trust will pay the minimum aggregate fee of $8,334 ($100,000 annually). Any such amount required to achieve the minimum aggregate fee will be allocated to all of the Loomis Sayles Investment Trust Funds based on the percentage of net assets each Fund represents of the total assets. CIS is also reimbursed by the Funds for out-of-pocket expenses. For the period from February 3, 2003, through March 31, 2003, amounts paid to CIS as compensation for its services as transfer agent were as follows: Amount ------- Mid Cap Growth Fund $ 1,000 Provident Fund 1,000 Small Company Growth Fund 1,000 81 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited) The LSIT Trust has entered into a distribution agreement with Loomis Sayles Distributors, L.P. Pursuant to this agreement, Loomis Sayles Distributors, L.P. serves as principal underwriter of the various funds of the LSIT Trust and receives no fee under the agreement. A. Trustees Fees and Expenses The Trusts do not pay any compensation directly to their officers or trustees who are directors, officers or employees of Loomis Sayles, CDC IXIS Asset Management North America, L.P. or their affiliates. The Trusts pay each independent Trustee a $20,000 annual retainer fee and a $5,000 fee per in person meeting. Prior to November 6, 2002, each independent trustee of the LSF Trust was compensated by the LSF Trust on behalf of each Fund at the rate of $1,250 per Fund per year and was reimbursed for travel expenses in connection with attendance at meetings. Each independent trustee of the LSIT Trust was compensated by the LSIT Trust at the rate of $10,000 per year and was reimbursed for travel expenses in connection with attendance at meetings. At a special meeting held on May 14, 2003, the Trust's shareholders approved the nomination of the Trustees of the CDC Nvest Funds as additional Trustees of the Trust. CDC Nvest Funds is part of the CDC IXIS Asset Management North America, L.P. family of funds. B. Shareholders At March 31, 2003, CDC IXIS Asset Management North America, L.P. owned 202,176 shares, equating to 7% and 251,066 shares, equating to 86% of shares held of the Loomis Sayles Research and Provident Funds, respectively. In addition, at March 31, 2003, Loomis, Sayles & Company, L.P. Funded Pension Plan and Trust ("Pension Plan"), the Loomis, Sayles & Company, L.P. Employees' Profit Sharing Retirement and Loomis Sayles Employees' Money Purchase Plan ("Defined Contribution Plans") held shares of beneficial interest in the Funds as follows: Defined Fund Pension Plan Contribution Plans - ---- ------------ ------------------ Aggressive Growth Fund 187,842 424,094 Growth Fund 452,097 2,115,796 International Equity Fund 754,876 462,852 Research Fund 1,935,501 399,954 Small Cap Growth Fund 234,766 474,741 Small Cap Value Fund 507,184 715,439 Value Fund 423,156 574,512 Worldwide Fund 855,333 207,443 4. Line of Credit The Loomis Sayles Funds have entered into an agreement which enables each Fund to borrow up to a $25 million unsecured line of credit with State Street Bank and Trust Company. Borrowings will be made solely to temporarily finance the repurchase of capital shares. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.09% 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. During the six months ended March 31, 2003, the participating Funds had no borrowings under the agreement. 5. Capital Share Transactions The tables below summarize the transactions in Fund shares for the periods indicated:
Loomis Sayles Funds - ------------------- Loomis Sayles Aggressive Growth Fund ------------------------------------------------------------------- Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 359,809 $ 3,959,594 528,873 $ 7,971,562 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (376,567) (4,025,027) (480,585) (7,035,410) -------- ------------ ---------- ------------ Net change (16,758) $ (65,433) 48,288 $ 936,152 ======== ============ ========== ============ Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 554,354 $ 5,947,975 1,502,072 $ 21,291,204 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (956,246) (10,162,130) (2,046,527) (28,777,079) -------- ------------ ---------- ------------ Net change (401,892) $ (4,214,155) (544,455) $ (7,485,875) ======== ============ ========== ============
NOTES
Loomis Sayles Aggressive Growth Fund (continued) ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Admin Class Shares Shares Amount Shares Amount Issued from the sale of shares 29,865 $ 315,553 171,038 $ 2,544,174 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (51,254) (538,395) (106,982) (1,532,841) ------- --------- -------- ----------- Net change (21,389) $(222,842) 64,056 $ 1,011,333 ======= ========= ======== =========== Loomis Sayles Growth Fund ----------------------------------------------------------------- Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,526,829 $ 6,042,748 1,092,062 $ 4,833,822 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (884,255) (3,448,690) (979,446) (4,445,364) ---------- ----------- ---------- ----------- Net change 642,574 $ 2,594,058 112,616 $ 388,458 ========== =========== ========== =========== Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 26,762 $ 105,482 16,803 $ 78,394 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (7,445) (28,490) (17,443) (81,138) ---------- ----------- ---------- ----------- Net change 19,317 $ 76,992 (640) $ (2,744) ========== =========== ========== =========== Admin Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,223 $ 4,644 4,658 $ 21,605 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (884) (3,419) (1,440) (6,703) ---------- ----------- ---------- ----------- Net change 339 $ 1,225 3,218 $ 14,902 ========== =========== ========== =========== Loomis Sayles International Equity Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,641,123 $ 12,997,894 5,367,767 $ 48,858,532 Issued in connection with the reinvestment of distributions 8,422 68,472 16,890 166,534 Redeemed 2,247,475) (18,023,626) (5,347,487) (48,962,671) ---------- ------------ ---------- ------------ Net change (597,930) $ (4,957,260) 37,170 $ 62,395 ========== ============ ========== ============ Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 398,307 $ 2,986,657 1,172,999 $ 11,040,404 Issued in connection with the reinvestment of distributions 0 0 467 4,568 Redeemed (397,898) (3,083,954) (1,293,625) (12,252,951) ---------- ------------ ---------- ------------ Net change 409 $ (97,297) (120,159) $ (1,207,979) ========== ============ ========== ============ Admin Class Shares Shares Amount Shares Amount Issued from the sale of shares 66,246 $ 490,609 135,351 $ 1,315,439 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (70,973) (547,851) (119,643) (1,169,201) ---------- ------------ ---------- ------------ Net change (4,727) $ (57,242) 15,708 $ 146,238 ========== ============ ========== ============
83 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited)
Loomis Sayles Research Fund ---------------------------------------------------------------- Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 326,228 $ 1,974,141 2,556,524 $ 18,596,223 Issued in connection with the reinvestment of distributions 13,233 81,513 2,571 19,617 Redeemed (176,988) (1,075,622) (394,931) (2,951,016) -------- ----------- ---------- ------------ Net change 162,473 $ 980,032 2,164,164 $ 15,664,824 ======== =========== ========== ============ Retail Class Shares Shares Amount Shares* Amount* Issued from the sale of shares 2,958 $ 18,168 3,021 $ 20,548 Issued in connection with the reinvestment of distributions 11 66 0 0 Redeemed 0 0 (5) (40) -------- ----------- ---------- ------------ Net change 2,969 $ 18,234 3,016 $ 20,508 ======== =========== ========== ============ *From November 30, 2001, commencement of class operations. Loomis Sayles Small Cap Growth Fund ----------------------------------------------------------------- Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,216,503 $ 8,084,690 3,459,066 $ 34,155,261 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (4,302,627) (26,880,642) (10,873,243) (101,206,294) ---------- ------------ ----------- ------------- Net change (3,086,124) $(18,795,952) (7,414,177) $ (67,051,033) ========== ============ =========== ============= Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,756,929 $ 11,371,330 3,922,968 $ 34,209,113 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (2,839,729) (18,182,850) (4,543,620) (38,680,650) ---------- ------------ ----------- ------------- Net change (1,082,800) $ (6,811,520) (620,652) $ (4,471,537) ========== ============ =========== ============= Admin Class Shares Shares Amount Shares Amount Issued from the sale of shares 46,488 $ 301,255 210,388 $ 1,951,920 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (75,930) (480,477) (182,328) (1,694,919) ---------- ------------ ----------- ------------- Net change (29,442) $ (179,222) 28,060 $ 257,001 ========== ============ =========== ============= Loomis Sayles Small Cap Value Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,018,921 $ 18,083,740 3,116,097 $ 64,829,647 Issued from subscriptions-in-kind* 0 0 1,255,230 27,702,947 Issued in connection with the reinvestment of distributions 0 0 1,260,305 24,587,467 Redeemed (1,208,504) (21,084,042) (2,902,055) (59,739,299) ---------- ------------ ---------- ------------ Net change (189,583) $ (3,000,302) 2,729,577 $ 57,380,762 ========== ============ ========== ============ Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,911,096 $ 33,510,722 3,822,059 $ 78,710,499 Issued in connection with the reinvestment of distributions 0 0 573,075 11,150,920 Redeemed (1,136,894) (19,948,927) (4,274,877) (82,423,287) ---------- ------------ ---------- ------------ Net change 774,202 $ 13,561,795 120,257 $ 7,438,132 ========== ============ ========== ============
NOTES
Loomis Sayles Small Cap Value Fund (continued) ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Admin Class Shares Shares Amount Shares Amount Issued from the sale of shares 677,175 $ 11,867,581 874,273 $ 17,948,150 Issued in connection with the reinvestment of distributions 0 0 66,334 1,285,090 Redeemed (626,635) (11,184,626) (338,592) (6,891,447) -------- ------------ -------- ------------ Net change 50,540 $ 682,955 602,015 $ 12,341,793 ======== ============ ======== ============
*Issued in exchange for portfolio securities distributed in-kind by the Loomis Sayles Small Company Value Fund to shareholders thereof and contributed to the Fund in-kind by such shareholders on April 11, 2002.
Loomis Sayles Value Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 194,482 $ 2,350,725 424,683 $ 5,897,759 Issued in connection with the reinvestment of distributions 18,887 230,605 82,149 1,189,751 Redeemed (243,699) (2,888,454) (395,578) (5,534,564) ======== =========== ======== =========== Net change (30,330) $ (307,124) 111,254 $ 1,552,946 ======== =========== ======== =========== Loomis Sayles Worldwide Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 359,979 $ 2,852,908 330,144 $ 2,533,173 Issued in connection with the reinvestment of distributions 36,904 284,900 92,976 747,527 Redeemed (374,692) (2,952,660) (320,936) (2,471,803) ======== =========== ======== =========== Net change 22,191 $ 185,148 102,184 $ 808,897 ======== =========== ======== ===========
Loomis Sayles Investment Trust - ------------------------------
Loomis Sayles Mid Cap Growth Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Shares Amount Shares Amount Issued from the sale of shares 0 $0 23 $150 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed 0 0 0 0 - -- -- ---- Net change 0 $0 23 $150 = == == ==== Loomis Sayles Provident Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Shares Amount Shares Amount Issued from the sale of shares 253,047 $ 1,718,500 145,579 $ 1,000,150 Issued in connection with the reinvestment of distributions 11,808 82,180 41,454 335,784 Redeemed (2,541,598) (17,520,463) (123,915) (1,000,000) ---------- ------------ -------- ----------- Net change (2,276,743) $(15,719,783) 63,118 $ 335,934 ========== ============ ======== ===========
85 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited)
Loomis Sayles Small Company Growth Fund ------------------------------------------------------------------ Six Months Ended March 31, 2003 Year Ended September 30, 2002 Shares Amount Shares Amount Issued from the sale of shares 359,481 $ 2,250,014 1,656,321 $ 15,505,325 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (6,021,901) (34,670,694) (1,969,988) (16,432,491) ---------- ------------ ---------- ------------ Net change (5,662,420) $(32,420,680) (313,667) $ (927,166) ========== ============ ========== ============
Subsequent Events On February 5, 2003, the Board of Trustees approved the closing of the Admin Class of shares of the Loomis Sayles Aggressive Growth, Growth, International Equity, and the Small Cap Growth Funds. It is expected that on or about May 21, 2003, the then outstanding Admin Class shares will be automatically converted into Retail Class Shares having the same aggregate net asset value as the shares converted. On May 7, 2003 the Board of Trustees approved a new tax-managed approach for the Loomis Sayles Provident Fund as a principal investment strategy for the Fund effective June 1, 2003. In light of this new investment strategy the Board also voted to change the name of the Fund to the Loomis Sayles Tax-Managed Equity Fund effective June 1, 2003. THIS PAGE INTENTIONALLY LEFT BLANK 87 THIS PAGE INTENTIONALLY LEFT BLANK [LOGO] LOOMIS SAYLES FUNDS LOOMIS SAYLES INVESTMENT TRUST One Financial Center Boston, MA 02111 www.loomissayles.com tel (800) 633-3330 -----END PRIVACY-ENHANCED MESSAGE-----