BHLB Berkshire Hills Bancorp Inc

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04323

 

 

Natixis Funds Trust I

(Exact name of registrant as specified in charter)

 

 

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

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

Date of fiscal year end: December 31

Date of reporting period: September 30, 2012

 

 

 

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ITEM I

SCHEDULE OF INVESTMENTS

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PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

Absolute Asia Dynamic Equity Fund

 

Shares				Description		Value (†)
	Common Stocks – 97.0% of Net Assets
				Australia – 16.8%
	3,794			BHP Billiton Ltd.		$	129,637
	28,476			Incitec Pivot Ltd.			87,438
	3,309			Newcrest Mining Ltd.			99,472
	23,497			Paladin Energy Ltd.(b)			30,058
	1,749			Rio Tinto Ltd.			96,068
							442,673
				China – 18.7%
	48,000			Brilliance China Automotive Holdings Ltd.(b)			52,724
	72,000			China National Building Material Co. Ltd., Class H			78,862
	42,000			CNOOC Ltd.			85,167
	31,000			Digital China Holdings Ltd.			49,197
	314,000			Qingling Motors Co. Ltd., Class H			69,764
	42,000			Shanghai Friendship Group, Inc., Co., Class B			47,522
	36,000			Weichai Power Co. Ltd., Class H			109,884
							493,120
				Hong Kong – 13.6%
	720,000			Emperor Watch & Jewellery Ltd.			76,381
	11,421			Henderson Land Development Co. Ltd.			81,498
	5,200			Hong Kong Aircraft Engineering Co. Ltd.			69,111
	4,577			Hong Kong Exchanges & Clearing Ltd.			68,705
	30,000			Lifestyle International Holdings Ltd.			61,529
							357,224
				India – 5.4%
	1,800			Infosys Ltd., Sponsored ADR			87,372
	3,362			Mahindra & Mahindra Ltd., Sponsored GDR			54,123
							141,495
				Indonesia – 5.8%
	119,500			Astra International Tbk PT			92,106
	39,500			Semen Gresik Persero Tbk PT			59,476
							151,582
				Korea – 14.7%
	1,870			Hotel Shilla Co. Ltd.			92,941
	355			Hyundai Mobis			98,692
	640			Hyundai Motor Co.			144,356
	2,550			SK Hynix, Inc.(b)			51,823
							387,812
				Malaysia – 7.0%
	50,200			Gamuda Bhd			56,376
	17,800			Kuala Lumpur Kepong Bhd			128,317
							184,693
				Taiwan – 10.0%
	5,500			Formosa International Hotels Corp.			65,728

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Shares				Description		Value (†)
	Common Stocks – continued
				Taiwan – continued
	5,000			MediaTek, Inc.		$	52,645
	29,000			Quanta Computer, Inc.			76,892
	11,165			Simplo Technology Co. Ltd.			66,640
							261,905
				Thailand – 4.2%
	199,000			Asian Property Development PCL(c)			58,420
	95,100			Central Plaza Hotel PCL(c)			53,325
							111,745
				United States – 0.8%
	28,618			GI Dynamics, Inc.(b)			21,225
				Total Common Stocks (Identified Cost $2,556,062)			2,553,474
Principal Amount
	Short-Term Investments – 5.3%
	$139,057			Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $139,057 on 10/01/2012 collateralized by $140,000 Federal National Mortgage Association, 2.750% due 4/16/2019 valued at $147,000 including accrued interest(d) (Identified Cost $139,057)			139,057
				Total Investments – 102.3% (Identified Cost $2,695,119)(a)			2,692,531
				Other assets less liabilities – (2.3)%			(59,644	)
				Net Assets – 100.0%		$	2,632,887

 

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Investments in other open-end investment companies are valued at their net asset value each day.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. At September 30, 2012, approximately 91% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees.

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The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2012, the net unrealized depreciation on investments based on a cost of $2,695,119 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	244,844
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(247,432	)
Net unrealized depreciation		$	(2,588	)

At December 31, 2011, the Fund had a long-term capital loss carryforward of $77,936 with no expiration date and post-October capital loss deferrals of $58. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b)	Non-income producing security.

(c)	Fair valued security by the Fund’s investment adviser. At September 30, 2012, the value of these securities amounted to $111,745 or 4.2% of net assets.

(d)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

ADR/GDR An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs and GDRs may be significantly influenced by trading on exchanges not located in the United States.

Fair Value Measurements

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

 

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

 

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

 

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Common Stocks
Australia		$	—			$	442,673			$	—			$	442,673
China			—				493,120				—				493,120
Hong Kong			—				357,224				—				357,224
India			87,372				54,123				—				141,495
Indonesia			—				151,582				—				151,582
Korea			—				387,812				—				387,812
Malaysia			—				184,693				—				184,693
Taiwan			—				261,905				—				261,905
Thailand			—				111,745				—				111,745
United States			21,225				—				—				21,225
Total Common Stocks			108,597				2,444,877				—				2,553,474
Short-Term Investments			—				139,057				—				139,057
Total		$	108,597			$	2,583,934			$	—			$	2,692,531

 

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For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

Subsequent Event

On November 16, 2012, the Board of Trustees approved the liquidation and termination of the Fund. The sale of the Fund’s assets and the corresponding liquidating distributions to shareholders will be completed on or around December 18, 2012.

Industry Summary at September 30, 2012 (Unaudited)

 

Automobiles			15.7	%
Metals & Mining			12.4
Hotels, Restaurants & Leisure			8.0
Computers & Peripherals			5.5
Real Estate Management & Development			5.3
Construction Materials			5.3
Food Products			4.9
Oil, Gas & Consumable Fuels			4.3
Machinery			4.2
Semiconductors & Semiconductor Equipment			4.0
Auto Components			3.7
Chemicals			3.3
IT Services			3.3
Specialty Retail			2.9
Transportation Infrastructure			2.6
Diversified Financial Services			2.6
Multiline Retail			2.4
Construction & Engineering			2.1
Other Investments, less than 2% each			4.5
Short-Term Investments			5.3
Total Investments			102.3
Other assets less liabilities			(2.3	)
Net Assets			100.0	%

Currency Exposure Summary at September 30, 2012 (Unaudited)

 

Hong Kong Dollar			30.5	%
Australian Dollar			17.6
South Korean Won			14.7
United States Dollar			12.5
New Taiwan Dollar			10.0
Malaysian Ringgit			7.0
Indonesian Rupiah			5.8
Thai Baht			4.2
Total Investments			102.3
Other assets less liabilities			(2.3	)
Net Assets			100.0	%

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PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

CGM Advisor Targeted Equity Fund

 

Shares				Description		Value (†)
	Common Stocks – 98.1% of Net Assets
				Automobiles – 4.8%
	2,600,000			Ford Motor Co.		$	25,636,000
				Capital Markets – 7.3%
	2,330,000			Morgan Stanley			39,004,200
				Chemicals – 5.6%
	330,000			Monsanto Co.			30,036,600
				Diversified Financial Services – 17.8%
	1,500,000			Bank of America Corp.			13,245,000
	1,325,000			Citigroup, Inc.			43,354,000
	960,000			JPMorgan Chase & Co.			38,860,800
							95,459,800
				Health Care Providers & Services – 4.6%
	740,000			HCA Holdings, Inc.			24,605,000
				Insurance – 10.3%
	600,000			MetLife, Inc.			20,676,000
	630,000			Prudential Financial, Inc.			34,341,300
							55,017,300
				Internet Software & Services – 5.2%
	37,000			Google, Inc., Class A(b)			27,916,500
				IT Services – 5.3%
	212,000			Visa, Inc., Class A			28,467,360
				Media – 10.3%
	745,000			CBS Corp., Class B			27,065,850
	1,150,000			News Corp., Class A			28,209,500
							55,275,350
				Multiline Retail – 11.9%
	960,000			Macy’s, Inc.			36,115,200
	500,000			Nordstrom, Inc.			27,590,000
							63,705,200
				Oil, Gas & Consumable Fuels – 8.8%
	260,000			Chevron Corp.			30,305,600
	510,000			Suncor Energy, Inc.			16,753,500
							47,059,100
				Tobacco – 6.2%
	370,000			Philip Morris International, Inc.			33,277,800
				Total Common Stocks (Identified Cost $499,049,634)			525,460,210

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Principal Amount		Description		Value (†)
Short-Term Investments – 2.7%
$14,000,000		American Express Credit Corp., Commercial Paper, 0.010%, 10/01/2012		$	14,000,000
410,988		Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $410,989 on 10/01/2012 collateralized by $420,000 Federal National Mortgage Association, 3.400% due 9/27/2032 valued at $419,475 including accrued interest(c)			410,988
		Total Short-Term Investments (Identified Cost $14,410,988)			14,410,988
		Total Investments – 100.8% (Identified Cost $513,460,622)(a)			539,871,198
		Other assets less liabilities – (0.8)%			(4,110,228	)
		Net Assets – 100.0%		$	535,760,970

 

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2012, the net unrealized appreciation on investments based on a cost of $513,460,622 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	44,010,784
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(17,600,208	)
Net unrealized appreciation		$	26,410,576

At December 31, 2011, the Fund had a short-term capital loss carryforward of $15,907,530 which expires on December 31, 2017. At December 31, 2011, post-October capital loss deferrals were $3,767,300. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b)	Non-income producing security.

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(c)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

Fair Value Measurements

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

 

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

 

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

 

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Common Stocks*		$	525,460,210			$	—			$	—			$	525,460,210
Short-Term Investments			—				14,410,988				—				14,410,988
Total		$	525,460,210			$	14,410,988			$	—			$	539,871,198

 

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at September 30, 2012 (Unaudited)

 

Diversified Financial Services			17.8	%
Multiline Retail			11.9
Media			10.3
Insurance			10.3
Oil, Gas & Consumable Fuels			8.8
Capital Markets			7.3
Tobacco			6.2
Chemicals			5.6
IT Services			5.3
Internet Software & Services			5.2
Automobiles			4.8
Health Care Providers & Services			4.6
Short-Term Investments			2.7
Total Investments			100.8
Other assets less liabilities			(0.8	)
Net Assets			100.0	%

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PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

Hansberger International Fund

 

Shares				Description		Value (†)
	Common Stocks – 96.4% of Net Assets
				Australia – 2.2%
	54,385			Westpac Banking Corp.		$	1,394,477
				Canada – 4.3%
	23,870			Potash Corp. of Saskatchewan, Inc.			1,036,435
	30,863			Suncor Energy, Inc.			1,013,850
	23,403			Teck Resources Ltd., Class B			689,218
							2,739,503
				China – 18.0%
	1,603,000			China Construction Bank Corp., Class H			1,105,573
	628,000			China Overseas Land & Investment Ltd.			1,587,507
	748,000			China Resources Land Ltd.			1,635,287
	198,500			China Shenhua Energy Co. Ltd., Class H			764,475
	1,968,000			China State Construction International Holdings Ltd.			2,306,927
	892,000			China Unicom Hong Kong Ltd.			1,453,612
	186,500			Ping An Insurance (Group) Co. of China Ltd., Class H			1,396,529
	15,200			Tencent Holdings Ltd.			516,165
	245,600			Weichai Power Co. Ltd., Class H			749,651
							11,515,726
				Denmark – 2.3%
	9,243			Novo Nordisk A/S, Class B			1,454,606
				France – 4.9%
	97,917			AXA S.A.			1,457,755
	22,311			BNP Paribas S.A.			1,057,789
	36,617			Faurecia			605,669
							3,121,213
				Germany – 3.9%
	18,733			Adidas AG			1,537,253
	13,252			SAP AG, Sponsored ADR			945,265
							2,482,518
				India – 4.3%
	41,052			HDFC Bank Ltd., ADR			1,542,734
	30,911			ICICI Bank Ltd., Sponsored ADR			1,240,768
							2,783,502
				Italy – 2.2%
	190,000			Prada SpA			1,414,013
				Japan – 7.3%
	42,300			Canon, Inc.			1,357,732
	6,500			FANUC Corp.			1,046,228
	58,000			Toyota Motor Corp.			2,274,139
							4,678,099
				Korea – 4.8%
	6,699			Hyundai Motor Co.			1,511,006

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Shares				Description		Value (†)
	Common Stocks – continued
	Korea – continued
	2,585			Samsung Electronics Co. Ltd., GDR, 144A		$	1,556,170
							3,067,176
				Norway – 3.5%
	25,652			Subsea 7 S.A.			592,545
	83,043			Telenor ASA			1,620,807
							2,213,352
				Spain – 2.7%
	52,187			Grifols S.A.(b)			1,724,954
				Sweden – 1.2%
	56,577			Sandvik AB			769,502
				Switzerland – 10.0%
	54,398			ABB Ltd., (Registered)(b)			1,020,679
	40,764			Cie Financiere Richemont S.A., Class A			2,447,600
	23,477			Holcim Ltd., (Registered)(b)			1,495,273
	7,519			Roche Holding AG			1,406,404
							6,369,956
				Taiwan – 2.5%
	252,061			Hon Hai Precision Industry Co. Ltd., Sponsored GDR			1,579,160
				United Kingdom – 22.3%
	78,326			Barclays PLC, Sponsored ADR			1,086,382
	70,171			BG Group PLC			1,419,890
	24,386			BHP Billiton PLC			761,527
	114,875			BP PLC			809,854
	18,672			British American Tobacco PLC			959,430
	194,829			Prudential PLC			2,529,905
	108,257			Rolls-Royce Holdings PLC(b)			1,476,808
	42,858			Standard Chartered PLC			971,115
	233,089			Tesco PLC			1,251,690
	35,809			Unilever PLC			1,307,455
	97,683			Vedanta Resources PLC			1,629,611
							14,203,667
				Total Common Stocks (Identified Cost $57,494,099)			61,511,424
	Preferred Stocks – 1.5%
				Germany – 1.5%
	5,326			Volkswagen AG (Identified Cost $907,027)			973,834
	Exchange Traded Funds – 0.9%
				United States – 0.9%
	7,458			iShares MSCI EAFE Index Fund			395,274
	3,529			Vanguard MSCI Emerging Markets ETF			147,336
				Total Exchange Traded Funds (Identified Cost $533,054)			542,610

 

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Principal Amount				Description		Value (†)
	Short-Term Investments – 0.7%
	$448,240			Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $448,240 on 10/01/2012 collateralized by $455,000 Federal Home Loan Mortgage Corp., 3.000% due 8/01/2019 valued at $466,739 including accrued interest(c) (Identified Cost $448,240)		$	448,240
				Total Investments – 99.5% (Identified Cost $59,382,420)(a)			63,476,108
				Other assets less liabilities – 0.5%			304,724
				Net Assets – 100.0%		$	63,780,832

 

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Investments in other open-end investment companies are valued at their net asset value each day.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. At September 30, 2012, approximately 82% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales):

At September 30, 2012, the net unrealized appreciation on investments based on a cost of $59,382,420 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	6,026,589
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(1,932,901	)
Net unrealized appreciation		$	4,093,688

At December 31, 2011, the Fund had a short-term capital loss carryforward of $14,311,241 which expires on December 31, 2017. At December 31, 2011, post-October capital loss deferrals were $2,679,619. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b)	Non-income producing security.

---

(c)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

 

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2012, the value of Rule 144A holdings amounted to $1,556,170 or 2.4% of net assets.

 

ADR/GDR

An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs and GDRs may be significantly influenced by trading on exchanges not located in the United States.

 

ETF	Exchange Trade Fund

Fair Value Measurements

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

 

•

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

 

•

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

 

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Common Stocks
Australia		$	—			$	1,394,477			$	—			$	1,394,477
China			—				11,515,726				—				11,515,726
Denmark			—				1,454,606				—				1,454,606
France			—				3,121,213				—				3,121,213
Germany			945,265				1,537,253				—				2,482,518
Italy			—				1,414,013				—				1,414,013
Japan			—				4,678,099				—				4,678,099
Korea			1,556,170				1,511,006				—				3,067,176
Norway			—				2,213,352				—				2,213,352
Spain			—				1,724,954				—				1,724,954
Sweden			—				769,502				—				769,502
Switzerland			—				6,369,956				—				6,369,956
United Kingdom			1,086,382				13,117,285				—				14,203,667
All Other Common Stocks*			7,102,165				—				—				7,102,165
Total Common Stocks			10,689,982				50,821,442				—				61,511,424
Preferred Stocks*			—				973,834				—				973,834
Exchange Traded Funds			542,610				—				—				542,610
Short-Term Investments			—				448,240				—				448,240
Total		$	11,232,592			$	52,243,516			$	—			$	63,476,108

 

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

---

Industry Summary at September 30, 2012 (Unaudited)

 

Commercial Banks			13.1	%
Textiles, Apparel & Luxury Goods			8.5
Insurance			8.4
Automobiles			7.5
Oil, Gas & Consumable Fuels			6.3
Real Estate Management & Development			5.0
Metals & Mining			4.9
Diversified Telecommunication Services			4.9
Pharmaceuticals			4.5
Machinery			4.0
Construction & Engineering			3.6
Biotechnology			2.7
Electronic Equipment, Instruments & Components			2.5
Semiconductors & Semiconductor Equipment			2.4
Construction Materials			2.4
Aerospace & Defense			2.3
Office Electronics			2.1
Food Products			2.0
Food & Staples Retailing			2.0
Other Investments, less than 2% each			9.7
Short-Term Investments			0.7
Total Investments			99.5
Other assets less liabilities			0.5
Net Assets			100.0	%

Currency Exposure Summary at September 30, 2012 (Unaudited)

 

British Pound			20.6	%
Hong Kong Dollar			20.2
United States Dollar			18.3
Euro			11.5
Swiss Franc			10.0
Japanese Yen			7.3
Norwegian Krone			3.5
South Korean Won			2.4
Danish Krone			2.3
Australian Dollar			2.2
Swedish Krona			1.2
Total Investments			99.5
Other assets less liabilities			0.5
Net Assets			100.0	%

---

PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

Natixis Diversified Income Fund

 

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – 45.4% of Net Assets
	Non-Convertible Bonds – 43.4%
				ABS Home Equity – 0.3%
$	5,194			Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.991%, 1/25/2035(b)		$	4,796
	31,676			Citicorp Mortgage Securities, Inc., Series 2006-5, Class 1A2, 6.000%, 10/25/2036			32,189
	25,000			Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035			20,930
	32,094			Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.775%, 9/20/2034(b)			29,093
	44,673			Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.487%, 4/25/2035(b)			32,281
	96,882			GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.586%, 7/19/2035(b)			88,116
	13,232			GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.893%, 12/25/2034(b)			11,302
	13,720			Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.537%, 7/25/2045(b)			10,468
	66,141			JP Morgan Mortgage Trust, Series 2007-A1, Class 5A1, 2.945%, 7/25/2035(b)			65,971
	22,893			Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A2, 0.487%, 11/25/2035(b)			20,956
	70,890			New York Mortgage Trust, Series 2006-1, Class 2A2, 2.951%, 5/25/2036(b)			58,737
	12,768			WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.958%, 12/25/2046(b)			10,894
	27,548			WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.908%, 4/25/2047(b)			22,671
							408,404
				Aerospace & Defense – 0.2%
	200,000			Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A			163,889
	100,000			Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A			88,493
							252,382
				Airlines – 1.1%
	40,231			Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022			45,964
	13,680			Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023			15,253
	799,780			UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024			835,770
	130,000			US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026			137,475
	115,000			US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021			118,450
	205,000			US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015			208,075
							1,360,987

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Automotive – 0.1%
$	25,000			Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		$	26,500
	40,000			Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028			40,100
							66,600
				Banking – 2.7%
	500,000			Bank of Montreal, 1.950%, 1/30/2018			523,850
	500,000			Bank of Nova Scotia, 1.950%, 1/30/2017			523,850
	105,000			Citigroup, Inc., 5.875%, 2/22/2033			110,898
	25,000			Citigroup, Inc., 6.000%, 10/31/2033			26,952
	20,000			Citigroup, Inc., 6.125%, 8/25/2036			21,717
	185,000			Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.875%, 2/08/2022			196,339
	300,000			HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A			304,500
	400,000			Merrill Lynch & Co., Inc., 6.110%, 1/29/2037			424,347
	100,000			Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034			103,102
	210,000			Morgan Stanley, 5.500%, 7/24/2020			226,738
	100,000			Morgan Stanley, 5.750%, 1/25/2021			109,765
	175,000			Morgan Stanley, 8.000%, 5/09/2017, (AUD)			196,289
	100,000			Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)			109,886
	40,000			Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)			33,164
	150,000			Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)			196,148
	200,000			Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A			214,620
							3,322,165
				Brokerage – 0.1%
	25,000			Jefferies Group, Inc., 6.250%, 1/15/2036			24,750
	20,000			Jefferies Group, Inc., 6.450%, 6/08/2027			20,500
	95,000			Jefferies Group, Inc., 6.875%, 4/15/2021			102,244
							147,494
				Building Materials – 0.6%
	170,000			Masco Corp., 5.850%, 3/15/2017			184,561
	40,000			Masco Corp., 6.500%, 8/15/2032			41,421

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Building Materials – continued
$	15,000			Masco Corp., 7.750%, 8/01/2029		$	15,847
	525,000			USG Corp., 6.300%, 11/15/2016			530,250
	10,000			USG Corp., 9.750%, 1/15/2018			10,800
							782,879
				Chemicals – 0.2%
	200,000			Hercules, Inc., 6.500%, 6/30/2029			183,000
	25,000			Methanex Corp., 5.250%, 3/01/2022			26,708
	55,000			Methanex Corp., Senior Note, 6.000%, 8/15/2015			58,612
							268,320
				Collateralized Mortgage Obligations – 0.1%
	20,043			American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.559%, 10/25/2034(b)			16,852
	14,712			Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 3.004%, 2/25/2035(b)			14,075
	10,427			Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.834%, 7/25/2034(b)			9,953
	57,087			MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.377%, 1/25/2047(b)			36,492
	75,000			Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035			72,058
							149,430
				Commercial Mortgage-Backed Securities – 1.0%
	265,000			Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040			300,978
	75,000			CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048			75,971
	200,000			DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.728%, 11/10/2046, 144A(b)			198,391
	185,000			GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.983%, 8/10/2045(b)			172,304
	25,000			JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049			25,446
	100,000			Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.759%, 4/12/2049(b)			97,264
	100,000			Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.983%, 8/12/2045, 144A(b)			108,272
	130,000			Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AM, 5.603%, 10/15/2048			134,615
	125,000			WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.646%, 2/15/2044, 144A(b)			121,468
							1,234,709
				Diversified Manufacturing – 0.2%
	200,000			Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A			215,500

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Electric – 0.9%
$	500,000			EDP Finance BV, 4.900%, 10/01/2019, 144A		$	465,000
	115,000,000			Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)			72,210
	88,000,000			Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)			54,767
	100,000			Enel Finance International NV, 5.125%, 10/07/2019, 144A			103,831
	300,000			Enel Finance International NV, 6.000%, 10/07/2039, 144A			269,762
	20,000			NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)			2,600
	35,000			Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A			27,388
	135,000			TXU Corp., Series Q, 6.500%, 11/15/2024			80,325
							1,075,883
				Financial Other – 0.1%
	110,000			Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A			112,134
				Food & Beverage – 0.0%
	50,000			Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)			55,661
				Gaming – 0.3%
	50,000			Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp., 8.375%, 2/15/2018, 144A			52,000
	145,000			MGM Resorts International, 6.750%, 10/01/2020, 144A			145,000
	150,000			MGM Resorts International, 7.500%, 6/01/2016			160,500
	40,000			MGM Resorts International, 8.625%, 2/01/2019, 144A			43,600
							401,100
				Government Guaranteed – 1.2%
	1,245,000			Canada Housing Trust No. 1, 3.600%, 6/15/2013, (CAD)(e)			1,288,336
	165,000			Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)			156,816
							1,445,152
				Government Owned - No Guarantee – 0.2%
	250,000			Kommunalbanken AS, 2.375%, 1/19/2016			263,544
				Government Sponsored – 0.2%
	265,000			Eksportfinans ASA, 2.000%, 9/15/2015			247,775
	30,000			Eksportfinans ASA, 2.375%, 5/25/2016			27,750
							275,525

 

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Healthcare – 1.1%
$	25,000			HCA, Inc., 7.050%, 12/01/2027		$	23,625
	5,000			HCA, Inc., 7.500%, 12/15/2023			5,050
	460,000			HCA, Inc., 7.500%, 11/06/2033			450,800
	310,000			HCA, Inc., 7.690%, 6/15/2025			314,650
	20,000			HCA, Inc., 8.360%, 4/15/2024			20,950
	135,000			HCA, Inc., MTN, 7.580%, 9/15/2025			135,675
	30,000			HCA, Inc., MTN, 7.750%, 7/15/2036			29,775
	345,000			Owens & Minor, Inc., 6.350%, 4/15/2016(d)			377,285
							1,357,810
				Home Construction – 0.8%
	80,000			Beazer Homes USA, Inc., 9.125%, 5/15/2019			80,400
	80,000			Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A			81,600
	105,000			KB Home, 7.250%, 6/15/2018			113,138
	150,000			KB Home, 7.500%, 9/15/2022			162,375
	80,000			Pulte Group, Inc., 6.000%, 2/15/2035			72,400
	470,000			Pulte Group, Inc., 6.375%, 5/15/2033			437,100
							947,013
				Independent Energy – 0.8%
	30,000			Chesapeake Energy Corp., 6.875%, 11/15/2020			31,650
	105,000			Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A			90,300
	400,000			OGX Austria GmbH, 8.375%, 4/01/2022, 144A			348,000
	142,000			Pioneer Natural Resources Co., 7.200%, 1/15/2028			177,605
	50,000			SandRidge Energy, Inc., 7.500%, 2/15/2023, 144A			51,500
	75,000			SandRidge Energy, Inc., 8.000%, 6/01/2018, 144A			78,750
	45,000			SandRidge Energy, Inc., 8.125%, 10/15/2022, 144A			47,925
	105,000			Southwestern Energy Co., 4.100%, 3/15/2022, 144A			111,446
							937,176
				Life Insurance – 0.4%
	85,000			American International Group, Inc., 4.875%, 6/01/2022			95,791

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Life Insurance – continued
$	300,000			American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		$	367,125
							462,916
				Local Authorities – 1.6%
	140,000			New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)			164,171
	235,000			Province of Ontario, Canada, 2.950%, 2/05/2015			248,722
	780,000			Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)			885,015
	535,000			Province of Ontario, Canada, 4.750%, 1/19/2016			605,192
	140,000			Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)			126,602
							2,029,702
				Lodging – 0.1%
	35,000			Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027			37,013
	25,000			Wyndham Worldwide Corp., 5.750%, 2/01/2018			28,148
	1,000			Wyndham Worldwide Corp., 6.000%, 12/01/2016			1,126
	50,000			Wyndham Worldwide Corp., 7.375%, 3/01/2020			60,241
							126,528
				Media Cable – 0.0%
	20,000			CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/2020			22,325
				Media Non-Cable – 0.1%
	110,000			R.R. Donnelley & Sons Co., 7.250%, 5/15/2018			109,175
	35,000			R.R. Donnelley & Sons Co., 8.250%, 3/15/2019			35,525
							144,700
				Metals & Mining – 1.1%
	100,000			AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022			101,833
	245,000			ArcelorMittal, 5.750%, 3/01/2021			233,419
	125,000			ArcelorMittal, 6.125%, 6/01/2018			124,181
	10,000			ArcelorMittal, 6.500%, 2/25/2022			9,850
	225,000			ArcelorMittal, 7.000%, 3/01/2041			202,274
	100,000			ArcelorMittal, 7.250%, 10/15/2039			91,479
	175,000			Arch Coal, Inc., 7.250%, 6/15/2021			146,125

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Metals & Mining – continued
$	325,000			Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A		$	327,191
	10,000			United States Steel Corp., 6.650%, 6/01/2037			8,400
	145,000			Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A			155,351
							1,400,103
				Mortgage Related – 1.8%
	443,727			FHLMC, 3.500%, 8/01/2042			476,694
	1,670,139			FNMA, 3.500%, 4/01/2042			1,793,125
							2,269,819
				Non-Captive Consumer – 1.0%
	55,000			Residential Capital LLC, 9.625%, 5/15/2015(c)			55,069
	180,000			SLM Corp., MTN, 7.250%, 1/25/2022			201,600
	65,000			SLM Corp., Series A, MTN, 5.000%, 6/15/2018			65,101
	397,000			SLM Corp., Series A, MTN, 5.625%, 8/01/2033			374,768
	115,000			SLM Corp., Series A, MTN, 8.450%, 6/15/2018			134,690
	505,000			Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017			429,250
							1,260,478
				Non-Captive Diversified – 1.2%
	25,000			Aircastle Ltd., 7.625%, 4/15/2020			27,687
	480,000			Ally Financial, Inc., 4.625%, 6/26/2015			492,239
	64,000			Ally Financial, Inc., 8.000%, 11/01/2031			74,624
	400,000			General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/15/2049			445,768
	15,000			General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)			13,355
	80,000			International Lease Finance Corp., 5.875%, 4/01/2019			84,823
	80,000			International Lease Finance Corp., 6.250%, 5/15/2019			86,000
	35,000			International Lease Finance Corp., 8.250%, 12/15/2020			41,650
	105,000			International Lease Finance Corp., 8.625%, 1/15/2022			126,787
	70,000			Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A			71,400
							1,464,333

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Paper – 0.2%
$	205,000			Weyerhaeuser Co., 6.875%, 12/15/2033		$	238,133
	5,000			Weyerhaeuser Co., 6.950%, 10/01/2027			5,420
	30,000			Weyerhaeuser Co., 7.375%, 3/15/2032			35,599
							279,152
				Pharmaceuticals – 0.5%
	130,000			Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A			132,600
	15,000			Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A			15,562
	10,000			Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A			10,538
	490,000			VPI Escrow Corp., 6.375%, 10/15/2020, 144A			499,800
							658,500
				Pipelines – 0.4%
	70,000			Energy Transfer Partners LP, 5.200%, 2/01/2022			77,651
	100,000			IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A			111,583
	55,000			NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A			55,000
	70,000			NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A			79,800
	45,000			Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A			44,325
	90,000			Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A			78,750
							447,109
				Property & Casualty Insurance – 0.4%
	520,000			White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A			550,151
				REITs - Warehouse/Industrials – 0.0%
	20,000			ProLogis LP, 6.625%, 5/15/2018			23,896
	30,000			ProLogis LP, 6.875%, 3/15/2020			36,407
							60,303
				Retailers – 1.6%
	217,969			CVS Pass-Through Trust, 7.507%, 1/10/2032, 144A			279,604
	400,000			Dillard’s, Inc., 6.625%, 1/15/2018			422,000
	205,000			Dillard’s, Inc., 7.000%, 12/01/2028			203,975
	45,000			J.C. Penney Corp., Inc., 6.375%, 10/15/2036			36,731

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Retailers – continued
$	205,000			J.C. Penney Corp., Inc., 7.400%, 4/01/2037		$	183,731
	100,000			Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027			110,918
	225,000			Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029			265,468
	490,000			Toys R Us, Inc., 7.375%, 10/15/2018			439,775
							1,942,202
				Sovereigns – 0.3%
	700,000			Republic of Brazil, 8.500%, 1/05/2024, (BRL)			403,996
				Supermarkets – 0.2%
	35,000			Delhaize Group S.A., 5.700%, 10/01/2040			31,140
	320,000			New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028			172,800
							203,940
				Supranational – 0.7%
	560,000			Asian Development Bank, GMTN, 2.500%, 3/15/2016			598,300
	400,000			European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)			207,331
							805,631
				Technology – 0.7%
	470,000			Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029			307,850
	390,000			Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028			253,500
	30,000			CommScope, Inc., 8.250%, 1/15/2019, 144A			32,400
	155,000			First Data Corp., 6.750%, 11/01/2020, 144A			154,032
	85,000			First Data Corp., 7.375%, 6/15/2019, 144A			87,656
							835,438
				Transportation Services – 0.0%
	20,000			Continental Airlines Pass Thru Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022			20,500
				Treasuries – 15.8%
	600,000			Canadian Government, 3.000%, 12/01/2015, (CAD)			644,724
	255,000			Canadian Government, 3.500%, 6/01/2020, (CAD)			295,635
	25,000			Ireland Government Bond, 4.500%, 10/18/2018, (EUR)			31,955
	15,000			Ireland Government Bond, 4.500%, 4/18/2020, (EUR)			18,543

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Treasuries – continued
	165,000			Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		$	210,604
	10,000			Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)			11,671
	15,000			Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)			18,617
	10,000			Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)			12,827
	44,500	(††)		Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)			389,059
	5,300	(††)		Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)			57,908
	120,000			New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)			114,435
	10,000,000			Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)			266,391
	195,000			Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)			179,093
	340,000			Spain Government Bond, 4.650%, 7/30/2025, (EUR)			369,029
	6,163,401			U.S. Treasury Inflation Indexed Bond, 0.125%, 4/15/2017(f)			6,639,623
	3,279,820			U.S. Treasury Inflation Indexed Bond, 0.125%, 1/15/2022(f)			3,580,126
	1,026,210			U.S. Treasury Inflation Indexed Bond, 0.125%, 7/15/2022(f)			1,121,374
	1,038,839			U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040(f)			1,516,218
	1,579,382			U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(f)			2,259,134
	1,845,000			U.S. Treasury Note, 0.250%, 3/31/2014			1,845,576
							19,582,542
				Wireless – 1.0%
	4,000,000			America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)			329,001
	230,000			American Tower Corp., 4.700%, 3/15/2022			252,293
	420,000			Sprint Capital Corp., 6.875%, 11/15/2028			386,400
	10,000			Sprint Capital Corp., 6.900%, 5/01/2019			10,375
	80,000			Sprint Capital Corp., 8.750%, 3/15/2032			82,800
	125,000			Sprint Nextel Corp., 9.000%, 11/15/2018, 144A			150,000
							1,210,869
				Wirelines – 2.1%
	200,000			CenturyLink, Inc., Series P, 7.600%, 9/15/2039			211,525
	300,000			Embarq Corp., 7.995%, 6/01/2036			337,393

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
				Wirelines – continued
$	175,000			Frontier Communications Corp., 7.125%, 3/15/2019		$	186,375
	75,000			Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A			75,750
	70,000			Level 3 Financing, Inc., 8.125%, 7/01/2019			74,375
	85,000			Level 3 Financing, Inc., 8.625%, 7/15/2020			91,800
	400,000			Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)			207,177
	15,000			Qwest Capital Funding, Inc., 7.625%, 8/03/2021			16,556
	315,000			Qwest Corp., 7.250%, 10/15/2035			322,875
	244,000			Telecom Italia Capital S.A., 6.000%, 9/30/2034			215,940
	402,000			Telecom Italia Capital S.A., 6.375%, 11/15/2033			366,825
	40,000			Telecom Italia Capital S.A., 7.200%, 7/18/2036			39,200
	45,000			Telecom Italia Capital S.A., 7.721%, 6/04/2038			45,225
	75,000			Telefonica Emisiones SAU, 5.134%, 4/27/2020			73,594
	75,000			Telefonica Emisiones SAU, 5.462%, 2/16/2021			73,500
	75,000			Telefonica Emisiones SAU, 7.045%, 6/20/2036			73,125
	100,000			Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)			158,660
							2,569,895
				Total Non-Convertible Bonds (Identified Cost $51,540,810)			53,831,000
	Convertible Bonds – 2.0%
				Automotive – 0.1%
	20,000			ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)			14,888
	115,000			Ford Motor Co., 4.250%, 11/15/2016			158,628
							173,516
				Brokerage – 0.0%
	50,000			Jefferies Group, Inc., 3.875%, 11/01/2029			48,188
				Construction Machinery – 0.1%
	60,000			Ryland Group, Inc. (The), 1.625%, 5/15/2018			71,700
				Diversified Manufacturing – 0.2%
	170,000			Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A			166,600

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
				Diversified Manufacturing – continued
$	20,000			Trinity Industries, Inc., 3.875%, 6/01/2036		$	20,662
							187,262
				Healthcare – 0.1%
	85,000			Illumina, Inc., 0.250%, 3/15/2016, 144A			79,209
				Home Construction – 0.4%
	10,000			Lennar Corp., 2.000%, 12/01/2020, 144A			13,487
	5,000			Lennar Corp., 2.750%, 12/15/2020, 144A			8,447
	240,000			Lennar Corp., 3.250%, 11/15/2021, 144A			395,700
	70,000			Standard Pacific Corp., 1.250%, 8/01/2032			77,000
							494,634
				Independent Energy – 0.0%
	30,000			Chesapeake Energy Corp., 2.500%, 5/15/2037			26,944
	5,000			Chesapeake Energy Corp., 2.750%, 11/15/2035			4,759
							31,703
				Life Insurance – 0.1%
	100,000			Old Republic International Corp., 3.750%, 3/15/2018			99,500
				Metals & Mining – 0.1%
	120,000			Peabody Energy Corp., 4.750%, 12/15/2066			101,100
				Pharmaceuticals – 0.0%
	25,000			Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015			32,109
				Technology – 0.9%
	250,000			Ciena Corp., 0.875%, 6/15/2017			215,156
	65,000			Ciena Corp., 3.750%, 10/15/2018, 144A			68,250
	535,000			Intel Corp., 2.950%, 12/15/2035			581,813
	95,000			Lam Research Corp., Series B, 1.250%, 5/15/2018			91,794
	55,000			Micron Technology, Inc., Series B, 1.875%, 8/01/2031			48,434
	150,000			Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A			140,250
	25,000			Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A			23,219
							1,168,916

---

Principal Amount (‡)				Description		Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
				Textile – 0.0%
$	45,000			Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A			$44,719
				Total Convertible Bonds (Identified Cost $2,296,455)			2,532,556
	Municipals – 0.0%
				Michigan – 0.0%
	50,000			Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(d) (Identified Cost $49,997)			40,351
				Total Bonds and Notes (Identified Cost $53,887,262)			56,403,907
Shares
	Common Stocks – 45.4%
				Aerospace & Defense – 1.3%
	4,499			General Dynamics Corp.			297,474
	4,327			Honeywell International, Inc.			258,538
	7,970			Lockheed Martin Corp.			744,238
	5,497			Northrop Grumman Corp.			365,166
							1,665,416
				Automobiles – 0.1%
	10,180			Ford Motor Co.			100,375
				Beverages – 0.3%
	8,590			Coca-Cola Co. (The)			325,819
				Building Products – 0.1%
	5,095			Masco Corp.			76,680
				Chemicals – 1.1%
	4,164			Eastman Chemical Co.			237,389
	3,558			International Flavors & Fragrances, Inc.			211,986
	6,675			Olin Corp.			145,048
	4,206			PPG Industries, Inc.			483,017
	5,657			RPM International, Inc.			161,451
	3,599			Sensient Technologies Corp.			132,299
							1,371,190
				Commercial Banks – 0.9%
	6,648			Bank of Hawaii Corp.			303,282
	4,264			BB&T Corp.			141,394
	6,793			F.N.B. Corp.			76,149
	5,462			First Niagara Financial Group, Inc.			44,188
	7,062			FirstMerit Corp.			104,023
	6,418			Trustmark Corp.			156,214
	6,778			United Bankshares, Inc.			168,840
	9,700			Valley National Bancorp			97,194
							1,091,284

---

Shares				Description		Value (†)
	Common Stocks – continued
				Commercial Services & Supplies – 1.0%
	5,643			Avery Dennison Corp.		$	179,560
	7,211			Deluxe Corp.			220,368
	12,126			Pitney Bowes, Inc.			167,582
	11,300			R.R. Donnelley & Sons Co.			119,780
	5,023			Republic Services, Inc.			138,183
	18,000			Retail Properties of America, Inc., Class A			203,760
	6,775			Waste Management, Inc.			217,342
							1,246,575
				Containers & Packaging – 0.1%
	5,616			Sonoco Products Co.			174,040
				Distributors – 0.2%
	4,744			Genuine Parts Co.			289,526
				Diversified Telecommunication Services – 0.8%
	9,086			AT&T, Inc.			342,542
	12,568			CenturyLink, Inc.			507,747
	7,493			Telefonica S.A., Sponsored ADR			99,507
							949,796
				Electric Utilities – 2.9%
	7,349			American Electric Power Co., Inc.			322,915
	5,419			Cleco Corp.			227,490
	5,123			Edison International			234,070
	7,168			Entergy Corp.			496,742
	7,522			Exelon Corp.			267,633
	7,552			FirstEnergy Corp.			333,043
	5,922			NextEra Energy, Inc.			416,494
	5,938			Northeast Utilities			227,010
	4,456			OGE Energy Corp.			247,130
	7,038			Pinnacle West Capital Corp.			371,606
	7,386			PPL Corp.			214,563
	7,164			UNS Energy Corp.			299,885
							3,658,581
				Electrical Equipment – 0.4%
	4,828			Emerson Electric Co.			233,048
	3,700			Hubbell, Inc., Class B			298,738
							531,786
				Food & Staples Retailing – 0.1%
	5,450			Sysco Corp.			170,422
				Food Products – 0.6%
	4,623			General Mills, Inc.			184,227
	5,591			H.J. Heinz Co.			312,816
	731			Hillshire Brands Co.			19,576
	4,913			Kraft Foods, Inc., Class A			203,153
							719,772
				Gas Utilities – 0.9%
	6,971			AGL Resources, Inc.			285,184
	4,250			National Fuel Gas Co.			229,670

---

Shares		Description		Value (†)
Common Stocks – continued
		Gas Utilities – continued
4,824		New Jersey Resources Corp.		$	220,553
8,373		Oneok, Inc.			404,500
					1,139,907
		Hotels, Restaurants & Leisure – 1.0%
6,087		Darden Restaurants, Inc.			339,350
4,404		McDonald’s Corp.			404,067
7,500		Starwood Hotels & Resorts Worldwide, Inc.			434,700
					1,178,117
		Household Durables – 0.6%
6,594		Garmin Ltd.			275,233
10,525		KB Home			151,034
7,580		Leggett & Platt, Inc.			189,879
3,295		Tupperware Brands Corp.			176,579
					792,725
		Household Products – 0.7%
5,597		Clorox Co. (The)			403,264
6,114		Kimberly-Clark Corp.			524,459
					927,723
		Industrial Conglomerates – 0.1%
5,688		General Electric Co.			129,175
		Insurance – 0.9%
4,837		Allstate Corp. (The)			191,593
6,285		Arthur J. Gallagher & Co.			225,129
8,417		Cincinnati Financial Corp.			318,920
8,375		Mercury General Corp.			323,694
					1,059,336
		Leisure Equipment & Products – 0.1%
4,978		Mattel, Inc.			176,619
		Machinery – 0.2%
4,286		Briggs & Stratton Corp.			80,020
4,771		Eaton Corp.			225,477
					305,497
		Media – 0.3%
6,427		Cinemark Holdings, Inc.			144,157
3,654		McGraw-Hill Cos., Inc. (The)			199,472
					343,629
		Metals & Mining – 0.1%
5,118		Commercial Metals Co.			67,558
		Multi Utilities – 2.9%
6,270		Alliant Energy Corp.			272,055
6,783		Avista Corp.			174,595
7,018		Black Hills Corp.			249,630
6,244		CenterPoint Energy, Inc.			132,997
6,285		CMS Energy Corp.			148,012
5,977		Dominion Resources, Inc.			316,422

---

Shares				Description		Value (†)
	Common Stocks – continued
				Multi Utilities – continued
	6,917			DTE Energy Co.		$	414,605
	8,183			Integrys Energy Group, Inc.			427,153
	6,446			NiSource, Inc.			164,244
	7,305			PG&E Corp.			311,704
	6,625			Public Service Enterprise Group, Inc.			213,193
	6,964			SCANA Corp.			336,152
	5,651			Sempra Energy			364,433
	7,274			TECO Energy, Inc.			129,041
							3,654,236
				Oil, Gas & Consumable Fuels – 0.5%
	4,831			Chevron Corp.			563,101
				Paper & Forest Products – 0.1%
	5,377			MeadWestvaco Corp.			164,536
				Personal Products – 0.1%
	8,407			Avon Products, Inc.			134,092
				Pharmaceuticals – 0.9%
	6,067			Bristol-Myers Squibb Co.			204,761
	7,792			Eli Lilly & Co.			369,419
	7,335			Merck & Co., Inc.			330,808
	6,062			Pfizer, Inc.			150,641
							1,055,629
				Real Estate Management & Development – 0.5%
	14,500			Brookfield Office Properties, Inc.			240,120
	22,400			Forest City Enterprises, Inc., Class A(h)			355,040
							595,160
				REITs - Apartments – 3.7%
	9,000			American Campus Communities, Inc.			394,920
	9,800			AvalonBay Communities, Inc.			1,332,702
	10,700			Camden Property Trust			690,043
	35,000			Equity Residential			2,013,550
	1,300			Essex Property Trust, Inc.			192,712
							4,623,927
				REITs - Diversified – 2.7%
	12,500			American Assets Trust, Inc.			334,875
	2,800			CoreSite Realty Corp.			75,432
	19,500			DuPont Fabros Technology, Inc.			492,375
	13,600			Entertainment Properties Trust			604,248
	14,800			Liberty Property Trust			536,352
	6,000			Select Income REIT			147,720
	14,500			Vornado Realty Trust			1,175,225
							3,366,227
				REITs - Healthcare – 2.8%
	29,000			HCP, Inc.			1,289,920
	4,100			Health Care REIT, Inc.			236,775
	22,300			Omega Healthcare Investors, Inc.			506,879

---

Shares				Description		Value (†)
	Common Stocks – continued
				REITs - Healthcare – continued
	23,400			Ventas, Inc.		$	1,456,650
							3,490,224
				REITs - Hotels – 1.2%
	63,300			Host Hotels & Resorts, Inc.			1,015,965
	5,300			Pebblebrook Hotel Trust			123,967
	17,000			RLJ Lodging Trust			321,470
							1,461,402
				REITs - Manufactured Homes – 0.4%
	6,600			Equity Lifestyle Properties, Inc.			449,592
				REITs - Office Property – 2.9%
	7,900			Alexandria Real Estate Equities, Inc.			580,808
	25,700			BioMed Realty Trust, Inc.			481,104
	14,000			Boston Properties, Inc.			1,548,540
	18,300			Kilroy Realty Corp.			819,474
	11,000			Piedmont Office Realty Trust, Inc., Class A			190,740
							3,620,666
				REITs - Regional Malls – 4.0%
	19,500			Macerich Co. (The)			1,115,985
	25,300			Simon Property Group, Inc.			3,840,793
							4,956,778
				REITs - Shopping Centers – 2.2%
	42,000			DDR Corp.			645,120
	7,700			Federal Realty Investment Trust			810,810
	21,097			Kite Realty Group Trust			107,595
	15,000			Ramco-Gershenson Properties Trust			187,950
	13,000			Regency Centers Corp.			633,490
	23,300			Retail Opportunity Investments Corp.			299,871
							2,684,836
				REITs - Single Tenant – 0.2%
	9,700			National Retail Properties, Inc.			295,850
				REITs - Storage – 1.9%
	19,600			CubeSmart			252,252
	16,800			Extra Space Storage, Inc.			558,600
	11,000			Public Storage			1,530,870
							2,341,722
				REITs - Warehouse/Industrials – 1.5%
	27,100			First Potomac Realty Trust			349,048
	42,000			ProLogis, Inc.			1,471,260
							1,820,308
				Specialty Retail – 0.2%
	3,820			Home Depot, Inc. (The)			230,613
				Thrifts & Mortgage Finance – 0.4%
	10,309			Astoria Financial Corp.			101,853
	8,315			Hudson City Bancorp, Inc.			66,187
	13,285			New York Community Bancorp, Inc.			188,116

---

Shares				Description		Value (†)
	Common Stocks – continued
				Thrifts & Mortgage Finance – continued
	7,926			People’s United Financial, Inc.		$	96,222
							452,378
				Tobacco – 1.2%
	8,825			Altria Group, Inc.			294,667
	7,268			Lorillard, Inc.			846,358
	6,952			Universal Corp.			353,996
							1,495,021
				Trading Companies & Distributors – 0.3%
	5,390			Watsco, Inc.			408,508
				Total Common Stocks (Identified Cost $51,614,124)			56,356,354
	Preferred Stocks – 1.0%
	Convertible Preferred Stocks – 0.7%
				Automotive – 0.5%
	15,950			General Motors Co., Series B, 4.750%			594,616
	1,250			Goodyear Tire & Rubber Co. (The), 5.875%			55,212
							649,828
				Banking – 0.1%
	19			Bank of America Corp., Series L, 7.250%			20,710
	70			Wells Fargo & Co., Series L, Class A, 7.500%			86,660
							107,370
				Construction Machinery – 0.0%
	145			United Rentals Trust I, 6.500%			7,019
				REITs - Healthcare – 0.1%
	1,600			Health Care REIT, Inc., Series I, 6.500%			88,192
				Total Convertible Preferred Stocks (Identified Cost $1,006,386)			852,409
	Non-Convertible Preferred Stocks – 0.3%
				Banking – 0.1%
	4,125			Countrywide Capital IV, 6.750%			103,125
				Non-Captive Diversified – 0.2%
	4,375			Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%			107,013

---

Shares				Description		Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
				Non-Captive Diversified – continued
	129			Ally Financial, Inc., Series G, 7.000%, 144A		$	120,675
							227,688
				Total Non-Convertible Preferred Stocks (Identified Cost $215,037)			330,813
				Total Preferred Stocks (Identified Cost $1,221,423)			1,183,222
Notional Amount
	Purchased Options – 0.5%
				Interest Rate Swaptions – 0.5%
$	60,000,000			1-year Interest Rate Swap Put, expiring 9/27/2013, Pay 3-month LIBOR, Receive 0.295%(i)(j)			30,180
	12,000,000			5-year Interest Rate Swap Put, expiring 9/27/2013, Pay 3-month LIBOR, Receive 1.115%(i)(j)			127,920
	5,000,000			30-year Interest Rate Swap Call, expiring 9/29/2014, Pay 2.798%, Receive 3-month LIBOR(i)(j)			520,495
				Total Purchased Options (Identified Cost $643,800)			678,595
Principal Amount (‡)
	Short-Term Investments – 8.6%
$	9,259,240			Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $9,259,248 on 10/01/2012 collateralized by $9,220,000 U.S. Treasury Note, 1.000% due 3/31/2017 valued at $9,456,475 including accrued interest(k)			9,259,240
	1,360,000			U.S. Treasury Bill, 0.093%, 1/10/2013(e)(l)(m)			1,359,686
				Total Short-Term Investments (Identified Cost $10,618,885)			10,618,926
				Total Investments – 100.9% (Identified Cost $117,985,494)(a)			125,241,004
				Other assets less liabilities – (0.9)%			(1,074,264	)
				Net Assets – 100.0%		$	124,166,740
Notional Amount
	Written Options – (0.4%)
				Interest Rate Swaptions – (0.4)%
$	60,000,000			1-year Interest Rate Swap Call, expiring 9/27/2013, Pay 0.445%, Receive 3-month LIBOR(i)(j)		$	(84,840	)
	12,000,000			5-year Interest Rate Swap Call, expiring 9/27/2013, Pay 0.783%, Receive 3-month LIBOR(i)(j)			(37,872	)
	5,000,000			30-year Interest Rate Swap Put, expiring 9/29/2014, Pay 3-month LIBOR, Receive 3.298%(i)(j)			(316,445	)
				Total Written Options (Premiums Received $397,200)		$	(439,157	)

 

---

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Futures contracts are valued at their most recent settlement price.

Options on interest rate swaps (“interest rate swaptions”) are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or quotations obtained from broker-dealers.

Investments in other open-end investment companies are valued at their net asset value each day.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.

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

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(††)	Amount shown represents units. One unit represents a principal amount of 100.

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

At September 30, 2012, the net unrealized appreciation on investments based on a cost of $118,126,132 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	10,302,531
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(3,187,659	)
Net unrealized appreciation		$	7,114,872

At December 31, 2011, the Fund had a short-term capital loss carryforward of $19,588,265 of which $5,390,183 expires on December 31, 2016 and $14,198,082 expires on December 31, 2017. At December 31, 2011, post-October capital loss deferrals were $36,756. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b)	Variable rate security. Rate as of September 30, 2012 is disclosed.

(c)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(d)	Illiquid security. At September 30, 2012, the value of these securities amounted to $420,236 or 0.3% of net assets.

(e)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or swaptions.

(f)	Treasury Inflation Protected Security (TIPS).

(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(h)	Non-income producing security.

(i)

The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate.

---

When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

 

When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

 

Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

 

(j)	Counterparty is Citibank, N.A.

(k)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

(l)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(m)	All or a portion of this security has been pledged as initial margin for closed futures contracts.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2012, the value of Rule 144A holdings amounted to $7,962,049 or 6.4% of net assets.

 

ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

 

ABS	Asset-Backed Securities

 

EMTN	Euro Medium Term Note

 

FHLMC

Federal Home Loan Mortgage Corp.

 

FNMA	Federal National Mortgage Association

 

GMTN	Global Medium Term Note

 

MTN	Medium Term Note

 

REITs

Real Estate Investment Trusts

 

REMIC

Real Estate Mortgage Investment Conduit

 

AUD	Australian Dollar

 

BRL	Brazilian Real

 

CAD	Canadian Dollar

 

COP	Colombian Peso

 

EUR

Euro

 

GBP	British Pound

 

MXN	Mexican Peso

 

NZD	New Zealand Dollar

 

PHP	Philippine Peso

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

---

At September 30, 2012, the Fund had the following open forward foreign currency contracts:

 

Contract to Buy/Sell		Delivery Date				Currency		Units				Notional Value				Unrealized Appreciation (Depreciation)
Sell 1			12/04/2012			British Pound			67,000			$	108,171			$	(2,267	)
Sell 2			10/31/2012			Euro			70,000				89,979				17
Sell 2			10/31/2012			Euro			760,000				976,915				(39,594	)
Total																$	(41,844	)

 

1	Counterparty is Credit Suisse AG.

2	Counterparty is Barclays Bank PLC.

Fair Value Measurements

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

 

•

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

 

•

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

 

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Bonds and Notes*		$	—			$	56,403,907			$	—			$	56,403,907
Common Stocks*			56,356,354				—				—				56,356,354
Preferred Stocks
Convertible Preferred Stocks
Construction Machinery			—				7,019				—				7,019
All Other Convertible Preferred Stocks*			845,390				—				—				845,390
Total Convertible Preferred Stocks			845,390				7,019				—				852,409
Non-Convertible Preferred Stocks
Non-Captive Diversified			107,013				120,675				—				227,688
All Other Non-Convertible Preferred Stocks*			103,125				—				—				103,125
Total Preferred Stocks			1,055,528				127,694				—				1,183,222
Purchased Options*			—				678,595				—				678,595
Short-Term Investments			—				10,618,926				—				10,618,926
Total Investments			57,411,882				67,829,122				—				125,241,004
Forward Foreign Currency Contracts (unrealized appreciation)			—				17				—				17
Total		$	57,411,882			$	67,829,139			$	—			$	125,241,021

Liability Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Written Options*		$	—			$	(439,157	)		$	—			$	(439,157	)
Forward Foreign Currency Contracts (unrealized depreciation)			—				(41,861	)			—				(41,861	)
Total		$	—			$	(481,018	)		$	—			$	(481,018	)

 

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2012:

---

Asset Valuation Inputs

 

Investments in Securities		Balance as of December 31, 2011				Accrued Discounts (Premiums)				Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)				Purchases				Sales				Transfers into Level 3				Transfers out of Level 3				Balance as of September 30, 2012				Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2012
Bonds and Notes
Non-Convertible Bonds
Treasuries		$	94,814			$	939			$	(161,611	)		$	169,573			$	—			$	(103,715	)		$	—			$	—			$	—			$	—

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and swaptions.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended September 30, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’ investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use interest rate swaptions to hedge against changes in interest rates. During the period ended September 30, 2012, the Fund used interest rate swaptions to hedge against changes in interest rates.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts and interest rate swaptions. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of September 30, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Counterparty		Derivatives				Collateral Pledged
Barclays Bank PLC		$	(39,577	)			—
Citibank, N.A.			(7,162	)			—
Credit Suisse AG			(2,267	)			—

Forward foreign currency contracts and interest rate swaptions are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of September 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $34,812 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser and/or subadviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the derivative counterparties. This risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of September 30, 2012:

 

Asset Derivatives		Interest Rate Contracts				Foreign Exchange Contracts
Purchased Options (at value)		$	678,595			$	—
Forwards (unrealized appreciation)			—				17
Liability Derivatives		Interest Rate Contracts				Foreign Exchange Contracts
Written Options (at value)		$	(439,157	)		$	—
Forwards (unrealized depreciation)			—				(41,861	)

---

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Industry Summary at September 30, 2012 (Unaudited)

 

Treasuries			15.8	%
REITs—Regional Malls			4.0
REITs—Apartments			3.7
Electric Utilities			2.9
Multi Utilities			2.9
REITs—Office Property			2.9
REITs—Healthcare			2.9
Banking			2.9
REITs—Diversified			2.7
REITs—Shopping Centers			2.2
Wirelines			2.1
Other Investments, less than 2% each			47.3
Short-Term Investments			8.6
Total Investments			100.9
Other assets less liabilities (including open written options and forward foreign currency contracts)			(0.9	)
Net Assets			100.0	%

---

PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

Natixis Oakmark International Fund

 

Shares				Description		Value (†)
	Common Stocks – 92.5% of Net Assets
				Australia – 3.6%
	138,100			Amcor Ltd.		$	1,108,083
	27,800			Orica Ltd.			714,903
							1,822,986
				Canada – 2.0%
	35,900			Thomson Reuters Corp.			1,037,817
				France – 8.1%
	31,142			BNP Paribas S.A.			1,476,476
	6,200			Danone S.A.			381,480
	7,500			PPR			1,151,103
	19,950			Publicis Groupe			1,115,860
							4,124,919
				Germany – 7.9%
	12,750			Allianz SE, (Registered)			1,520,609
	35,800			Daimler AG, (Registered)			1,737,573
	10,300			SAP AG			732,983
							3,991,165
				Ireland – 2.0%
	8,000			Experian PLC			133,206
	7,105,700			Governor & Co. of the Bank of Ireland (The)(b)			881,140
							1,014,346
				Italy – 5.0%
	117,500			Fiat Industrial SpA			1,150,700
	915,300			Intesa Sanpaolo SpA			1,395,689
							2,546,389
				Japan – 22.2%
	51,400			Canon, Inc.			1,649,821
	470,000			Daiwa Securities Group, Inc.			1,785,194
	1,600			FANUC Corp.			257,533
	42,400			Honda Motor Co. Ltd.			1,310,386
	16,300			Meitec Corp.			370,274
	57,000			Olympus Corp.(b)			1,112,853
	66,800			Omron Corp.			1,283,667
	35,000			Rohm Co. Ltd.			1,178,658
	14,500			Secom Co. Ltd.			755,778
	40,800			Toyota Motor Corp.			1,599,739
							11,303,903
				Mexico – 0.3%
	5,400			Grupo Televisa SAB, Sponsored ADR			126,954
				Netherlands – 6.0%
	12,685			Akzo Nobel NV			716,281
	14,600			Heineken Holding NV			709,256
	43,600			Koninklijke Ahold NV			546,071

---

Shares				Description		Value (†)
	Common Stocks – continued
				Netherlands – continued
	47,164			Koninklijke Philips Electronics		$	1,101,158
							3,072,766
				Spain – 2.6%
	176,697			Banco Santander S.A.(b)			1,318,937
				Sweden – 1.7%
	21,550			Assa Abloy AB, Series B			699,666
	8,200			Atlas Copco AB, Series B			171,884
							871,550
				Switzerland – 16.3%
	28,600			Adecco S.A., (Registered)(b)			1,365,188
	14,700			Cie Financiere Richemont S.A., Class A			882,635
	84,336			Credit Suisse Group AG, (Registered)(b)			1,783,220
	625			Geberit AG, (Registered)(b)			136,127
	760			Givaudan S.A., (Registered)(b)			721,547
	14,450			Holcim Ltd., (Registered)(b)			920,335
	10,200			Kuehne & Nagel International AG, (Registered)			1,154,268
	9,250			Nestle S.A., (Registered)			583,650
	9,700			Novartis AG, (Registered)			593,674
	700			Roche Holding AG			130,933
							8,271,577
				United Kingdom – 14.8%
	21,400			Diageo PLC			602,584
	7,600			GlaxoSmithKline PLC			175,428
	2,618,900			Lloyds Banking Group PLC(b)			1,649,005
	33,100			Reed Elsevier PLC			316,875
	57,200			Schroders PLC			1,405,605
	100			Schroders PLC, (Non Voting)			1,914
	14,300			Signet Jewelers Ltd.			697,268
	31,100			Smiths Group PLC			522,427
	126,600			Tesco PLC			679,843
	23,800			Willis Group Holdings PLC			878,696
	14,100			Wolseley PLC			603,140
							7,532,785
				Total Common Stocks (Identified Cost $46,857,881)			47,036,094

 

Principal Amount (‡)				Description		Value (†)
	Convertible Bond – 0.9%
				Guernsey – 0.9%
	339,000			Credit Suisse Group (Guernsey) V Ltd., 4.000%, 3/29/2013, (CHF)(c)(d) (Identified Cost $346,913)			448,395
	Short-Term Investments – 5.7%
$	2,882,534			Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $2,882,536 on 10/01/2012 collateralized by $2,590,000 U.S. Treasury Note, 3.250% due 3/31/2017 valued at $2,944,452 including accrued interest(e) (Identified Cost $2,882,534)			2,882,534
				Total Investments – 99.1% (Identified Cost $50,087,328)(a)			50,367,023
				Other assets less liabilities – 0.9%			475,188
				Net Assets – 100.0%		$	50,842,211

---

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. At September 30, 2012, approximately 88% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2012, the net unrealized appreciation on investments based on a cost of $50,087,328 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	3,364,450
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(3,084,755	)
Net unrealized appreciation		$	279,695

At December 31, 2011, the Fund had a short-term capital loss carryforward of $823,798 with no expiration date and a long-term capital loss carryforward of $34,286 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b)	Non-income producing security.

(c)	Fair valued security by the Fund’s investment adviser. At September 30, 2012, the value of this security amounted to $448,395 or 0.9% of net assets.

---

(d)

At September 30, 2012, the Fund’s investments in securities included a restricted security. This security was restricted due to contractual restrictions on resale. At September 30, 2012, the Fund’s investment in the restricted security was valued pursuant to policies and procedures for fair value pricing as follows:

 

Name of Issuer		Acquisition Date(s)				Value
Convertible Bonds
Credit Suisse Group (Guernsey) V Ltd. (Cost $346,913) (0.9% of Net Assets)			7/18/2012-7/31/2012			$	448,395

 

(e)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

 

ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

 

CHF	Swiss Franc

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

At September 30, 2012, the Fund had the following open forward foreign currency contracts:

 

Contract to Buy/Sell 1		Delivery Date				Currency				Units Notional Value								Unrealized Appreciation (Depreciation)
Buy			3/20/2013				Australian Dollar				130,000			$	132,997			$	(903	)
Sell			3/20/2013				Australian Dollar				1,305,000				1,335,088				(48,945	)
Sell			6/19/2013				Japanese Yen				354,000,000				4,550,201				5,431
Sell			9/18/2013				Swedish Krona				1,970,000				297,193				(836	)
Buy			12/19/2012				Swiss Franc				670,000				713,391				25,718
Sell			12/19/2012				Swiss Franc				3,900,000				4,152,576				132,620
Total																		$	113,085

 

1	Counterparty is State Street Bank and Trust Company.

Fair Value Measurements

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

 

•

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

 

•

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

 

•

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

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

---

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Common Stocks
Australia		$	—			$	1,822,986			$	—			$	1,822,986
France			—				4,124,919				—				4,124,919
Germany			—				3,991,165				—				3,991,165
Ireland			—				1,014,346				—				1,014,346
Italy			—				2,546,389				—				2,546,389
Japan			—				11,303,903				—				11,303,903
Netherlands			—				3,072,766				—				3,072,766
Spain			—				1,318,937				—				1,318,937
Sweden			—				871,550				—				871,550
Switzerland			—				8,271,577				—				8,271,577
United Kingdom			1,575,964				5,956,821				—				7,532,785
All Other Common Stocks*			1,164,771				—				—				1,164,771
Total Common Stocks			2,740,735				44,295,359				—				47,036,094
Convertible Bond*			—				448,395				—				448,395
Short-Term Investments			—				2,882,534				—				2,882,534
Total Investments			2,740,735				47,626,288				—				50,367,023
Forward Foreign Currency Contracts (unrealized appreciation)			—				163,769				—				163,769
Total		$	2,740,735			$	47,790,057			$	—			$	50,530,792

Liability Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Forward Foreign Currency Contracts (unrealized depreciation)		$	—			$	(50,684	)		$	—			$	(50,684	)

 

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 30, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes.

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. As of September 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $163,769. Counterparty risk is managed based on policies and procedures established by the Fund’s adviser and/or subadviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads.

The following is a summary of derivative instruments for the Fund, as of September 30, 2012:

 

Asset Derivatives		Foreign Exchange Contracts
Forwards (unrealized appreciation)		$	163,769
Liability Derivatives		Foreign Exchange Contracts
Forwards (unrealized depreciation)		$	(50,684	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

---

Industry Summary at September 30, 2012 (Unaudited)

 

Commercial Banks			13.1	%
Capital Markets			9.8
Automobiles			9.2
Media			5.1
Insurance			4.7
Chemicals			4.2
Professional Services			3.7
Office Electronics			3.2
Industrial Conglomerates			3.1
Machinery			3.1
Beverages			2.6
Electronic Equipment, Instruments & Components			2.5
Food & Staples Retailing			2.4
Semiconductors & Semiconductor Equipment			2.3
Marine			2.3
Multiline Retail			2.3
Health Care Equipment & Supplies			2.2
Containers & Packaging			2.2
Other Investments, less than 2% each			15.4
Short-Term Investments			5.7
Total Investments			99.1
Other assets less liabilities (including open forward foreign currency contracts)			0.9
Net Assets			100.0	%

Currency Exposure Summary at September 30, 2012 (Unaudited)

 

Euro			31.3	%
Japanese Yen			22.2
Swiss Franc			17.2
British Pound			12.0
United States Dollar			9.1
Australian Dollar			3.6
Canadian Dollar			2.0
Swedish Krona			1.7
Total Investments			99.1
Other assets less liabilities (including open forward foreign currency contracts)			0.9
Net Assets			100.0	%

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PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

Vaughan Nelson Small Cap Value Fund

 

Shares				Description		Value (†)
	Common Stocks – 91.1% of Net Assets
				Air Freight & Logistics – 1.5%
	112,975			Atlas Air Worldwide Holdings, Inc.(b)		$	5,832,899
				Building Products – 3.2%
	125,087			A.O. Smith Corp.			7,197,506
	104,125			Lennox International, Inc.			5,035,485
							12,232,991
				Capital Markets – 1.6%
	209,025			LPL Financial Holdings, Inc.			5,965,574
				Chemicals – 1.8%
	156,950			Kraton Performance Polymers, Inc.(b)			4,096,395
	70,500			TPC Group, Inc.(b)			2,877,105
							6,973,500
				Commercial Banks – 9.1%
	481,350			Associated Banc-Corp			6,339,379
	94,600			Bank of Hawaii Corp.			4,315,652
	435,330			FirstMerit Corp.			6,412,411
	158,200			Hancock Holding Co.			4,896,290
	134,450			Prosperity Bancshares, Inc.			5,730,259
	284,850			Webster Financial Corp.			6,750,945
							34,444,936
				Commercial Services & Supplies – 5.9%
	317,975			Corrections Corp. of America			10,636,264
	365,600			KAR Auction Services, Inc.(b)			7,216,944
	172,350			McGrath Rentcorp			4,496,611
							22,349,819
				Construction & Engineering – 1.1%
	214,875			MasTec, Inc.(b)			4,233,038
				Consumer Finance – 1.9%
	157,000			First Cash Financial Services, Inc.(b)			7,223,570
				Containers & Packaging – 4.1%
	188,800			Packaging Corp. of America			6,853,440
	202,475			Silgan Holdings, Inc.			8,809,687
							15,663,127
				Electronic Equipment, Instruments & Components – 1.8%
	57,650			Littelfuse, Inc.			3,259,531
	111,800			ScanSource, Inc.(b)			3,579,836
							6,839,367
				Energy Equipment & Services – 3.0%
	90,955			Oil States International, Inc.(b)			7,227,284
	541,300			Precision Drilling Corp.(b)			4,243,792
							11,471,076

 

---

Shares				Description		Value (†)
	Common Stocks – continued
				Food Products – 1.3%
	168,050			Post Holdings, Inc.(b)		$	5,051,583
				Gas Utilities – 1.7%
	178,600			Atmos Energy Corp.			6,392,094
				Health Care Equipment & Supplies – 4.6%
	109,900			Sirona Dental Systems, Inc.(b)			6,259,904
	119,100			Teleflex, Inc.			8,198,844
	55,500			West Pharmaceutical Services, Inc.			2,945,385
							17,404,133
				Health Care Providers & Services – 1.9%
	165,500			LifePoint Hospitals, Inc.(b)			7,080,090
				Hotels, Restaurants & Leisure – 1.0%
	123,225			Choice Hotels International, Inc.			3,941,968
				Household Products – 1.2%
	87,425			WD-40 Co.			4,602,052
				Insurance – 5.6%
	223,800			American Equity Investment Life Holding Co.			2,602,794
	693,600			CNO Financial Group, Inc.			6,693,240
	198,412			HCC Insurance Holdings, Inc.			6,724,183
	267,350			Tower Group, Inc.			5,183,916
							21,204,133
				IT Services – 1.7%
	276,100			Broadridge Financial Solutions, Inc.			6,441,413
				Machinery – 3.5%
	222,275			Actuant Corp., Class A			6,361,511
	52,600			Valmont Industries, Inc.			6,916,900
							13,278,411
				Media – 1.6%
	130,575			John Wiley & Sons, Inc., Class A			5,999,921
				Metals & Mining – 0.9%
	223,850			Globe Specialty Metals, Inc.			3,406,997
				Oil, Gas & Consumable Fuels – 2.1%
	268,039			Oasis Petroleum, Inc.(b)			7,899,109
				Professional Services – 1.8%
	127,150			Towers Watson & Co., Class A			6,745,308
				REITs - Apartments – 0.8%
	203,800			Associated Estates Realty Corp.			3,089,608
				REITs - Hotels – 0.8%
	118,650			LaSalle Hotel Properties			3,166,769
				REITs - Office Property – 1.8%
	207,025			Highwoods Properties, Inc.			6,753,156

---

Shares				Description		Value (†)
	Common Stocks – continued
				Semiconductors & Semiconductor Equipment – 8.5%
	80,100			Hittite Microwave Corp.(b)		$	4,443,147
	378,300			Microsemi Corp.(b)			7,592,481
	185,950			MKS Instruments, Inc.			4,739,865
	851,300			RF Micro Devices, Inc.(b)			3,362,635
	169,850			Semtech Corp.(b)			4,271,727
	337,050			Teradyne, Inc.(b)			4,792,851
	99,875			Veeco Instruments, Inc.(b)			2,998,248
							32,200,954
				Software – 3.8%
	95,300			Manhattan Associates, Inc.(b)			5,457,831
	187,750			SS&C Technologies Holdings, Inc.(b)			4,733,177
	162,550			Verint Systems, Inc.(b)			4,460,372
							14,651,380
				Specialty Retail – 5.4%
	166,847			Aaron’s, Inc.			4,640,015
	96,225			DSW, Inc., Class A			6,420,132
	87,875			Group 1 Automotive, Inc.			5,292,711
	128,500			Lithia Motors, Inc., Class A			4,280,335
							20,633,193
				Textiles, Apparel & Luxury Goods – 1.4%
	122,400			Wolverine World Wide, Inc.			5,430,888
				Thrifts & Mortgage Finance – 1.6%
	503,300			Capitol Federal Financial, Inc.			6,019,468
				Trading Companies & Distributors – 3.1%
	154,900			United Rentals, Inc.(b)			5,066,779
	116,725			WESCO International, Inc.(b)			6,676,671
							11,743,450
				Total Common Stocks (Identified Cost $307,920,235)			346,365,975
	Exchange Traded Funds – 4.8%
	246,150			iShares Russell 2000 ® Value Index Fund (Identified Cost $18,250,398)			18,200,331
	Closed End Investment Companies – 2.7%
	590,550			Ares Capital Corp. (Identified Cost $9,312,115)			10,122,027

---

Principal Amount				Description		Value (†)
	Short-Term Investments – 1.4%
$	5,463,787			Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $5,463,792 on 10/01/2012 collateralized by $5,435,000 U.S. Treasury Note, 1.000% due 3/31/2017 valued at $5,574,397 including accrued interest(c) (Identified Cost $5,463,787)			5,463,787
				Total Investments – 100.0% (Identified Cost $340,946,535)(a)		$	380,152,120
				Other assets less liabilities – 0.0%			161,327
				Net Assets – 100.0%		$	380,313,447

 

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Investments in other open-end investment companies are valued at their net asset value each day.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2012, the net unrealized appreciation on investments based on a cost of $340,946,535 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	46,243,025
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(7,037,440	)
Net unrealized appreciation		$	39,205,585

 

(b)	Non-income producing security.

(c)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

 

REITs

Real Estate Investment Trusts

---

Fair Value Measurements

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

 

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

 

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

 

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Common Stocks*		$	346,365,975			$	—			$	—			$	346,365,975
Exchange Traded Funds			18,200,331				—				—				18,200,331
Closed End Investment Companies			10,122,027				—				—				10,122,027
Short-Term Investments			—				5,463,787				—				5,463,787
Total		$	374,688,333			$	5,463,787			$	—			$	380,152,120

 

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at September 30, 2012 (Unaudited)

 

Commercial Banks			9.1	%
Semiconductors & Semiconductor Equipment			8.5
Commercial Services & Supplies			5.9
Insurance			5.6
Specialty Retail			5.4
Exchange Traded Funds			4.8
Health Care Equipment & Supplies			4.6
Containers & Packaging			4.1
Software			3.8
Machinery			3.5
Building Products			3.2
Trading Companies & Distributors			3.1
Energy Equipment & Services			3.0
Closed End Investment Companies			2.7
Oil, Gas & Consumable Fuels			2.1
Other Investments, less than 2% each			29.2
Short-Term Investments			1.4
Total Investments			100.0
Other assets less liabilities			0.0
Net Assets			100.0	%

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PORTFOLIO OF INVESTMENTS – as of September 30, 2012 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund

 

Shares				Description		Value (†)
	Common Stocks – 97.2% of Net Assets
				Aerospace & Defense – 1.4%
	46,300			Boeing Co. (The)		$	3,223,406
	11,778			TransDigm Group, Inc.(b)			1,670,945
							4,894,351
				Air Freight & Logistics – 2.0%
	40,403			Expeditors International of Washington, Inc.			1,469,053
	40,900			FedEx Corp.			3,460,958
	26,206			United Parcel Service, Inc., Class B			1,875,563
							6,805,574
				Auto Components – 2.4%
	36,000			Autoliv, Inc.			2,230,920
	15,024			BorgWarner, Inc.(b)			1,038,308
	72,500			Delphi Automotive PLC(b)			2,247,500
	37,211			Lear Corp.			1,406,204
	33,300			TRW Automotive Holdings Corp.(b)			1,455,543
							8,378,475
				Automobiles – 0.6%
	25,500			Toyota Motor Corp., Sponsored ADR			2,002,005
				Beverages – 1.5%
	17,682			Beam, Inc.			1,017,422
	36,332			Coca-Cola Co. (The)			1,378,073
	49,432			Coca-Cola Enterprises, Inc.			1,545,739
	2,126			Diageo PLC, Sponsored ADR			239,664
	24,298			SABMiller PLC, Sponsored ADR			1,069,112
							5,250,010
				Biotechnology – 3.1%
	25,415			Alexion Pharmaceuticals, Inc.(b)			2,907,476
	15,988			Amgen, Inc.			1,348,108
	48,992			ARIAD Pharmaceuticals, Inc.(b)			1,186,831
	32,482			Medivation, Inc.(b)			1,830,686
	9,871			Onyx Pharmaceuticals, Inc.(b)			834,100
	8,671			Regeneron Pharmaceuticals, Inc.(b)			1,323,715
	10,298			Synageva BioPharma Corp.(b)			550,222
	14,414			Vertex Pharmaceuticals, Inc.(b)			806,463
							10,787,601
				Building Products – 0.4%
	29,824			Armstrong World Industries, Inc.			1,382,939
				Capital Markets – 4.9%
	10,716			Affiliated Managers Group, Inc.(b)			1,318,068
	34,700			Franklin Resources, Inc.			4,339,929
	25,800			Goldman Sachs Group, Inc. (The)			2,932,944
	22,015			Greenhill & Co., Inc.			1,139,276
	31,912			Legg Mason, Inc.			787,588
	45,890			Raymond James Financial, Inc.			1,681,869

---

Shares				Description		Value (†)
	Common Stocks – continued
				Capital Markets – continued
	113,133			SEI Investments Co.		$	2,426,703
	17,458			T. Rowe Price Group, Inc.			1,105,091
	13,243			Virtus Investment Partners, Inc.(b)			1,138,898
							16,870,366
				Chemicals – 2.3%
	7,204			CF Industries Holdings, Inc.			1,601,017
	27,027			Cytec Industries, Inc.			1,770,809
	26,144			Eastman Chemical Co.			1,490,469
	7,260			Quaker Chemical Corp.			338,824
	21,211			Westlake Chemical Corp.			1,549,676
	19,495			WR Grace & Co.(b)			1,151,765
							7,902,560
				Commercial Banks – 2.6%
	197,992			KeyCorp			1,730,450
	31,965			Prosperity Bancshares, Inc.			1,362,349
	8,516			Signature Bank(b)			571,253
	159,800			Wells Fargo & Co.			5,517,894
							9,181,946
				Commercial Services & Supplies – 0.5%
	22,561			Rollins, Inc.			527,702
	11,752			Stericycle, Inc.(b)			1,063,791
							1,591,493
				Communications Equipment – 2.9%
	157,475			Cisco Systems, Inc.			3,006,198
	10,687			F5 Networks, Inc.(b)			1,118,929
	40,454			NETGEAR, Inc.(b)			1,542,915
	10,433			Palo Alto Networks, Inc.(b)			642,360
	42,817			QUALCOMM, Inc.			2,675,634
	50,392			Riverbed Technology, Inc.(b)			1,172,622
							10,158,658
				Computers & Peripherals – 0.1%
	45,315			QLogic Corp.(b)			517,497
				Consumer Finance – 1.7%
	34,831			American Express Co.			1,980,491
	30,800			Capital One Financial Corp.			1,755,908
	14,953			Cash America International, Inc.			576,737
	39,394			Discover Financial Services			1,565,123
							5,878,259
				Diversified Consumer Services – 0.2%
	11,856			Ascent Media Corp., Class A(b)			640,343
				Diversified Financial Services – 2.8%
	61,900			CME Group, Inc., Class A			3,546,870
	103,900			JPMorgan Chase & Co.			4,205,872
	85,380			NASDAQ OMX Group, Inc. (The)			1,988,927
							9,741,669

---

Shares				Description		Value (†)
	Common Stocks – continued
				Electric Utilities – 0.2%
	7,841			ITC Holdings Corp.		$	592,623
				Electrical Equipment – 0.9%
	57,601			Babcock & Wilcox Co.(b)			1,467,097
	22,200			Rockwell Automation, Inc.			1,544,010
							3,011,107
				Electronic Equipment, Instruments & Components – 1.0%
	28,352			Amphenol Corp., Class A			1,669,366
	42,594			Avnet, Inc.(b)			1,239,059
	52,636			InvenSense, Inc.(b)			629,000
							3,537,425
				Energy Equipment & Services – 2.7%
	10,826			Dril-Quip, Inc.(b)			778,173
	34,206			Helix Energy Solutions Group, Inc.(b)			624,943
	31,000			National Oilwell Varco, Inc.			2,483,410
	61,341			Oceaneering International, Inc.			3,389,090
	27,096			Schlumberger Ltd.			1,959,854
							9,235,470
				Food & Staples Retailing – 0.4%
	15,612			Whole Foods Market, Inc.			1,520,609
				Food Products – 1.9%
	167,040			Danone S.A., Sponsored ADR			2,046,240
	28,171			Ingredion, Inc.			1,553,912
	19,933			J.M. Smucker Co. (The)			1,720,816
	18,256			McCormick & Co., Inc.			1,132,602
							6,453,570
				Gas Utilities – 0.3%
	52,351			Questar Corp.			1,064,296
				Health Care Equipment & Supplies – 2.2%
	54,172			CareFusion Corp.(b)			1,537,943
	26,949			DENTSPLY International, Inc.			1,027,835
	7,264			Edwards Lifesciences Corp.(b)			779,936
	45,164			Medtronic, Inc.			1,947,472
	34,073			Zimmer Holdings, Inc.			2,304,016
							7,597,202
				Health Care Providers & Services – 2.1%
	19,237			Catamaran Corp.(b)			1,884,649
	22,592			HealthSouth Corp.(b)			543,564
	21,476			MEDNAX, Inc.(b)			1,598,888
	36,133			Universal Health Services, Inc., Class B			1,652,362
	31,097			WellCare Health Plans, Inc.(b)			1,758,535
							7,437,998
				Health Care Technology – 0.3%
	12,893			athenahealth, Inc.(b)			1,183,191
				Hotels, Restaurants & Leisure – 4.2%
	103,500			Carnival Corp.			3,771,540

---

Shares				Description		Value (†)
	Common Stocks – continued
				Hotels, Restaurants & Leisure – continued
	35,759			Interval Leisure Group, Inc.		$	676,918
	88,000			Marriott International, Inc., Class A			3,440,800
	14,300			McDonald’s Corp.			1,312,025
	22,607			Six Flags Entertainment Corp.			1,329,292
	28,300			Starwood Hotels & Resorts Worldwide, Inc.			1,640,268
	43,119			Wyndham Worldwide Corp.			2,262,885
							14,433,728
				Household Durables – 2.2%
	70,937			D.R. Horton, Inc.			1,464,140
	40,952			Jarden Corp.			2,163,904
	47,873			Lennar Corp., Class A			1,664,544
	84,086			PulteGroup, Inc.(b)			1,303,333
	32,157			Toll Brothers, Inc.(b)			1,068,577
							7,664,498
				Household Products – 0.6%
	10,611			Clorox Co. (The)			764,522
	20,269			Procter & Gamble Co. (The)			1,405,858
							2,170,380
				Insurance – 0.5%
	47,800			American International Group, Inc.(b)			1,567,362
				Internet & Catalog Retail – 1.9%
	13,412			Amazon.com, Inc.(b)			3,410,940
	16,405			Blue Nile, Inc.(b)			608,461
	83,849			Liberty Interactive Corp., Class A(b)			1,551,206
	24,054			Liberty Ventures, Series A(b)			1,194,041
							6,764,648
				Internet Software & Services – 2.7%
	7,852			Equinix, Inc.(b)			1,617,905
	39,067			Facebook, Inc., Class A(b)			845,800
	5,424			Google, Inc., Class A(b)			4,092,408
	26,919			IAC/InterActiveCorp			1,401,403
	10,877			LinkedIn Corp., Class A(b)			1,309,591
							9,267,107
				IT Services – 5.3%
	14,128			Alliance Data Systems Corp.(b)			2,005,470
	14,418			Automatic Data Processing, Inc.			845,760
	38,159			Fidelity National Information Services, Inc.			1,191,324
	9,500			MasterCard, Inc., Class A			4,289,060
	31,859			Teradata Corp.(b)			2,402,487
	40,766			Visa, Inc., Class A			5,474,059
	30,477			Wright Express Corp.(b)			2,124,856
							18,333,016
				Life Sciences Tools & Services – 0.4%
	8,653			Mettler-Toledo International, Inc.(b)			1,477,413
				Machinery – 5.4%
	35,459			Actuant Corp., Class A			1,014,837

---

Shares				Description		Value (†)
	Common Stocks – continued
				Machinery – continued
	16,900			Caterpillar, Inc.		$	1,454,076
	22,401			CLARCOR, Inc.			999,757
	17,000			Cummins, Inc.			1,567,570
	58,500			Illinois Tool Works, Inc.			3,478,995
	24,162			Ingersoll-Rand PLC			1,082,941
	80,322			ITT Corp.			1,618,488
	18,668			Joy Global, Inc.			1,046,528
	24,008			Kadant, Inc.(b)			556,746
	8,333			Middleby Corp. (The)(b)			963,628
	15,800			Parker Hannifin Corp.			1,320,564
	66,193			TriMas Corp.(b)			1,595,913
	20,984			WABCO Holdings, Inc.(b)			1,210,147
	40,815			Xylem, Inc.			1,026,497
							18,936,687
				Marine – 0.4%
	23,957			Kirby Corp.(b)			1,324,343
				Media – 2.4%
	82,700			Comcast Corp., Special Class A			2,877,960
	18,769			Liberty Media Corp. - Liberty Capital, Class A(b)			1,955,167
	79,479			Live Nation Entertainment, Inc.(b)			684,314
	32,600			Omnicom Group, Inc.			1,680,856
	20,300			Walt Disney Co. (The)			1,061,284
							8,259,581
				Metals & Mining – 1.0%
	46,000			Freeport-McMoRan Copper & Gold, Inc.			1,820,680
	31,156			Reliance Steel & Aluminum Co.			1,631,017
							3,451,697
				Multi Utilities – 0.4%
	61,322			CMS Energy Corp.			1,444,133
				Oil, Gas & Consumable Fuels – 3.9%
	32,200			Apache Corp.			2,784,334
	24,376			Approach Resources, Inc.(b)			734,449
	33,607			Cabot Oil & Gas Corp.			1,508,954
	11,403			Clayton Williams Energy, Inc.(b)			591,702
	69,115			Cloud Peak Energy, Inc.(b)			1,250,981
	12,997			Concho Resources, Inc.(b)			1,231,466
	28,400			ExxonMobil Corp.			2,597,180
	25,678			Gulfport Energy Corp.(b)			802,694
	43,270			QEP Resources, Inc.			1,369,928
	17,293			Rosetta Resources, Inc.(b)			828,335
							13,700,023
				Personal Products – 0.2%
	47,124			Prestige Brands Holdings, Inc.(b)			799,223
				Pharmaceuticals – 1.1%
	24,101			Merck & Co., Inc.			1,086,955
	40,552			Mylan, Inc.(b)			989,469

---

Shares				Description		Value (†)
	Common Stocks – continued
				Pharmaceuticals – continued
	29,898			Novartis AG, ADR		$	1,831,551
							3,907,975
				Professional Services – 0.2%
	17,442			Verisk Analytics, Inc., Class A(b)			830,414
				Real Estate Management & Development – 0.5%
	61,341			CBRE Group, Inc., Class A(b)			1,129,288
	16,739			Zillow, Inc., Class A(b)			706,051
							1,835,339
				REITs - Apartments – 0.3%
	7,339			Essex Property Trust, Inc.			1,087,933
				REITs - Diversified – 0.7%
	20,743			Digital Realty Trust, Inc.			1,448,899
	28,846			Potlatch Corp.			1,077,975
							2,526,874
				REITs - Healthcare – 0.5%
	91,460			Sabra Healthcare REIT, Inc.			1,830,115
				REITs - Office Property – 0.2%
	45,092			BioMed Realty Trust, Inc.			844,122
				Road & Rail – 1.3%
	87,057			Avis Budget Group, Inc.(b)			1,338,937
	44,085			Celadon Group, Inc.			708,446
	17,841			J.B. Hunt Transport Services, Inc.			928,445
	19,946			Kansas City Southern			1,511,508
							4,487,336
				Semiconductors & Semiconductor Equipment – 5.9%
	5,767			Altera Corp.			195,992
	6,912			Analog Devices, Inc.			270,881
	286,800			Applied Materials, Inc.			3,202,122
	46,548			ARM Holdings PLC, Sponsored ADR			1,302,413
	125,148			Atmel Corp.(b)			658,278
	22,367			Hittite Microwave Corp.(b)			1,240,697
	255,000			Intel Corp.			5,783,400
	98,729			Kulicke & Soffa Industries, Inc.(b)			1,026,782
	32,500			Lam Research Corp.(b)			1,033,013
	6,846			Mellanox Technologies Ltd.(b)			695,074
	27,620			Microchip Technology, Inc.			904,279
	57,509			NXP Semiconductors NV(b)			1,438,300
	98,600			Texas Instruments, Inc.			2,716,430
							20,467,661
				Software – 6.1%
	41,428			Autodesk, Inc.(b)			1,382,453
	29,480			BMC Software, Inc.(b)			1,223,125
	185,217			Comverse Technology, Inc.(b)			1,139,085
	14,278			FactSet Research Systems, Inc.			1,376,685
	34,401			Fortinet, Inc.(b)			830,440
	26,441			MICROS Systems, Inc.(b)			1,298,782

---

Shares				Description		Value (†)
	Common Stocks – continued
				Software – continued
	46,654			Microsoft Corp.		$	1,389,356
	15,837			NetSuite, Inc.(b)			1,010,401
	204,198			Oracle Corp.			6,430,195
	26,418			SolarWinds, Inc.(b)			1,472,539
	24,444			Sourcefire, Inc.(b)			1,198,489
	53,713			Synopsys, Inc.(b)			1,773,603
	7,720			Ultimate Software Group, Inc. (The)(b)			788,212
							21,313,365
				Specialty Retail – 4.1%
	40,400			CarMax, Inc.(b)			1,143,320
	19,128			Home Depot, Inc. (The)			1,154,757
	20,739			Jos. A. Bank Clothiers, Inc.(b)			1,005,427
	29,393			Lowe’s Cos., Inc.			888,844
	16,741			PetSmart, Inc.			1,154,794
	17,268			Ross Stores, Inc.			1,115,513
	106,996			Sally Beauty Holdings, Inc.(b)			2,684,530
	33,000			Tiffany & Co.			2,042,040
	13,064			Tractor Supply Co.			1,291,899
	16,822			Ulta Salon, Cosmetics & Fragrance, Inc.			1,620,043
							14,101,167
				Textiles, Apparel & Luxury Goods – 1.4%
	25,429			Michael Kors Holdings Ltd.(b)			1,352,314
	9,800			NIKE, Inc., Class B			930,118
	24,360			Under Armour, Inc., Class A(b)			1,360,019
	7,088			VF Corp.			1,129,544
							4,771,995
				Trading Companies & Distributors – 0.7%
	30,090			United Rentals, Inc.(b)			984,244
	25,888			WESCO International, Inc.(b)			1,480,793
							2,465,037
				Water Utilities – 0.8%
	77,683			American Water Works Co., Inc.			2,878,932
				Wireless Telecommunication Services – 0.5%
	26,706			SBA Communications Corp., Class A(b)			1,679,807
				Total Common Stocks (Identified Cost $274,923,649)			338,239,148
	Closed End Investment Companies – 0.5%
	98,821			Ares Capital Corp. (Identified Cost $1,332,030)			1,693,792

---

Principal Amount				Description		Value (†)
	Short-Term Investments – 2.3%
	$7,866,122			Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2012 at 0.010% to be repurchased at $7,866,129 on 10/01/2012 collateralized by $4,395,000 Federal Home Loan Mortgage Corp., 3.000% due 8/01/2019 valued at $4,508,391; $3,435,000 U.S. Treasury Note, 1.000% due 3/31/2017 valued at $3,523,101 including accrued interest(c) (Identified Cost $7,866,122)			7,866,122
				Total Investments – 100.0% (Identified Cost $284,121,801)(a)		$	347,799,062
				Other assets less liabilities – (0.0)%			(18,145	)
				Net Assets – 100.0%		$	347,780,917

 

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.

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

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2012, the net unrealized appreciation on investments based on a cost of $284,121,801 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$	69,414,843
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value			(5,737,582	)
Net unrealized appreciation		$	63,677,261

At December 31, 2011, post-October capital loss deferrals were $344,971. This amount may be available to offset future realized gains, if any, to the extent provided by regulations.

 

(b)	Non-income producing security.

 

(c)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

 

ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

 

REITs

Real Estate Investment Trusts

---

Fair Value Measurements

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

 

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

 

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

 

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2012, at value:

Asset Valuation Inputs

 

Description		Level 1				Level 2				Level 3				Total
Common Stocks*		$	338,239,148			$	—			$	—			$	338,239,148
Closed End Investment Companies			1,693,792				—				—				1,693,792
Short-Term Investments			—				7,866,122				—				7,866,122
Total		$	339,932,940			$	7,866,122			$	—			$	347,799,062

 

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at September 30, 2012 (Unaudited)

 

Software			6.1	%
Semiconductors & Semiconductor Equipment			5.9
Machinery			5.4
IT Services			5.3
Capital Markets			4.9
Hotels, Restaurants & Leisure			4.2
Specialty Retail			4.1
Oil, Gas & Consumable Fuels			3.9
Biotechnology			3.1
Communications Equipment			2.9
Diversified Financial Services			2.8
Internet Software & Services			2.7
Energy Equipment & Services			2.7
Commercial Banks			2.6
Auto Components			2.4
Media			2.4
Chemicals			2.3
Household Durables			2.2
Health Care Equipment & Supplies			2.2
Health Care Providers & Services			2.1
Air Freight & Logistics			2.0
Other Investments, less than 2% each			25.5
Short-Term Investments			2.3
Total Investments			100.0
Other assets less liabilities			(0.0	)
Net Assets			100.0	%

---

ITEM 2.

CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3.

EXHIBITS

 

(a)(1)

Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

 

(a)(2)

Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.