N-30D 1 dn30d.txt LSIT EQUITY INCOME FUNDS ANNUAL REPORT [LOGO] LS | LOOMIS SAYLES FUNDS E Q Loomis Sayles Aggressive Growth Fund U Loomis Sayles Growth Fund I Loomis Sayles International Equity Fund T Loomis Sayles Research Fund Y Loomis Sayles Small Cap Growth Fund Loomis Sayles Small Cap Value Fund Loomis Sayles Value Fund Loomis Sayles Worldwide Fund [LOGO] LS | LOOMIS SAYLES INVESTMENT TRUST Loomis Sayles Mid Cap Growth Fund Loomis Sayles Small Company Growth Fund ANNUAL REPORT SEPTEMBER 30, 2002 CORPORATE OVERVIEW LOOMIS SAYLES FUNDS AND LOOMIS SAYLES INVESTMENT TRUST The Loomis Sayles Funds and Loomis Sayles Investment Trust are a Boston-based family of predominantly no-load mutual funds advised by Loomis, Sayles & Company, L.P. The Loomis Sayles Funds and the Loomis Sayles Benchmark Core Bond Fund, a series of the Loomis Sayles Investment Trust, generally have investment minimums and a pricing structure, including multiple classes, that may make them an appropriate investment for certain individual investors and retirement plan participants. The Loomis Sayles Investment Trust series generally have higher investment minimums and a pricing structure that may make them an appropriate investment for small institutions, including endowments and foundations and high net worth individuals. Both Loomis Sayles Funds and Loomis Sayles Investment Trust offer a range of equity and fixed income investments to fit the goals of the most demanding investor. PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION: To request any of the following, press the number 1 Speak to a customer service representative regarding an existing account for the Loomis Sayles Investment Trust 2 Automated account balances, last transaction, and distribution information 3 Speak to a customer service representative regarding an existing account for the Loomis Sayles Funds 4 Net asset values and yields 5 Speak to a marketing representative
LOOMIS SAYLES FUNDS LOOMIS SAYLES INVESTMENT TRUST PHONE 800-626-9390 FOR INFORMATION ABOUT: PHONE 888-226-9699 FOR INFORMATION ABOUT: o Establishing an account o Establishing an account o Account procedures and status o Account procedures and status o Exchanges o Exchanges o Shareholder services o Shareholder services
TABLE OF CONTENTS Letter from the President 1 Economic and Market Overview 2 Average Annual Total Returns vs. Lipper Category Average and Lipper Category Index 4 LOOMIS SAYLES FUNDS Fund and Manager Reviews 5 Portfolio of Investments 14 Statements of Assets and Liabilities 44 Statements of Operations 46 Statements of Changes in Net Assets 48 Financial Highlights 52 LOOMIS SAYLES INVESTMENT TRUST Fund and Manager Reviews 61 Portfolio of Investments 64 Statements of Assets and Liabilities 70 Statements of Operations 71 Statements of Changes in Net Assets 72 Financial Highlights 73 Notes to Financial Statements 74 Report of Independent Accountants 83
As always, we are interested in your comments and answering any questions. For more complete information about any of the Loomis Sayles Funds or the Loomis Sayles Investment Trust, including charges and expenses, please call Loomis Sayles Distributors, L.P. for a free prospectus at 800-633-3330 Monday through Friday, 8:45 a.m. to 4:45 p.m. EST or visit www.loomissayles.com. Read the prospectus carefully before you invest or send money. LETTER FROM THE PRESIDENT [PHOTO] ROBERT J. BLANDING President Dear Shareholders, The financial markets for the past year can be summed up in a single word--volatile. From day-to-day, sometimes minute-to-minute, investor confidence shifted between pessimism and optimism. More often than not, conflicting economic reports, corporate earnings, accounting scandals, terrorism threats and geopolitical events fueled the uncertainty. The fallout kept even the most experienced investors on edge. Still, we are confident in our ability to navigate these current challenges and those that may lie ahead by adhering to disciplined principles and strategies that have been successful over time. Our commitment to exhaustive, in-house research remains the cornerstone of the Loomis Sayles investment philosophy. Our experienced portfolio management teams seek to identify securities with the potential to reward investors over time. This singular focus guides us through the financial markets' ups and downs. History has proven the resiliency of worldwide financial markets and there are no signs that it will be different this time around. In fact, the implications for investors may be no greater now than in previous periods of instability. The challenge is not to succumb and react to short-term market gyrations and, in turn, lose sight of your long-term financial goals. To that end, diversification remains one of the most important tools in mitigating the impact of market volatility. Different asset classes and investment styles offer varying degrees of risk and reward and often respond differently to changing market and economic factors. We encourage you to stay committed to your investment plan with an eye towards performance generated over a long-term time horizon. Patience is a key ingredient in almost any worthwhile endeavor and investing is no different. As always, we appreciate the confidence and trust you place in the Loomis Sayles Funds and the Loomis Sayles Investment Trust to help meet your investment needs. Sincerely, /S/ Robert J. Blanding Robert J. Blanding President Loomis Sayles Funds Loomis Sayles Investment Trust LOOMIS SAYLES EQUITY FUNDS 1 ECONOMIC AND MARKET OVERVIEW Annual Report for the Year Ended September 30, 2002 Economic Review Despite what seems to be a global economic malaise, the economies of the world have shown gradual movement upward. In the United States, consumer spending has been good, with particular support coming from mortgage-refinancing activity. Business spending, though, remained cautious due to excess capacity in many areas, fear of war with Iraq, and strong currency and market volatility. Nevertheless, productivity continued to increase throughout the economic recession, and in the first two quarters of calendar year 2002, non-farm productivity increased by 4.8 percent. We seem to be in one of those periods where the economy will fluctuate up and down at a moderate rate due to the periodic buildups and rundowns of inventory. This may go on until capital spending kicks in, which doesn't look likely for a couple of years. Still, we feel that the U.S. economy appears to be in better shape than at any time since mid-2001. Worldwide, it appears that a moderate economic recovery is going on, and we believe that this recovery should pick up a bit next year, as employment improves slightly in North America and Europe and capital and consumer spending continue to forge ahead in Asia. Most central banks remain supportive of a recovery, pumping liquidity into their economies and markets as needed. Overall, we believe world economic growth is strong enough to support employment, but not strong enough to put any strain on the capital markets. Stock Market Review The U.S. stock market continued to challenge investors during the 12-month period ended September 30, 2002, posting a total return of -20.49 percent, as measured by the Standard & Poor's ("S&P") 500 Index. The year-to-date return for the S&P 500 index was -28.16 percent as of September 30, 2002, putting stocks on track for their third-consecutive calendar year of negative performance--a record the market hasn't generated since 1941. On the bright side, we remain confident that the market continues to offer good opportunities for long-term investors. In the late 1990s, many stocks soared to unsustainable price and valuation levels. But due to the significant sell off of the last few years, we feel that valuation levels among most stocks now appear reasonable. Moreover, we believe that attractive valuations combined with an improving economy should help stocks get back on a positive track. We believe that corporate profits in the United States have improved, despite the headlines. It is our belief that with cost cutting and some revenue growth, operating earnings have actually edged up. For the time being, depreciation charges and write-offs are holding back reported earnings. But we feel that these charges should decline substantially over the next year or so, allowing reported earnings to catch up with the growth in operating earnings and show above-average growth as the economy moves forward. Throughout the current bear market, value stocks maintained a comfortable performance edge over their growth-stock counterparts. But that changed in the final three months of the fiscal year, when a strong market retrenchment in the third quarter of calendar 2002 closed the gap between the growth and value styles. Looking ahead, we do not anticipate another extreme move for either style any time soon. In fact, we believe that both styles have good long-term potential, and that sound stock selection within the growth and value universes will be the key to uncovering potential and capturing performance. For the near term, we believe the market will remain range-bound until the economy reaccelerates, probably some time in 2003. Of course, capital spending must rebound before the economy can take the next step forward. Market, economic and political uncertainty are fostering a cautious approach among businesses. But as this uncertainty dissolves, we look for businesses to resume spending. In the meantime, the Federal Reserve is accommodative and vigilant, and consumers remain confident enough to continue spending. These positive influences eventually should have a positive impact on future economic growth and investor sentiment. International stock markets have proven to be equally challenging for investors, causing some market pundits to question the importance of international diversification. Although it's clear that companies and financial markets are becoming more global, during times of crisis the performance correlations among global markets are closer than during periods of stability. Despite the recent close relationship between U.S. stock market performance and international stock market performance, we believe the diversification benefits remain significant, because the markets eventually will revert back to their "normal" correlations. In particular, we remain optimistic toward Europe and Asia, where many countries are experiencing a political shift to a more business-friendly environment. In addition, European markets are trading at more attractive valuation levels than other international markets. Bond Market Review Risk aversion increased sharply as the fiscal year progressed, and this phenomenon was most notable in stock price weakness. But risk aversion also dragged down prices for corporate bonds and emerging market debt, and it even caused spreads to widen for U.S. agency paper. (Wider spreads refer to greater yield differences between Treasuries and non-Treasury securities of comparable maturity. When spreads widen, prices on the non-Treasury securities decline; when spreads tighten, prices on the non-Treasury securities increase.) But the flip side of risk aversion is a flight-to-quality, and Treasury and AAA-rated securities (the highest quality rating) benefited nicely throughout the fiscal year. The outlook for bond-market financing is mixed. We believe that the government sectors in the United States and Europe are going to require significant funds over the next few years, and we believe that it is likely that the federal deficits will continue to grow for a number of years. On the other hand, corporate-sector financing probably will decline considerably due to lower capital spending, a tight reign on inventories and receivables, and the wrap-up of debt maturity extension. Because the consumer sector is growing, it is reasonable to assume that consumer debt will continue to grow, although at a lower rate than it was during the last few years. We believe that the net effect is that the future financing calendar will not be growing very much, as the government sector replaces the corporate sector as the major borrower. Looking ahead, based on the current market, we believe it's prudent to de-emphasize Treasuries and other high-quality areas, primarily because these sectors now appear overvalued, and because government demands for funds likely will be increasing. At the same time, we believe it's an appropriate time to emphasize corporate securities, due to their wide spreads, an end to the deteriorating credit fundamentals trend, and the likely lighter corporate-financing calendar. Also, strong stock market declines have prompted many investors to sell bonds to buy stocks. Once this tendency ends, we expect reinvestment demand to cause some tightening of corporate spreads. The views expressed in this report reflect those of the firm only through the end of the period of the report as stated on the cover and do not necessarily represent the views of any particular person in the organization. Any such views are subject to change at any time based upon market or other conditions and the firm disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund. LOOMIS SAYLES EQUITY FUNDS 3 INSTITUTIONAL CLASS AVERAGE ANNUAL TOTAL RETURNS VS. LIPPER CATEGORY AVERAGE AND LIPPER CATEGORY INDEX/(1)/ FOR THE PERIODS ENDED SEPTEMBER 30, 2002
Since 1 Year 3 Years 5 Years 10 Years Inception/(2)//(3)/ -------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES FUNDS Loomis Sayles Aggressive Growth Fund -21.09% -17.35% -0.05% NA 4.01% Lipper Mid-Cap Growth Funds Average -17.08% -11.25% -3.83% NA -0.10% Rank 349/495 245/305 68/206 NA 53/184 Percentile 71 80 33 NA 29 Lipper Mid-Cap Growth Funds Index -18.57% -12.52% -3.37 NA -0.23% Loomis Sayles Growth Fund -11.35% -14.06% -5.63% 6.04% 6.46% Lipper Large-Cap Growth Funds Average -22.17% -17.46% -4.49% 6.19% 6.48% Rank 15/683 109/453 211/308 53/90 52/75 Percentile 2 24 69 59 69 Lipper Large-Cap Growth Funds Index -21.31% -19.13% -4.96% 6.75% 6.82% Loomis Sayles International Equity Fund -18.68% -10.52% -4.19% 3.82% 3.82% Lipper International Funds Average -14.41% -13.01% -5.41% 4.02% 3.91% Rank 634/816 160/577 131/404 42/84 23/49 Percentile 78 28 32 50 47 Lipper International Funds Index -12.37% -11.49% -4.43% 4.75% 4.19% Loomis Sayles Research Fund -16.55% NA NA NA -22.54% Lipper Large-Cap Core Funds Average -20.41% NA NA NA -22.38% Rank 122/909 NA NA NA 410/787 Percentile 13 NA NA NA 52 Lipper Large-Cap Core Funds Index -18.54% NA NA NA -21.34% Loomis Sayles Small Cap Growth Fund -28.09% -26.09% -10.69% NA -5.71% Lipper Small-Cap Growth Funds Average -17.07% -9.10% -4.37% NA -0.29% Rank 394/429 293/297 181/207 NA 141/172 Percentile 92 99 87 NA 82 Lipper Small-Cap Growth Funds Index -15.82% -7.76% -3.98 NA -0.14% Loomis Sayles Small Cap Value Fund -2.59% 6.88% 2.38% 12.93% 13.49% Lipper Small-Cap Core Funds Average -6.62% 2.34% -0.10% 9.42% 9.51% Rank 119/387 67/282 42/182 3/43 3/27 Percentile 31 24 23 7 11 Lipper Small-Cap Core Funds Index -7.01% 1.33% -0.83% 9.63% NA Loomis Sayles Value Fund -17.20% -7.27% -3.57% 7.94% 8.05% Lipper Large-Cap Value Funds Average -19.14% -7.86% -2.64% 8.15% 8.53% Rank 118/354 106/246 108/174 29/59 29/47 Percentile 33 43 62 49 62 Lipper Large-Cap Value Funds Index -19.61% -9.26% -1.77% 8.49% 8.83% Loomis Sayles Worldwide Fund -2.95% 6.51% 4.88% NA 7.14% Lipper Global Flexible Funds Average -8.53% -5.39% -0.18% NA 3.24% Rank 15/96 2/86 4/66 NA 2/45 Percentile 16 2 6 NA 4 Lipper Global Flexible Funds Index -8.34% -4.91% -0.15% NA 3.41% LOOMIS SAYLES INVESTMENT TRUST Loomis Sayles Mid Cap Growth Fund -20.87% NA NA NA -37.49% Lipper Mid-Cap Growth Funds Average -17.08% NA NA NA -26.02% Rank 348/495 NA NA NA 422/462 Percentile 70 NA NA NA 91 Lipper Mid-Cap Growth Funds Index -18.57% NA NA NA -25.62% Loomis Sayles Small Company Growth Fund -28.50% -20.54% NA NA -14.55% Lipper Small-Cap Growth Funds Average -17.07% -9.10% NA NA -5.08% Rank 400/429 281/297 NA NA 262/287 Percentile 93 95 NA NA 91 Lipper Small-Cap Growth Funds Index -15.82% -7.76% NA NA -3.72%
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (1) Lipper Category Average total return represents the average annual total return for all funds in each fund's corresponding investment category as determined by Lipper, Inc. The Lipper Category Index total return represents the average annual total return of 30 funds in each fund's corresponding investment category as determined by Lipper. Rankings are based on the total return of each fund for the period relative to the total return of all funds in that fund's corresponding investment category. It is not possible to invest directly in an index. Source: Lipper, Inc. (2) Actual Inception Dates: Aggressive Growth Fund: 12/31/96; Growth Fund: 5/16/91; International Equity Fund: 5/10/91; Research Fund: 7/31/00; Small Cap Growth Fund: 12/31/96; Small Cap Value Fund: 5/13/91; Value Fund: 5/13/91; Worldwide Fund: 5/1/96; Mid Cap Growth Fund: 2/28/01; Small Company Growth Fund: 5/7/99 (3) Lipper index and ranking performance data is reported only as of month end. For each Fund with an inception date other than at month end, Lipper index and average data is reported as of the month end closest to the Fund's inception date. Lipper ranking data is reported as of the month end following the Fund's inception date. FUND AND MANAGER REVIEW Loomis Sayles Aggressive Growth Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional, Retail and Admin classes of the Fund returned -21.09%, -21.33% and -21.45% respectively, compared to the -15.50% return for the Fund's benchmark, the Russell Midcap Growth Index. The return for the Lipper Mid-Cap Growth Funds Average was -17.08% for the same period. PORTFOLIO REVIEW | Economic uncertainty and geopolitical tensions along with accounting scandals and related acts of corporate malfeasance weighed heavily on the market during the fiscal year and led to strong negative sentiment. Our strategy involved attempting to strike a balance between companies leveraged to an economic recovery, such as consumer discretionary and technology holdings, and more defensive holdings with highly visible growth prospects, such as healthcare and consumer staples. As always, we attempted to find companies with strong fundamentals, rapid earnings growth, strong management and a solid business model. Our approach remained aggressive during the fiscal year, with significant exposure to technology stocks. It was this posture that caused the Fund to underperform its benchmark during the period. Furthermore, several disappointing stocks in the technology sector contributed to the Fund's underperformance. Valuations remained high in the sector, particularly as earnings estimates continued to fall. Nevertheless, we believe technology stocks may offer some of the greatest opportunities going forward, despite the uncertain timing of a rebound in information technology spending. The consumer has been the mainstay of the fragile economic recovery. In particular, home refinancing and growth in real wages have fueled ongoing consumer spending. Therefore, the consumer discretionary sector remained the Fund's largest overweight, and good stock selection in the retail, broadcasting and services areas of the sector added value relative to the benchmark. OUTLOOK | Historically, growth stocks have outperformed value stocks as the economy emerges from recession. Clearly, that has not been the case this time around. But the superior performance of small-cap value over growth has reached an extreme point, and relative valuations are at levels that may suggest a topping out of the value cycle. Much of the growth style's underperformance has been driven by the implosion of technology stocks, and we believe a recovery or stabilization in the technology sector probably is a prerequisite to growth's out-performance going forward. Key Fund Facts Objective | Long-term capital growth Strategy | Invests primarily in stocks with market capitalization falling within the capitalization range of the Russell Midcap Growth Index Fund Inception Date | 12/31/96 Commencement of Operations of Class | Institutional: 1/2/97; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio | Institutional: 1.00%; Retail: 1.25%; Admin: 1.50% Total Net Assets (all classes) | $42.9 million [PHOTO] [PHOTO] Chris Ely Dave Smith [PHOTO] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 3 Years 5 Years Inception/(a)/ ------------------------------------------------------------------------------------------------- Loomis Sayles Aggressive Growth Fund: Institutional -21.09% -17.35% -0.05% 4.01% Retail -21.33 -17.60 -0.36 3.72 Admin(a) -21.45 -17.95 -0.77 3.28 Lipper Mid-Cap Growth Funds Index/(b)/ -18.57 -12.52 -3.37 -0.23 Russell Midcap Growth Index/(b)/ -15.50 -13.22 -4.06 0.41
CUMULATIVE PERFORMANCE(c) Inception to September 30, 2002 [CHART]
Fund Name 12/31/1996 01/31/97 02/28/97 03/31/97 04/30/97 Loomis Sayles Aggressive Growth Fund 10,000 10,620 10,290 9,630 9,740 Russell Midcap Growth Index 10,000 10,443 10,213 9,635 9,872 Lipper Mid-Cap Growth Funds Index 10,000 10,256 9,574 8,846 8,769 Fund Name 05/31/97 06/30/97 07/31/97 08/31/97 09/30/97 Loomis Sayles Aggressive Growth Fund 10,620 10,720 11,810 11,540 12,570 Russell Midcap Growth Index 10,756 11,054 12,112 11,994 12,601 Lipper Mid-Cap Growth Funds Index 9,912 10,329 10,960 10,929 11,712 Fund Name 10/31/97 11/30/97 12/31/97 01/31/98 02/28/98 Loomis Sayles Aggressive Growth Fund 12,290 11,910 12,265 11,625 12,553 Russell Midcap Growth Index 11,970 12,096 12,254 12,033 13,165 Lipper Mid-Cap Growth Funds Index 11,056 10,879 11,134 10,923 11,851 Fund Name 03/31/98 04/30/98 05/31/98 06/30/98 07/31/98 Loomis Sayles Aggressive Growth Fund 12,980 13,322 12,724 13,375 12,692 Russell Midcap Growth Index 13,717 13,903 13,331 13,708 13,121 Lipper Mid-Cap Growth Funds Index 12,465 12,519 11,789 12,332 11,511 Fund Name 08/31/98 09/30/98 10/31/98 11/30/98 12/31/98 Loomis Sayles Aggressive Growth Fund 10,119 11,219 11,977 12,073 13,680 Russell Midcap Growth Index 10,617 11,420 12,261 13,088 14,443 Lipper Mid-Cap Growth Funds Index 9,029 9,971 10,338 11,123 12,558 Fund Name 01/31/99 02/28/99 03/31/99 04/30/1999 05/31/1999 Loomis Sayles Aggressive Growth Fund 13,813 13,537 17,363 18,248 18,923 Russell Midcap Growth Index 14,876 14,149 14,937 15,617 15,416 Lipper Mid-Cap Growth Funds Index 13,181 12,158 13,024 13,559 13,502 Fund Name 06/30/1999 07/31/1999 08/31/1999 09/30/1999 10/31/1999 Loomis Sayles Aggressive Growth Fund 21,400 21,234 22,473 22,207 27,803 Russell Midcap Growth Index 16,493 15,968 15,802 15,667 16,879 Lipper Mid-Cap Growth Funds Index 14,590 14,391 14,318 14,736 16,039 Fund Name 11/30/1999 12/31/1999 01/31/2000 02/29/2000 03/31/2000 Loomis Sayles Aggressive Growth Fund 32,629 40,738 41,880 56,943 51,718 Russell Midcap Growth Index 18,626 21,851 21,847 26,440 26,467 Lipper Mid-Cap Growth Funds Index 18,050 21,816 21,441 26,814 24,927 Fund Name 04/30/2000 05/31/2000 06/30/2000 07/31/2000 08/31/2000 Loomis Sayles Aggressive Growth Fund 46,828 42,110 48,073 46,932 55,547 Russell Midcap Growth Index 23,898 22,156 24,507 22,955 26,417 Lipper Mid-Cap Growth Funds Index 21,639 19,693 22,754 21,810 24,662 Fund Name 09/30/2000 10/31/2000 11/30/2000 12/31/2000 01/31/2001 Loomis Sayles Aggressive Growth Fund 55,028 46,678 34,943 38,459 35,283 Russell Midcap Growth Index 25,125 23,406 18,320 19,284 20,386 Lipper Mid-Cap Growth Funds Index 23,477 21,579 17,066 18,296 18,545 Fund Name 02/28/2001 03/31/2001 04/30/2001 05/31/2001 06/30/2001 Loomis Sayles Aggressive Growth Fund 27,549 23,577 27,444 26,166 25,370 Russell Midcap Growth Index 16,860 14,447 16,855 16,776 16,784 Lipper Mid-Cap Growth Funds Index 15,763 14,091 15,948 16,080 16,017 Fund Name 07/31/2001 08/31/2001 09/30/2001 10/31/2001 11/30/2001 Loomis Sayles Aggressive Growth Fund 22,838 19,944 15,890 17,436 19,240 Russell Midcap Growth Index 15,652 14,518 12,119 13,392 14,835 Lipper Mid-Cap Growth Funds Index 15,175 14,158 12,116 12,791 13,841 Fund Name 12/31/2001 01/31/2002 2/38/02 03/31/2002 04/30/2002 Loomis Sayles Aggressive Growth Fund 19,475 18,807 16,909 18,316 17,355 Russell Midcap Growth Index 15,398 14,898 14,053 15,125 14,325 Lipper Mid-Cap Growth Funds Index 14,442 13,890 13,200 14,031 13,565 Fund Name 05/31/2002 06/30/2002 07/31/2002 08/31/2002 09/30/2002 Loomis Sayles Aggressive Growth Fund 16,230 14,683 13,218 13,007 12,538 Russell Midcap Growth Index 13,898 12,364 11,162 11,123 10,240 Lipper Mid-Cap Growth Funds Index 13,112 11,935 10,648 10,521 9,868
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Class of shares. (b) Please see page 13 for a description of the indexes. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. LOOMIS SAYLES EQUITY FUNDS 5 FUND AND MANAGER REVIEW Loomis Sayles Growth Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional, Retail, and Admin classes of the Fund returned -11.35%, -11.41%, and -11.68%, respectively, compared to the -20.49% return for the Fund's benchmark, the Standard & Poor's 500 Index. The return for the Lipper Large-Cap Growth Funds Average was -22.17% for the same period. PORTFOLIO REVIEW | Key strategies during the year included over-weighting the healthcare, selected industrials, consumer discretionary and technology sectors with companies that we believe have superior earnings growth potential. We also under-weighted such sectors as consumer staples, energy and financials, because we believe their long-term revenue and earnings growth potential is lower. But, due to the current defensive environment, the near-term earnings visibility at a number of consumer staples and financial services companies led to better relative performance. We avoided the telecommunications and utilities sectors due to our belief that structural changes must occur in these areas before the surviving companies can generate substantial earnings growth. The Fund's significant out-performance relative to the S&P 500 Index during the fiscal year was primarily due to favorable stock selection. In addition, avoiding utility and telecommunications stocks during the year further enhanced the Fund's return. Finally, over-weighting the consumer discretionary sector also boosted the portfolio's one-year results. OUTLOOK | We continue to focus on companies with near-term earnings visibility, and we believe that stock selection will continue to be crucial to investment success as we enter a new fiscal year. We expect volatility in the financial markets to continue unless the perceived threat of terrorism lessens. The domestic economy continues to improve gradually, but investors' impatience with this pace coupled with the threat of political risk remains a dark cloud over the markets. Key Fund Facts Objective | Long-term growth of capital Strategy | Invests in stocks with large market capitalization Fund Inception Date | 5/16/91 Commencement of Operations of Class | Institutional: 5/16/91; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio | Institutional: 0.85%; Retail: 1.10%; Admin: 1.35% Total Net Assets (all classes) | $20.1 million [PHOTO] [PHOTO] Mark Baribeau Pamela Czekanski [PHOTO] Richard Skaggs AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 5 Years 10 Years Inception/(a)/ ----------------------------------------------------------------------------------------------- Loomis Sayles Growth Fund: Institutional -11.35% -5.63% 6.04% 6.46% Retail/(a)/ -11.41 -5.82 5.92 6.35 Admin/(a)/ -11.68 -6.27 5.53 5.98 Lipper Large-Cap Growth Funds Index/(b)/ -21.31 -4.96 6.75 6.82 S&P 500 Index/(b)/ -20.49 -1.63 9.00 8.95
CUMULATIVE PERFORMANCE/(c)/ Inception to September 30, 2002
Fund Name 05/16/1991 06/30/91 07/31/91 08/31/91 09/30/91 Lipper Large-Cap Growth Funds Index 10,000 9,455 9,974 10,313 10,207 Loomis Sayles Growth Fund 10,000 9,900 10,810 11,280 11,460 S & P 500 Index 10,000 9,542 9,987 10,223 10,052 Fund Name 10/31/91 11/30/91 12/31/91 01/31/92 02/29/92 Lipper Large-Cap Growth Funds Index 10,369 9,999 11,190 11,171 11,242 Loomis Sayles Growth Fund 11,850 11,110 12,464 12,257 12,381 S & P 500 Index 10,187 9,777 10,895 10,692 10,830 Fund Name 03/31/92 04/30/92 05/31/92 06/30/92 07/31/92 Lipper Large-Cap Growth Funds Index 10,865 10,811 10,927 10,608 10,993 Loomis Sayles Growth Fund 11,499 10,939 11,364 10,970 11,395 S & P 500 Index 10,620 10,932 10,985 10,822 11,264 Fund Name 08/31/92 09/30/92 10/31/92 11/30/92 12/31/92 Lipper Large-Cap Growth Funds Index 10,800 10,994 11,216 11,788 11,961 Loomis Sayles Growth Fund 11,177 11,343 11,956 12,599 12,931 S & P 500 Index 11,033 11,163 11,201 11,583 11,725 Fund Name 01/31/93 02/28/93 03/31/93 04/30/93 05/31/93 Lipper Large-Cap Growth Funds Index 12,012 11,795 12,170 11,795 12,240 Loomis Sayles Growth Fund 13,077 12,931 13,274 12,869 13,544 S & P 500 Index 11,823 11,984 12,237 11,941 12,261 Fund Name 06/30/93 07/31/93 08/31/93 09/30/93 10/31/93 Lipper Large-Cap Growth Funds Index 12,338 12,254 12,763 12,954 13,102 Loomis Sayles Growth Fund 13,627 13,616 14,218 14,384 14,415 S & P 500 Index 12,297 12,247 12,712 12,614 12,875 Fund Name 11/30/93 12/31/93 01/31/94 02/28/94 03/31/94 Lipper Large-Cap Growth Funds Index 12,837 13,236 13,718 13,496 12,835 Loomis Sayles Growth Fund 13,834 14,135 14,645 14,113 13,581 S & P 500 Index 12,753 12,907 13,346 12,983 12,417 Fund Name 04/30/94 05/31/94 06/30/94 07/31/94 08/31/94 Lipper Large-Cap Growth Funds Index 12,897 12,975 12,491 12,850 13,508 Loomis Sayles Growth Fund 13,700 13,733 13,060 13,505 13,961 S & P 500 Index 12,577 12,783 12,470 12,879 13,407 Fund Name 09/30/94 10/31/94 11/30/94 12/31/94 01/31/95 Lipper Large-Cap Growth Funds Index 13,187 13,524 13,026 13,127 13,229 Loomis Sayles Growth Fund 13,614 14,146 13,494 13,619 13,782 S & P 500 Index 13,079 13,373 12,886 13,077 13,416 Fund Name 02/28/95 03/31/95 04/30/95 05/31/95 06/30/95 Lipper Large-Cap Growth Funds Index 13,685 14,073 14,457 14,935 15,698 Loomis Sayles Growth Fund 14,153 14,534 14,719 15,188 16,179 S & P 500 Index 13,939 14,351 14,773 15,364 15,720 Fund Name 07/31/95 08/31/95 09/30/95 10/31/95 11/30/95 Lipper Large-Cap Growth Funds Index 16,552 16,644 17,262 17,164 17,704 Loomis Sayles Growth Fund 16,942 17,334 17,770 17,618 18,021 S & P 500 Index 16,242 16,283 16,970 16,909 17,651 Fund Name 12/31/95 01/31/96 02/29/96 03/31/96 04/30/96 Lipper Large-Cap Growth Funds Index 17,711 18,232 18,642 18,651 19,094 Loomis Sayles Growth Fund 17,829 17,805 18,377 18,401 19,463 S & P 500 Index 17,991 18,603 18,776 18,957 19,236 Fund Name 05/31/96 06/30/96 07/31/96 08/31/96 09/30/96 Lipper Large-Cap Growth Funds Index 19,658 19,481 18,438 18,991 20,313 Loomis Sayles Growth Fund 19,965 20,000 18,191 18,961 20,256 S & P 500 Index 19,733 19,808 18,933 19,332 20,421 Fund Name 10/31/96 11/30/96 12/31/96 01/31/97 02/28/97 Lipper Large-Cap Growth Funds Index 20,566 21,896 21,352 22,706 22,380 Loomis Sayles Growth Fund 21,082 21,969 21,370 23,262 21,974 S & P 500 Index 20,983 22,569 22,122 23,504 23,688 Fund Name 03/31/97 04/30/97 05/31/97 06/30/97 07/31/97 Lipper Large-Cap Growth Funds Index 21,233 22,398 23,918 24,920 27,301 Loomis Sayles Growth Fund 20,670 20,496 22,515 23,246 25,600 S & P 500 Index 22,715 24,071 25,537 26,683 28,804 Fund Name 08/31/97 09/30/97 10/31/97 11/30/97 12/31/97 Lipper Large-Cap Growth Funds Index 25,812 27,238 26,292 26,877 27,244 Loomis Sayles Growth Fund 25,024 27,245 26,965 26,142 26,607 S & P 500 Index 27,190 28,679 27,721 29,005 29,503 Fund Name 01/31/98 02/28/98 03/31/98 04/30/98 05/31/98 Lipper Large-Cap Growth Funds Index 27,726 29,843 31,232 31,755 31,045 Loomis Sayles Growth Fund 25,512 27,366 28,314 29,135 27,956 S & P 500 Index 29,829 31,981 33,619 33,957 33,373 Fund Name 06/30/98 07/31/98 08/31/98 09/30/98 10/31/98 Lipper Large-Cap Growth Funds Index 32,822 32,806 27,449 29,446 31,345 Loomis Sayles Growth Fund 29,220 27,640 22,099 24,543 26,228 S & P 500 Index 34,729 34,359 29,399 31,274 33,818 Fund Name 11/30/98 12/31/98 01/31/99 02/28/99 03/31/99 Lipper Large-Cap Growth Funds Index 33,497 37,180 39,594 37,968 40,127 Loomis Sayles Growth Fund 26,397 30,030 30,951 29,685 32,360 S & P 500 Index 35,870 37,934 39,521 38,292 39,826 Fund Name 04/30/1999 05/31/1999 06/30/1999 07/31/1999 08/31/1999 Lipper Large-Cap Growth Funds Index 40,264 38,930 41,636 40,329 40,338 Loomis Sayles Growth Fund 32,792 31,871 34,144 32,648 32,878 S & P 500 Index 41,367 40,390 42,636 41,300 41,096 Fund Name 09/30/1999 10/31/1999 11/30/1999 12/31/1999 01/31/2000 Lipper Large-Cap Growth Funds Index 39,928 42,990 45,115 50,125 48,113 Loomis Sayles Growth Fund 32,130 34,575 36,968 42,802 41,117 S & P 500 Index 39,969 42,499 43,372 45,917 43,609 Fund Name 02/29/2000 03/31/2000 04/30/2000 05/31/2000 06/30/2000 Lipper Large-Cap Growth Funds Index 50,644 54,198 50,004 47,126 50,242 Loomis Sayles Growth Fund 46,265 47,513 43,738 40,837 44,923 S & P 500 Index 42,784 46,968 45,555 44,621 45,721 Fund Name 07/31/2000 08/31/2000 09/30/2000 10/31/2000 11/30/2000 Lipper Large-Cap Growth Funds Index 49,224 53,482 49,403 46,791 40,513 Loomis Sayles Growth Fund 44,518 49,322 46,795 43,270 35,868 S & P 500 Index 45,006 47,801 45,278 45,086 41,532 Fund Name 12/31/2000 01/31/2001 02/28/2001 03/31/2001 04/30/2001 Lipper Large-Cap Growth Funds Index 40,261 41,433 35,018 31,380 34,749 Loomis Sayles Growth Fund 35,901 34,910 30,749 28,073 30,187 S & P 500 Index 41,735 43,216 39,275 36,787 39,646 Fund Name 05/31/2001 06/30/2001 07/31/2001 08/31/2001 09/30/2001 Lipper Large-Cap Growth Funds Index 34,485 33,491 32,291 29,836 26,836 Loomis Sayles Growth Fund 29,196 28,833 27,578 25,464 23,008 S & P 500 Index 39,912 38,940 38,557 36,143 33,221 Fund Name 10/31/2001 11/30/2001 12/31/2001 01/31/2002 02/28/2002 Lipper Large-Cap Growth Funds Index 27,950 30,510 30,650 29,958 28,717 Loomis Sayles Growth Fund 24,259 26,435 27,141 27,032 25,565 S & P 500 Index 33,859 36,452 36,781 36,229 35,533 Fund Name 03/31/2002 04/30/2002 05/31/2002 06/30/2002 07/31/2002 Lipper Large-Cap Growth Funds Index 29,872 27,882 27,375 25,147 23,253 Loomis Sayles Growth Fund 26,706 25,891 25,727 23,930 21,916 S & P 500 Index 36,866 34,632 34,375 31,928 29,441 Fund Name 08/31/2002 09/30/2002 Lipper Large-Cap Growth Funds Index 23,381 21,115 Loomis Sayles Growth Fund 21,915 20,391 S & P 500 Index 29,632 26,411
Start date for indexes is 5/31/91 Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and the Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (b) Please see page 13 for a description of the indexes. Since Index data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (May 31, 1991). (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. FUND AND MANAGER REVIEW Loomis Sayles International Equity Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional, Retail, and Admin classes of the Fund returned -18.68%, -18.79%, and -18.97% respectively. The Fund's benchmark, the Morgan Stanley Capital International-EAFE Index, a broad market index representing 21 international markets in Europe, Australia and the Far East, returned -15.53% for the period. The return for the Lipper International Funds Average was -14.41% for the same period. PORTFOLIO REVIEW | During the fiscal year, we avoided companies and sectors that would be hurt by the worldwide economic slowdown. Instead, we took a more forward-looking approach, focusing on companies poised to benefit from an eventual increase in consumer demand and an economic recovery. As such, we increased the portfolio's exposure to information technology, materials, industrials and consumer discretionary securities and reduced positions in healthcare and consumer staples securities. The majority of the Fund's investments were in the European region, including the United Kingdom, France, Ireland and Germany, with smaller weightings in developed Asia. We also over-weighted investments in Canada and Ireland, which have proved to be good growth engines for the Fund. In addition, we maintained an emerging markets position, which performed well during the period. Japan performed relatively well during the period, primarily due to the belief that the country's stock market can't go much lower. Nevertheless, we remained cautious toward Japan, because we believe the market's fundamentals do not support the recent gains. The Fund's performance lagged that of its benchmark during the fiscal year, primarily due to our overweight position and poor stock selection in the consumer discretionary sector; poor stock selection in the healthcare sector and securities of Australia, France, the United Kingdom and Switzerland; and an overweighted position in the information technology sector. OUTLOOK | Our short-term outlook is one of continued volatility, at least until more concrete signs of economic growth become apparent and investors become comfortable owning equities again. Investors remain concerned about the war on terrorism, ongoing conflict in the Middle East and tensions with Iraq. Our longer-term outlook is brighter, because many companies have taken advantage of the economic slowdown to pare costs, improve efficiencies and lower inventories. We believe it will take only a small increase in economic activity to generate a strong increase in earnings growth. Key Fund Facts Objective | High total investment return Strategy | Invests primarily in stocks of companies organized or headquartered outside of the United States Fund Inception Date | 5/10/91 Commencement of Operations of Class | Institutional: 5/10/91; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio | Institutional: 1.00%; Retail: 1.25%; Admin: 1.50% Total Net Assets (all classes) | $46.4 million [PHOTO] [PHOTO] Eswar Menon Alexander Muromcew [PHOTO] John Tribolet AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 5 Years 10 Years Inception/(a)/ -------------------------------------------------------------------------------------------------------- Loomis Sayles International Equity Fund: Institutional -18.68% -4.19% 3.82% 3.82% Retail/(a)/ -18.79 -4.47 3.65 3.66 Admin/(a)/ -18.97 -4.88 3.18 3.21 Lipper International Funds Index/(b)/ -12.37 -4.43 4.75 4.19 Morgan Stanley Capital International-EAFE Index/(b)/ -15.53 -5.65 2.95 2.06
CUMULATIVE PERFORMANCE/(c)/ Inception to September 30, 2002 [CHART]
05/10/1991 05/31/1991 06/30/91 07/31/91 08/31/91 Fund Name Lipper International Funds Index 10,000 10,132 9,605 10,029 9,936 Loomis Sayles International Equity Fund 10,000 10,000 9,460 9,960 9,980 Morgan Stanley Capital International-EAFE Index 10,000 10,105 9,363 9,822 9,623 09/30/91 10/31/91 11/30/91 12/31/91 01/31/92 Fund Name Lipper International Funds Index 10,222 10,264 9,897 10,361 10,474 Loomis Sayles International Equity Fund 10,360 10,280 9,980 10,366 10,649 Morgan Stanley Capital International-EAFE Index 10,165 10,309 9,828 10,336 10,115 02/29/92 03/31/92 04/30/92 05/31/92 06/30/92 Fund Name Lipper International Funds Index 10,490 10,150 10,417 10,940 10,607 Loomis Sayles International Equity Fund 10,992 10,831 10,962 11,416 11,214 Morgan Stanley Capital International-EAFE Index 9,753 9,109 9,152 9,764 9,302 07/31/92 08/31/92 09/30/92 10/31/92 11/30/92 Fund Name Lipper International Funds Index 10,211 10,260 10,042 9,744 9,796 Loomis Sayles International Equity Fund 10,966 10,774 10,531 9,713 9,713 Morgan Stanley Capital International-EAFE Index 9,064 9,632 9,442 8,947 9,031 12/31/92 01/31/93 02/28/93 03/31/93 04/30/93 Fund Name Lipper International Funds Index 9,917 9,954 10,177 10,767 11,325 Loomis Sayles International Equity Fund 9,839 10,094 10,359 10,768 11,074 Morgan Stanley Capital International-EAFE Index 9,077 9,076 9,350 10,166 11,130 05/31/93 06/30/93 07/31/93 08/31/93 09/30/93 Fund Name Lipper International Funds Index 11,587 11,359 11,719 12,495 12,448 Loomis Sayles International Equity Fund 11,421 10,992 11,176 12,237 12,135 Morgan Stanley Capital International-EAFE Index 11,365 11,188 11,580 12,205 11,930 10/31/93 11/30/93 12/31/93 01/31/94 02/28/94 Fund Name Lipper International Funds Index 13,063 12,545 13,803 14,663 14,310 Loomis Sayles International Equity Fund 12,931 12,676 13,631 14,540 14,170 Morgan Stanley Capital International-EAFE Index 12,298 11,223 12,033 13,050 13,014 03/31/94 04/30/94 05/31/94 06/30/94 07/31/94 Fund Name Lipper International Funds Index 13,655 14,017 13,996 13,775 14,199 Loomis Sayles International Equity Fund 13,641 13,779 13,568 13,420 13,789 Morgan Stanley Capital International-EAFE Index 12,454 12,982 12,908 13,090 13,216 08/31/94 09/30/94 10/31/94 11/30/94 12/31/94 Fund Name Lipper International Funds Index 14,690 14,311 14,567 13,887 13,702 Loomis Sayles International Equity Fund 13,853 13,641 13,684 13,282 13,391 Morgan Stanley Capital International-EAFE Index 13,529 13,103 13,539 12,888 12,969 01/31/95 02/28/95 03/31/95 04/30/95 05/31/95 Fund Name Lipper International Funds Index 13,022 13,019 13,361 13,852 13,989 Loomis Sayles International Equity Fund 13,137 13,506 13,679 14,337 14,798 Morgan Stanley Capital International-EAFE Index 12,471 12,435 13,211 13,707 13,544 06/30/95 07/31/95 08/31/95 09/30/95 10/31/95 Fund Name Lipper International Funds Index 14,042 14,814 14,563 14,807 14,499 Loomis Sayles International Equity Fund 14,764 15,156 14,487 14,775 14,475 Morgan Stanley Capital International-EAFE Index 13,307 14,135 13,596 13,861 13,489 11/30/95 12/31/95 01/31/96 02/29/96 03/31/96 Fund Name Lipper International Funds Index 14,650 15,075 15,431 15,497 15,739 Loomis Sayles International Equity Fund 14,348 14,560 15,047 15,197 15,222 Morgan Stanley Capital International-EAFE Index 13,864 14,423 14,482 14,531 14,839 04/30/96 05/31/96 06/30/96 07/31/96 08/31/96 Fund Name Lipper International Funds Index 16,252 16,234 16,382 15,829 16,036 Loomis Sayles International Equity Fund 15,647 15,584 15,722 15,347 15,634 Morgan Stanley Capital International-EAFE Index 15,271 14,990 15,074 14,634 14,666 09/30/96 10/31/96 11/30/96 12/31/96 01/31/97 Fund Name Lipper International Funds Index 16,394 16,329 17,097 17,250 17,272 Loomis Sayles International Equity Fund 15,931 16,193 16,894 17,225 17,329 Morgan Stanley Capital International-EAFE Index 15,055 14,901 15,494 15,295 14,759 02/28/97 03/31/97 04/30/97 05/31/97 06/30/97 Fund Name Lipper International Funds Index 17,584 17,677 17,754 18,755 19,656 Loomis Sayles International Equity Fund 17,212 17,277 17,251 18,088 18,874 Morgan Stanley Capital International-EAFE Index 15,001 15,055 15,135 16,120 17,009 07/31/97 08/31/97 09/30/97 10/31/97 11/30/97 Fund Name Lipper International Funds Index 20,287 18,824 20,032 18,512 18,356 Loomis Sayles International Equity Fund 19,485 17,787 18,981 17,349 16,978 Morgan Stanley Capital International-EAFE Index 17,284 15,993 16,889 15,591 15,432 12/31/97 01/31/98 02/28/98 03/31/98 04/30/98 Fund Name Lipper International Funds Index 18,500 18,948 20,150 21,245 21,571 Loomis Sayles International Equity Fund 17,055 17,735 18,851 19,787 19,832 Morgan Stanley Capital International-EAFE Index 15,567 16,279 17,323 17,856 17,998 05/31/98 06/30/98 07/31/98 08/31/98 09/30/98 Fund Name Lipper International Funds Index 21,614 21,425 21,754 18,624 18,045 Loomis Sayles International Equity Fund 19,304 18,565 18,851 16,693 16,210 Morgan Stanley Capital International-EAFE Index 17,910 18,046 18,229 15,971 15,481 10/31/98 11/30/98 12/31/98 01/31/99 02/28/99 Fund Name Lipper International Funds Index 19,372 20,342 20,843 20,969 20,430 Loomis Sayles International Equity Fund 17,297 18,142 18,645 18,629 17,761 Morgan Stanley Capital International-EAFE Index 17,095 17,971 18,679 18,624 18,180 03/31/99 04/30/1999 05/31/1999 06/30/1999 07/31/1999 Fund Name Lipper International Funds Index 21,110 22,093 21,272 22,281 22,779 Loomis Sayles International Equity Fund 18,040 18,784 18,195 19,157 20,041 Morgan Stanley Capital International-EAFE Index 18,939 19,707 18,692 19,421 19,998 08/31/1999 09/30/1999 10/31/1999 11/30/1999 12/31/1999 Fund Name Lipper International Funds Index 22,959 23,033 23,836 25,585 28,728 Loomis Sayles International Equity Fund 20,475 21,390 23,081 28,336 35,466 Morgan Stanley Capital International-EAFE Index 20,071 20,273 21,032 21,763 23,716 01/31/2000 02/29/2000 03/31/2000 04/30/2000 05/31/2000 Fund Name Lipper International Funds Index 27,046 28,831 28,906 27,072 26,328 Loomis Sayles International Equity Fund 33,831 39,891 36,869 32,494 29,984 Morgan Stanley Capital International-EAFE Index 22,209 22,807 23,691 22,445 21,896 06/30/2000 07/31/2000 08/31/2000 09/30/2000 10/31/2000 Fund Name Lipper International Funds Index 27,547 26,654 27,105 25,526 24,659 Loomis Sayles International Equity Fund 31,255 29,241 30,149 28,746 26,269 Morgan Stanley Capital International-EAFE Index 22,753 21,799 21,988 20,917 20,423 11/30/2000 12/31/2000 01/31/2001 02/28/2001 03/31/2001 Fund Name Lipper International Funds Index 23,618 24,500 24,644 22,915 21,304 Loomis Sayles International Equity Fund 24,593 25,632 25,615 23,260 21,337 Morgan Stanley Capital International-EAFE Index 19,657 20,356 20,346 18,820 17,566 04/30/2001 05/31/2001 06/30/2001 07/31/2001 08/31/2001 Fund Name Lipper International Funds Index 22,599 22,052 21,429 20,872 20,454 Loomis Sayles International Equity Fund 22,480 22,203 21,839 21,216 20,610 Morgan Stanley Capital International-EAFE Index 18,786 18,123 17,382 17,066 16,633 09/30/2001 10/31/2001 11/30/2001 12/31/2001 01/31/2002 Fund Name Lipper International Funds Index 18,225 18,719 19,417 19,763 18,964 Loomis Sayles International Equity Fund 18,842 19,273 19,508 19,752 18,749 Morgan Stanley Capital International-EAFE Index 14,949 15,331 15,897 15,991 15,142 02/28/2002 03/31/2002 04/30/2002 05/31/2002 06/30/2002 Fund Name Lipper International Funds Index 19,230 20,247 20,389 20,680 19,864 Loomis Sayles International Equity Fund 18,946 19,694 19,438 19,695 18,808 Morgan Stanley Capital International-EAFE Index 15,248 16,146 16,178 16,384 15,732 07/31/2002 08/31/2002 09/30/2002 Fund Name Lipper International Funds Index 17,881 17,896 15,968 Loomis Sayles International Equity Fund 17,076 17,037 15,323 Morgan Stanley Capital International-EAFE Index 14,179 14,146 12,627
Start date for indexes is 4/30/91 Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (b) Since Index data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (April 30,1991). Please see page 13 for a description of the indexes. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. LOOMIS SAYLES EQUITY FUNDS 7 FUND AND MANAGER REVIEW Loomis Sayles Research Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional class of the Fund returned -16.55% and for the period from November 30, 2001 through September 30, 2002, the Retail class returned -25.16%. The return for the one-year period ended September 30, 2002 for the Fund's benchmark, the S&P 500 Index was -20.49%. The average large cap core fund, as measured by Lipper, Inc., posted a total return of -20.41% for the same period. PORTFOLIO REVIEW | Throughout the one-year period our sector analysts focused solely on uncovering industries and companies with the best fundamentals, rather than trying to make sector bets or time style shifts. With the economic outlook uncertain, the best performance emanated from the more defensive areas, such as consumer staples and healthcare. Most cyclically oriented stocks had earnings disappointments, as the long awaited economic recovery matured more slowly than anticipated. Without a clearer picture of when the recovery will move into higher gear, earnings estimates and valuation models for these stocks remain uncertain. The consumer discretionary sector has been the exception, as strong consumer spending has buoyed many areas of the sector and earnings estimates have been revised upward. Looking ahead, though, expectations are high, but valuation levels are not compelling. If growth falters, there is risk of a sell off. Our sector-neutral strategy was particularly effective in this volatile market. Eight out of our 10 market sectors outperformed the corresponding S&P 500 market sector. Overall, the Fund outperformed the S&P 500 Index during the year, primarily due to strong performance from the portfolio's consumer staples, energy and utilities sectors. We achieved the strongest relative performance in the utilities (+1% for the Fund versus -36% for the S&P 500), energy (+1% vs. -13%) and technology (-22% vs. -31%) sectors. Compared to the S&P 500, the Fund's toughest sledding came in the materials (-19% for the Fund versus -6% for the S&P 500) and financials (-18% vs. -15%) sectors. OUTLOOK | As always, the market will follow the trend in earnings, which in turn will reflect the health of the economy. But for the economy to take the next leg upward, capital spending needs to rebound. As such, the market likely is confined to a trading range until the economy re-accelerates, which may be contingent on a resolution to the Iraq conflict, lower oil prices and a rebound in business confidence in the United States. On the positive side, the economy continues to stagger ahead, the Federal Reserve Board remains accommodative and vigilant, stock valuation levels now seem reasonable, and consumers are confident enough to continue spending. Key Fund Facts Objective | Long-term capital growth Strategy | Invests in stocks with large capitalization but may invest in companies of any size Fund Inception Date | 7/31/00 Commencement of Operations of Class | Institutional: 7/31/00; Retail: 11/30/01 Expense Ratio | Institutional: 0.85%; Retail: 1.10% Total Net Assets (all classes) | $15.9 million [PHOTO] Lauriann Kloppenburg AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year Inception/(a)/ ---------------------------------------------------------------------------- Loomis Sayles Research Fund: Institutional -16.55% -22.54% Retail/(a)/ -16.86 -22.78 Lipper Large-Cap Core Funds Index/(b)/ -18.54 -21.34 S&P 500 Index(b) -20.49 -21.80
CUMULATIVE PERFORMANCE/(c)/ Inception to September 30, 2002 [CHART]
Fund Name 07/31/2000 08/31/2000 09/30/2000 10/31/2000 11/30/2000 Loomis Sayles Research Fund 10,000 10,940 10,540 10,110 8,704 S&P 500 Index 10,000 10,621 10,060 10,018 9,228 Lipper Large Cap Core Funds Index 10,000 10,690 10,121 10,003 9,124 Fund Name 12/31/2000 01/31/2001 02/28/2001 03/31/2001 04/30/2001 Loomis Sayles Research Fund 9,046 9,156 8,151 7,659 8,312 S&P 500 Index 9,273 9,602 8,727 8,174 8,809 Lipper Large Cap Core Funds Index 9,235 9,497 8,613 8,084 8,699 Fund Name 05/31/2001 06/30/2001 07/31/2001 08/31/2001 09/30/2001 Loomis Sayles Research Fund 8,382 8,242 8,010 7,548 6,885 S&P 500 Index 8,868 8,652 8,567 8,031 7,381 Lipper Large Cap Core Funds Index 8,748 8,515 8,392 7,898 7,298 Fund Name 10/31/2001 11/30/2001 12/31/2001 01/31/2002 02/28/2002 Loomis Sayles Research Fund 7,126 7,648 7,817 7,737 7,656 S&P 500 Index 7,523 8,099 8,172 8,050 7,895 Lipper Large Cap Core Funds Index 7,471 7,960 8,050 7,923 7,790 Fund Name 03/31/2002 04/30/2002 05/31/2002 06/30/2002 07/31/2002 Loomis Sayles Research Fund 7,938 7,616 7,525 7,032 6,469 S&P 500 Index 8,191 7,695 7,638 7,094 6,542 Lipper Large Cap Core Funds Index 8,054 7,633 7,577 7,054 6,530 Fund Name 08/31/2002 09/30/2002 Loomis Sayles Research Fund 6,418 $5,744 S&P 500 Index 6,584 $5,868 Lipper Large Cap Core Funds Index 6,583 $5,944
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (November 30, 2001) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective class of shares. (b) Please see page 13 for a description of the indexes. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail Class of shares would, due to the higher fees paid by the Retail Class of shares, be lower. FUND AND MANAGER REVIEW Loomis Sayles Small Cap Growth Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional, Retail, and Admin classes of the Fund returned -28.09%, -28.21%, and -28.36%, respectively, compared to the -18.16% return for the Fund's benchmark, the Russell 2000 Growth Index. The Lipper Small-Cap Growth Funds Average posted a total return of -17.07% for the same period. PORTFOLIO REVIEW | Our primary investment strategy focused on finding companies with strong fundamentals, rapid earnings growth, a strong management, and a solid business model. We remained aggressive throughout the year, with a significant position in technology stocks, increased exposure to consumer discretionary stocks and little cash. In general, the Fund owned stocks with earnings growth rates expected to be higher than the market as a whole. The consumer discretionary sector remained the most significant over-weight in the Fund. The consumer remains the strongest segment of the U.S. economy, and companies serving consumers continued to post the best sales and earnings growth results. We reduced the Fund's technology exposure since we were unable to find many names with great near-term prospects. Although we reduced the Fund's technology weighting, we still maintained an over-weighting in the sector. Technology stocks were among the worst performers for the period, and our emphasis on technology was the key reason the Fund underperformed its benchmark during the year. We also under-weighted financial services stocks, given their relatively slow-growth characteristics and illiquidity. But, these stocks were strong performers in the current interest rate environment, and our minimal exposure hurt performance. When evaluating relative performance, it's also important to note that compared to the benchmark, the Fund has a relatively concentrated portfolio of approximately 70 stocks. Therefore, the performance of any individual holding will have a much greater impact on the Fund than the benchmark. In a difficult economic environment, the chance that any individual stock will have a negative impact is higher than in a more favorable climate. OUTLOOK | We believe that the equity market and growth stocks remain attractive over the long term. However, the near-term outlook remains unclear, given investor sentiment and uncertainty over the strength of the economy and the war on terrorism. Yet after one of the most severe bear markets since the Depression, stocks finally have begun to return to attractive valuations, particularly when looking at a 12-month forward perspective. Key Fund Facts Objective | Long-term capital growth Strategy | Invests in stocks with market capitalization falling within the capitalization range of the Russell 2000 Index Fund Inception Date | 12/31/96 Commencement of Operations of Class | Institutional: 1/2/97; Retail: 1/2/97; Admin: 7/31/00 Expense Ratio | Institutional: 1.00%; Retail: 1.25%; Admin: 1.50% Total Net Assets (all classes) | $75.6 million [PHOTO] [PHOTO] Chris Ely Dave Smith [PHOTO] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 3 Years 5 Years Inception/(a)/ ----------------------------------------------------------------------------------------------- Loomis Sayles Small Cap Growth Fund: Institutional -28.09% -26.09% -10.69% -5.71% Retail -28.21 -26.29 -10.93 -5.94 Admin/(a)/ -28.36 -26.60 -11.25 -6.28 Lipper Small-Cap Growth Funds Index/(b)/ -15.82 -7.76 -3.98 -0.14 Russell 2000 Growth Index/(b)/ -18.16 -15.22 -9.49 -4.94 Russell 2000 Index/(b)/ -9.30 -4.11 -3.19 1.29
CUMULATIVE PERFORMANCE/(c)/ Inception to September 30, 2002 [CHART]
12/31/1996 01/31/97 02/28/97 03/31/97 04/30/97 Loomis Sayles Small Cap Growth Fund 10,000 10,260 9,500 8,510 8,350 Russell 2000 Growth Index 10,000 10,250 9,631 8,951 8,848 Lipper Small-Cap Growth Funds Index 10,000 10,232 9,493 8,808 8,677 Russell 2000 Index 10,000 10,200 9,952 9,483 9,509 05/31/97 06/30/97 07/31/97 08/31/97 09/30/97 Loomis Sayles Small Cap Growth Fund 9,710 10,280 11,110 11,300 12,550 Russell 2000 Growth Index 10,177 10,523 11,062 11,394 12,303 Lipper Small-Cap Growth Funds Index 9,881 10,409 11,036 11,211 12,155 Russell 2000 Index 10,567 11,020 11,533 11,797 12,660 10/31/97 11/30/97 12/31/97 01/31/98 02/28/98 Loomis Sayles Small Cap Growth Fund 11,670 11,540 11,943 11,552 12,808 Russell 2000 Growth Index 11,564 11,288 11,295 11,144 12,128 Lipper Small-Cap Growth Funds Index 11,533 11,273 11,123 10,957 11,843 Russell 2000 Index 12,104 12,026 12,236 12,043 12,934 03/31/98 04/30/98 05/31/98 06/30/98 07/31/98 Loomis Sayles Small Cap Growth Fund 13,388 13,209 12,101 13,282 11,974 Russell 2000 Growth Index 12,636 12,714 11,790 11,911 10,916 Lipper Small-Cap Growth Funds Index 12,379 12,469 11,587 11,926 11,029 Russell 2000 Index 13,467 13,541 12,812 12,839 11,800 08/31/98 09/30/98 10/31/98 11/30/98 12/31/98 Loomis Sayles Small Cap Growth Fund 9,273 10,371 10,782 12,132 14,179 Russell 2000 Growth Index 8,396 9,247 9,730 10,485 11,433 Lipper Small-Cap Growth Funds Index 8,620 9,081 9,439 10,207 11,230 Russell 2000 Index 9,508 10,253 10,671 11,230 11,925 01/31/99 02/28/99 03/31/99 04/30/1999 05/31/1999 Loomis Sayles Small Cap Growth Fund 14,591 13,673 14,717 14,854 14,580 Russell 2000 Growth Index 11,948 10,855 11,241 12,234 12,253 Lipper Small-Cap Growth Funds Index 11,501 10,395 10,865 11,289 11,350 Russell 2000 Index 12,083 11,104 11,278 12,288 12,468 06/30/1999 07/31/1999 08/31/1999 09/30/1999 10/31/1999 Loomis Sayles Small Cap Growth Fund 16,764 16,268 16,743 17,661 19,929 Russell 2000 Growth Index 12,899 12,500 12,033 12,265 12,579 Lipper Small-Cap Growth Funds Index 12,413 12,369 12,195 12,637 13,374 Russell 2000 Index 13,032 12,674 12,205 12,208 12,257 11/30/1999 12/31/1999 01/31/2000 02/29/2000 03/31/2000 Loomis Sayles Small Cap Growth Fund 22,039 27,198 26,702 36,355 31,544 Russell 2000 Growth Index 13,909 16,360 16,208 19,979 17,879 Lipper Small-Cap Growth Funds Index 15,062 18,099 17,910 23,158 21,340 Russell 2000 Index 12,989 14,459 14,227 16,577 15,484 04/30/2000 05/31/2000 06/30/2000 07/31/2000 08/31/2000 Loomis Sayles Small Cap Growth Fund 29,012 25,088 28,063 25,183 29,403 Russell 2000 Growth Index 16,074 14,666 16,561 15,141 16,734 Lipper Small-Cap Growth Funds Index 18,702 17,173 20,197 18,883 20,914 Russell 2000 Index 14,552 13,704 14,898 14,419 15,519 09/30/2000 10/31/2000 11/30/2000 12/31/2000 01/31/2001 Loomis Sayles Small Cap Growth Fund 28,464 25,679 19,052 22,260 21,253 Russell 2000 Growth Index 15,903 14,612 11,959 12,691 13,718 Lipper Small-Cap Growth Funds Index 19,879 18,387 15,256 16,605 17,111 Russell 2000 Index 15,063 14,391 12,913 14,022 14,753 02/28/2001 03/31/2001 04/30/2001 05/31/2001 06/30/2001 Loomis Sayles Small Cap Growth Fund 16,545 14,081 16,676 16,216 16,611 Russell 2000 Growth Index 11,837 10,761 12,079 12,358 12,695 Lipper Small-Cap Growth Funds Index 14,921 13,471 14,926 15,330 15,717 Russell 2000 Index 13,785 13,110 14,136 14,483 14,983 07/31/2001 08/31/2001 09/30/2001 10/31/2001 11/30/2001 Loomis Sayles Small Cap Growth Fund 14,267 12,658 9,915 11,061 11,902 Russell 2000 Growth Index 11,612 10,887 9,130 10,009 10,845 Lipper Small-Cap Growth Funds Index 14,841 13,962 11,783 12,647 13,627 Russell 2000 Index 14,172 13,715 11,868 12,563 13,535 12/31/2001 01/31/2002 02/28/02 03/31/2002 04/30/2002 Loomis Sayles Small Cap Growth Fund 12,374 11,778 10,307 10,947 10,543 Russell 2000 Growth Index 11,520 11,110 10,391 11,294 11,050 Lipper Small-Cap Growth Funds Index 14,453 14,016 13,168 14,245 13,869 Russell 2000 Index 14,370 14,221 13,831 14,943 15,079 05/31/2002 06/30/2002 07/31/2002 08/31/2002 09/30/2002 Loomis Sayles Small Cap Growth Fund 10,038 9,174 7,871 7,782 7,130 Russell 2000 Growth Index 10,404 9,522 8,058 8,054 7,473 Lipper Small-Cap Growth Funds Index 13,313 12,324 10,576 10,561 9,921 Russell 2000 Index 14,410 13,695 11,627 11,598 10,765
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Admin Class (July 31, 2000) represents the performance of the Institutional Class of shares during the periods shown adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Class of shares. (b) Please see page 13 for a description of the indexes. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. LOOMIS SAYLES EQUITY FUNDS 9 FUND AND MANAGER REVIEW Loomis Sayles Small Cap Value Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional, Retail and Admin classes of the Fund returned -2.59%, -2.79% and -3.03%, respectively, compared to the -9.30% return for the Fund's benchmark, the Russell 2000 Index. The Lipper Small-Cap Core Funds Average posted a total return of -6.62% for the same period. PORTFOLIO REVIEW | We continued to position the fund in attractively valued smaller companies. For the last two years, we have maintained a higher-quality orientation within the portfolio, due to the risks in the domestic economy and the aggressive assumptions regarding many emerging small companies. Higher quality has taken the form of larger weightings in consumer and financial services names. During the last few months of the period, we started gradually shifting our emphasis toward more economically sensitive sectors, including basic materials and producer durables, while maintaining our high-quality posture. We believe stocks in these areas should benefit from slow but steady improvement in the overall economy. We remained cautious toward technology, due to the lack of a sustainable recovery in key end markets. But, substantial underperformance throughout the sector has made valuations more interesting in select companies, and by fiscal year-end we started increasing our technology weighting. Also, although the Fund remains under-weighted in healthcare stocks, recent mixed news on the economic recovery has made the relatively stable earnings of many healthcare companies more appealing. The Fund remains under-weighted in healthcare, but we continue to look for new opportunities at reasonable valuations. The Fund's value orientation and the higher fundamental quality of the portfolio's holdings were key factors in the Fund outperforming its benchmark during the fiscal year. In addition, our stock selections in the consumer discretionary, utilities and healthcare sectors contributed significantly to the Fund's better relative performance, and the Fund's under-weighted position in technology helped the Fund's return. OUTLOOK | We expect the stock market to remain range bound in the near term, with positive factors such as low inflation, low interest rates and an accommodating Federal Reserve Board offset by uncertainty over the pace of economic recovery, overly optimistic earnings expectations and geopolitical issues. Longer term, we believe the economy will resume a steadier upward course, resulting in favorable earnings growth. Key Fund Facts Objective | Long-term capital growth Strategy | Invests primarily in stocks with market capitalizations falling within the capitalization range of the Russell 2000 Index, employing a value approach to stock selection Fund Inception Date | 5/13/91 Commencement of Operations of Class | Institutional: 5/13/91; Retail: 1/2/97; Admin: 1/2/98 Expense Ratio | Institutional: 0.90%; Retail: 1.15%; Admin: 1.40% Total Net Assets (all classes) | $345.8 million [PHOTO] [PHOTO] Joseph Gatz Daniel Thelen AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 5 Years 10 Years Inception/(a)/ -------------------------------------------------------------------------------------------------- Loomis Sayles Small Cap Value Fund: Institutional -2.59% 2.38% 12.93% 13.49% Retail/(a)/ -2.79 2.11 12.76 13.34 Admin/(a)/ -3.03 1.75 12.37 12.96 Lipper Small-Cap Core Funds Index/(b)/ -7.01 -0.83 9.63 NA Russell 2000 Index/(b)/ -9.30 -3.19 8.01 8.40 Russell 2000 Value Index/(b)/ -1.47 2.07 11.69 12.31
CUMULATIVE PERFORMANCE/(c)/ Inception to September 30, 2002
05/13/1991 05/31/1991 06/30/91 07/31/91 08/31/91 Lipper Small-Cap Core Funds Index Loomis Sayles Small Cap Value Fund 10,000 10,220 9,860 10,640 11,450 Russell 2000 Index 10,000 10,477 9,866 10,213 10,591 Russell 2000 Value Index 10,000 10,442 9,953 10,212 10,522 09/30/91 10/31/91 11/30/91 12/31/91 01/31/92 Lipper Small-Cap Core Funds Index 10,000 10,638 Loomis Sayles Small Cap Value Fund 11,460 11,690 11,400 13,048 14,374 Russell 2000 Index 10,674 10,956 10,449 11,286 12,200 Russell 2000 Value Index 10,534 10,654 10,222 10,884 11,795 02/29/92 03/31/92 04/30/92 05/31/92 06/30/92 Lipper Small-Cap Core Funds Index 10,943 10,573 10,216 10,195 9,835 Loomis Sayles Small Cap Value Fund 15,179 14,364 13,633 13,654 12,463 Russell 2000 Index 12,556 12,131 11,706 11,862 11,301 Russell 2000 Value Index 12,358 12,223 12,054 12,382 11,981 07/31/92 08/31/92 09/30/92 10/31/92 11/30/92 Lipper Small-Cap Core Funds Index 10,103 9,938 9,986 10,359 11,083 Loomis Sayles Small Cap Value Fund 12,807 12,390 12,525 12,922 14,155 Russell 2000 Index 11,694 11,364 11,626 11,996 12,914 Russell 2000 Value Index 12,432 12,190 12,420 12,710 13,496 12/31/92 01/31/93 02/28/93 03/31/93 04/30/93 Lipper Small-Cap Core Funds Index 11,503 11,841 11,571 11,887 11,498 Loomis Sayles Small Cap Value Fund 14,759 15,435 15,080 15,710 15,309 Russell 2000 Index 13,364 13,816 13,497 13,935 13,552 Russell 2000 Value Index 14,056 14,801 14,861 15,424 15,054 05/31/93 06/30/93 07/31/93 08/31/93 09/30/93 Lipper Small-Cap Core Funds Index 11,928 12,020 12,132 12,496 12,698 Loomis Sayles Small Cap Value Fund 15,962 16,042 16,432 17,314 18,105 Russell 2000 Index 14,152 14,240 14,437 15,061 15,486 Russell 2000 Value Index 15,527 15,674 15,943 16,567 16,964 10/31/93 11/30/93 12/31/93 01/31/94 02/28/94 Lipper Small-Cap Core Funds Index 12,967 12,647 13,014 13,357 13,332 Loomis Sayles Small Cap Value Fund 18,506 17,887 18,401 18,792 18,505 Russell 2000 Index 15,884 15,361 15,887 16,385 16,325 Russell 2000 Value Index 17,352 16,900 17,397 18,018 17,966 03/31/94 04/30/94 05/31/94 06/30/94 07/31/94 Lipper Small-Cap Core Funds Index 12,814 12,792 12,824 12,407 12,586 Loomis Sayles Small Cap Value Fund 17,438 17,242 16,982 16,578 16,669 Russell 2000 Index 15,463 15,555 15,381 14,858 15,103 Russell 2000 Value Index 17,160 17,329 17,304 16,853 17,164 08/31/94 09/30/94 10/31/94 11/30/94 12/31/94 Lipper Small-Cap Core Funds Index 13,166 13,189 13,258 12,923 13,035 Loomis Sayles Small Cap Value Fund 17,451 17,438 17,320 16,630 16,873 Russell 2000 Index 15,944 15,891 15,828 15,189 15,597 Russell 2000 Value Index 17,839 17,650 17,327 16,628 17,129 01/31/95 02/28/95 03/31/95 04/30/95 05/31/95 Lipper Small-Cap Core Funds Index 13,169 13,693 13,984 14,219 14,391 Loomis Sayles Small Cap Value Fund 16,925 17,582 18,002 18,054 18,422 Russell 2000 Index 15,400 16,041 16,317 16,680 16,967 Russell 2000 Value Index 17,045 17,675 17,763 18,291 18,683 06/30/95 07/31/95 08/31/95 09/30/95 10/31/95 Lipper Small-Cap Core Funds Index 14,963 15,791 16,317 16,596 16,008 Loomis Sayles Small Cap Value Fund 18,921 20,182 21,153 21,547 20,431 Russell 2000 Index 17,847 18,875 19,265 19,609 18,732 Russell 2000 Value Index 19,321 20,026 20,621 20,929 20,093 11/30/95 12/31/95 01/31/96 02/29/96 03/31/96 Lipper Small-Cap Core Funds Index 16,487 17,041 17,165 17,773 18,217 Loomis Sayles Small Cap Value Fund 21,416 22,302 22,331 23,451 23,989 Russell 2000 Index 19,519 20,034 20,013 20,636 21,057 Russell 2000 Value Index 20,892 21,539 21,682 22,021 22,484 04/30/96 05/31/96 06/30/96 07/31/96 08/31/96 Lipper Small-Cap Core Funds Index 19,474 20,353 19,429 17,851 18,761 Loomis Sayles Small Cap Value Fund 25,415 26,463 25,837 24,382 25,604 Russell 2000 Index 22,182 23,057 22,110 20,179 21,350 Russell 2000 Value Index 23,097 23,682 23,402 22,158 23,120 09/30/96 10/31/96 11/30/96 12/31/96 01/31/97 Lipper Small-Cap Core Funds Index 19,549 19,184 19,876 20,228 20,679 Loomis Sayles Small Cap Value Fund 26,468 26,857 28,140 29,070 29,589 Russell 2000 Index 22,185 21,843 22,743 23,339 23,805 Russell 2000 Value Index 23,751 24,026 25,319 26,141 26,543 02/28/97 03/31/97 04/30/97 05/31/97 06/30/97 Lipper Small-Cap Core Funds Index 20,137 19,123 19,128 21,167 22,363 Loomis Sayles Small Cap Value Fund 29,204 28,569 28,302 31,377 32,848 Russell 2000 Index 23,228 22,132 22,194 24,663 25,720 Russell 2000 Value Index 26,795 26,076 26,460 28,566 30,012 07/31/97 08/31/97 09/30/97 10/31/97 11/30/97 Lipper Small-Cap Core Funds Index 23,710 24,290 26,112 25,073 24,752 Loomis Sayles Small Cap Value Fund 34,730 35,457 37,569 36,386 36,251 Russell 2000 Index 26,917 27,533 29,548 28,250 28,067 Russell 2000 Value Index 31,271 31,768 33,880 32,959 33,320 12/31/97 01/31/98 02/28/98 03/31/98 04/30/98 Lipper Small-Cap Core Funds Index 24,725 24,364 26,184 27,417 27,680 Loomis Sayles Small Cap Value Fund 36,626 35,819 38,357 40,068 39,891 Russell 2000 Index 28,559 28,107 30,186 31,431 31,604 Russell 2000 Value Index 34,450 33,826 35,871 37,326 37,511 05/31/98 06/30/98 07/31/98 08/31/98 09/30/98 Lipper Small-Cap Core Funds Index 26,244 26,149 24,264 19,574 20,398 Loomis Sayles Small Cap Value Fund 38,180 37,688 35,249 29,210 30,685 Russell 2000 Index 29,902 29,965 27,539 22,192 23,929 Russell 2000 Value Index 36,183 35,978 33,160 27,967 29,547 10/31/98 11/30/98 12/31/98 01/31/99 02/28/99 Lipper Small-Cap Core Funds Index 21,234 22,419 23,827 23,648 21,716 Loomis Sayles Small Cap Value Fund 32,298 34,128 36,230 34,533 32,096 Russell 2000 Index 24,904 26,209 27,831 28,201 25,917 Russell 2000 Value Index 30,424 31,247 32,227 31,496 29,345 03/31/99 04/30/1999 05/31/1999 06/30/1999 07/31/1999 Lipper Small-Cap Core Funds Index 21,814 23,286 23,768 25,142 25,004 Loomis Sayles Small Cap Value Fund 32,116 34,732 35,432 37,069 36,610 Russell 2000 Index 26,321 28,680 29,099 30,415 29,580 Russell 2000 Value Index 29,103 31,760 32,736 33,922 33,117 08/31/1999 09/30/1999 10/31/1999 11/30/1999 12/31/1999 Lipper Small-Cap Core Funds Index 24,086 24,067 24,276 25,842 28,630 Loomis Sayles Small Cap Value Fund 35,392 34,613 34,273 34,985 36,365 Russell 2000 Index 28,485 28,492 28,607 30,315 33,747 Russell 2000 Value Index 31,906 31,268 30,643 30,801 31,748 01/31/2000 02/29/2000 03/31/2000 04/30/2000 05/31/2000 Lipper Small-Cap Core Funds Index 28,081 32,040 31,585 29,829 28,561 Loomis Sayles Small Cap Value Fund 35,015 37,490 39,617 39,699 38,001 Russell 2000 Index 33,205 38,688 36,137 33,963 31,983 Russell 2000 Value Index 30,918 32,807 32,961 33,156 32,650 06/30/2000 07/31/2000 08/31/2000 09/30/2000 10/31/2000 Lipper Small-Cap Core Funds Index 31,080 30,114 32,797 31,954 30,992 Loomis Sayles Small Cap Value Fund 39,249 39,903 42,399 41,764 42,542 Russell 2000 Index 34,771 33,653 36,220 35,156 33,586 Russell 2000 Value Index 33,604 34,724 36,276 36,071 35,943 11/30/2000 12/31/2000 01/31/2001 02/28/2001 03/31/2001 Lipper Small-Cap Core Funds Index 27,905 30,615 31,705 29,692 28,287 Loomis Sayles Small Cap Value Fund 41,175 44,799 46,042 44,864 43,250 Russell 2000 Index 30,139 32,727 34,431 32,172 30,598 Russell 2000 Value Index 35,211 38,994 40,071 40,015 39,373 04/30/2001 05/31/2001 06/30/2001 07/31/2001 08/31/2001 Lipper Small-Cap Core Funds Index 30,542 31,653 32,631 31,874 30,982 Loomis Sayles Small Cap Value Fund 45,628 46,958 48,790 49,074 48,507 Russell 2000 Index 32,992 33,803 34,970 33,077 32,009 Russell 2000 Value Index 41,196 42,255 43,955 42,970 42,821 09/30/2001 10/31/2001 11/30/2001 12/31/2001 01/31/2002 Lipper Small-Cap Core Funds Index 26,923 28,522 30,642 32,793 32,406 Loomis Sayles Small Cap Value Fund 43,381 44,908 47,643 51,011 50,940 Russell 2000 Index 27,700 29,320 31,590 33,539 33,190 Russell 2000 Value Index 38,094 39,088 41,899 44,463 45,054 02/28/2002 03/31/2002 04/30/2002 05/31/2002 06/30/2002 Lipper Small-Cap Core Funds Index 31,541 33,963 34,129 32,856 31,016 Loomis Sayles Small Cap Value Fund 51,378 54,363 54,510 53,507 51,720 Russell 2000 Index 32,281 34,876 35,193 33,631 31,963 Russell 2000 Value Index 45,329 48,724 50,439 48,770 47,692 07/31/2002 08/31/2002 09/30/2002 Lipper Small-Cap Core Funds Index 26,801 26,943 25,036 Loomis Sayles Small Cap Value Fund 44,970 45,703 42,257 Russell 2000 Index 27,136 27,068 25,125 Russell 2000 Value Index 40,605 40,426 37,540
*Start date for the indexes is 4/30/91 old Lipper index was small cap value funds index. lipper small cap core data only available from 1/31/92 forward Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and Admin Class (January 2, 1998) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Classes of shares. Since index performance data is not available coincident with the Fund's inception date, the beginning value of the index is the value as of the month end closest to the Fund's inception date (April 30, 1991). (b) Please see page 13 for a description of the indexes. (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. FUND AND MANAGER REVIEW Loomis Sayles Value Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional class of the Fund returned -17.20%, compared to the -20.49% return for the Fund's benchmark, the Standard & Poor's 500 Index. The Lipper Large-Cap Value Funds Average posted a total return of -19.14% for the same period. PORTFOLIO REVIEW | Our strategy is to select stocks exhibiting below-average valuations and a near-term catalyst for an improvement in the company's fundamental outlook. In a fiscal year characterized by economic uncertainty and a strong bear market, we maintained over-weighted positions in the financial, consumer discretionary and energy sectors. We believe these areas offer more attractive value opportunities and possess a more positive fundamental outlook. We under-weighted the consumer staples, healthcare and technology sectors, due to high relative valuations. In addition, the fundamental outlook for most technology companies remained poor throughout the year. The Fund outperformed its benchmark during the fiscal year, primarily due to favorable stock selection. In particular, our picks in the consumer staples, financial and industrial sectors contributed significantly to the Fund's better relative performance. In addition, the Fund's performance also benefited from our decision to underweight the technology sector, the worst-performing market segment for the year. OUTLOOK | Coming off another year of strong stock market declines, we believe conditions are ripe for a short-term rally. The market has exposed many of the negative influences, and they likely have been discounted in stock prices. The longer-term outlook appears more favorable than it has been for several years, due to the strong stock price declines already realized. The performance disparity between the value and growth segments has dissipated significantly, and we believe it's unlikely that the dramatic differences in short-term returns between growth and value stocks will continue. The outlook for value investing remains favorable, though, as investors seem unlikely to produce another bubble environment that powered the growth/momentum investing style of the late 1990s. Also, due to the extended bear market, value investors have a wider bargain bin from which to select stocks. Key Fund Facts Objective | Long-term growth of capital and income Strategy | Invests in medium- and large-sized companies and employs a value approach when selecting stocks Fund Inception Date | 5/13/91 Expense Ratio | 0.85% Total Net Assets | $33.0 million [PHOTO] [PHOTO] Warren Koontz James Carroll James has served as co-portfolio manager since November, 2002 [PHOTO] Jeffrey Wardlow AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 5 Years 10 Years Inception/(a)/ ----------------------------------------------------------------------------------------- Loomis Sayles Value Fund -17.20% -3.57% 7.94% 8.05% Lipper Large-Cap Value Funds Index/(b)/ -19.61 -1.77 8.49 8.83 S&P 500 Index/(b)/ -20.49 -1.63 9.00 9.29
CUMULATIVE PERFORMANCE Inception to September 30, 2002 [CHART]
05/13/1991 05/31/1991 06/30/91 07/31/91 08/31/91 Fund Name Loomis Sayles Value Fund 10000 10,550 9,950 10,280 10,530 S & P 500 Index 10000 10,431 9,953 10,417 10,664 Lipper Large-Cap Value Funds Index 10000 10,418 9,894 10,354 10,608 08/31/91 09/30/91 10/31/91 11/30/91 12/31/91 09/30/91 10/31/91 11/30/91 12/31/91 01/31/92 Fund Name Loomis Sayles Value Fund 10,250 10,290 9,620 10,715 11,061 S & P 500 Index 10,485 10,626 10,198 11,364 11,153 Lipper Large-Cap Value Funds Index 10,528 10,727 10,277 11,389 11,305 02/29/92 03/31/92 04/30/92 05/31/92 06/30/92 Fund Name Loomis Sayles Value Fund 11,295 11,031 11,285 11,305 11,061 S & P 500 Index 11,297 11,077 11,403 11,459 11,288 Lipper Large-Cap Value Funds Index 11,509 11,251 11,458 11,547 11,293 07/31/92 08/31/92 09/30/92 10/31/92 11/30/92 Fund Name Loomis Sayles Value Fund 11,508 11,173 11,254 11,356 11,986 S & P 500 Index 11,749 11,509 11,644 11,684 12,082 Lipper Large-Cap Value Funds Index 11,732 11,492 11,627 11,706 12,187 12/31/92 01/31/93 02/28/93 03/31/93 04/30/93 Fund Name Loomis Sayles Value Fund 12,226 12,502 12,618 12,852 12,512 S & P 500 Index 12,230 12,333 12,501 12,764 12,456 Lipper Large-Cap Value Funds Index 12,374 12,516 12,638 13,006 12,763 05/31/93 06/30/93 07/31/93 08/31/93 09/30/93 Fund Name Loomis Sayles Value Fund 12,788 12,777 12,682 13,191 13,117 S & P 500 Index 12,789 12,827 12,775 13,260 13,158 Lipper Large-Cap Value Funds Index 13,108 13,167 13,129 13,660 13,709 10/31/93 11/30/93 12/31/93 01/31/94 02/28/94 Fund Name Loomis Sayles Value Fund 13,403 13,212 13,678 14,204 14,062 S & P 500 Index 13,430 13,302 13,463 13,921 13,543 Lipper Large-Cap Value Funds Index 13,945 13,723 14,016 14,473 14,125 03/31/94 04/30/94 05/31/94 06/30/94 07/31/94 Fund Name Loomis Sayles Value Fund 13,481 13,755 13,908 13,481 13,952 S & P 500 Index 12,952 13,119 13,334 13,007 13,434 Lipper Large-Cap Value Funds Index 13,538 13,707 13,904 13,569 13,965 08/31/94 09/30/94 10/31/94 11/30/94 12/31/94 Fund Name Loomis Sayles Value Fund 14,566 14,062 14,040 13,383 13,558 S & P 500 Index 13,985 13,643 13,949 13,441 13,641 Lipper Large-Cap Value Funds Index 14,531 14,153 14,385 13,884 14,042 01/31/95 02/28/95 03/31/95 04/30/95 05/31/95 Fund Name Loomis Sayles Value Fund 13,845 14,604 14,994 15,557 16,224 S & P 500 Index 13,995 14,540 14,969 15,410 16,026 Lipper Large-Cap Value Funds Index 14,294 14,826 15,174 15,615 16,194 06/30/95 07/31/95 08/31/95 09/30/95 10/31/95 Fund Name Loomis Sayles Value Fund 16,339 16,970 17,062 17,602 17,166 S & P 500 Index 16,398 16,942 16,984 17,701 17,638 Lipper Large-Cap Value Funds Index 16,545 17,068 17,172 17,788 17,646 11/30/95 12/31/95 01/31/96 02/29/96 03/31/96 Fund Name Loomis Sayles Value Fund 17,947 18,334 18,875 19,039 19,240 S & P 500 Index 18,412 18,767 19,405 19,586 19,774 Lipper Large-Cap Value Funds Index 18,411 18,709 19,285 19,501 19,712 04/30/96 05/31/96 06/30/96 07/31/96 08/31/96 Fund Name Loomis Sayles Value Fund 19,240 19,605 19,643 18,925 19,378 S & P 500 Index 20,065 20,584 20,661 19,749 20,165 Lipper Large-Cap Value Funds Index 19,980 20,351 20,362 19,564 20,072 09/30/96 10/31/96 11/30/96 12/31/96 01/31/97 Fund Name Loomis Sayles Value Fund 20,344 20,899 22,358 22,214 23,382 S & P 500 Index 21,301 21,888 23,542 23,076 24,517 Lipper Large-Cap Value Funds Index 21,056 21,500 23,040 22,651 23,794 02/28/97 03/31/97 04/30/97 05/31/97 06/30/97 Fund Name Loomis Sayles Value Fund 23,538 22,741 23,538 24,962 26,187 S & P 500 Index 24,709 23,694 25,109 26,637 27,833 Lipper Large-Cap Value Funds Index 23,984 23,068 24,094 25,483 26,546 07/31/97 08/31/97 09/30/97 10/31/97 11/30/97 Fund Name Loomis Sayles Value Fund 28,473 27,574 28,981 27,907 28,734 S & P 500 Index 30,046 28,362 29,915 28,916 30,255 Lipper Large-Cap Value Funds Index 28,547 27,325 28,724 27,857 28,771 12/31/97 01/31/98 02/28/98 03/31/98 04/30/98 Fund Name Loomis Sayles Value Fund 28,703 28,768 30,672 31,599 31,859 S & P 500 Index 30,774 31,115 33,359 35,068 35,420 Lipper Large-Cap Value Funds Index 29,100 29,142 31,059 32,439 32,769 05/31/98 06/30/98 07/31/98 08/31/98 09/30/98 Fund Name Loomis Sayles Value Fund 31,306 31,257 29,858 25,660 27,417 S & P 500 Index 34,811 36,226 35,840 30,666 32,622 Lipper Large-Cap Value Funds Index 32,212 32,814 32,245 27,844 29,183 10/31/98 11/30/98 12/31/98 01/31/99 02/28/99 Fund Name Loomis Sayles Value Fund 29,744 30,769 31,728 31,654 30,720 S & P 500 Index 35,276 37,416 39,569 41,224 39,943 Lipper Large-Cap Value Funds Index 31,520 33,128 34,408 34,980 34,179 03/31/99 04/30/1999 05/31/1999 06/30/1999 07/31/1999 Fund Name Loomis Sayles Value Fund 31,838 34,127 33,926 34,787 33,505 S & P 500 Index 41,542 43,150 42,130 44,474 43,080 Lipper Large-Cap Value Funds Index 35,217 37,292 36,655 38,271 37,185 08/31/1999 09/30/1999 10/31/1999 11/30/1999 12/31/1999 Fund Name Loomis Sayles Value Fund 32,094 30,299 31,435 31,237 31,306 S & P 500 Index 42,867 41,692 44,330 45,241 47,896 Lipper Large-Cap Value Funds Index 36,507 35,157 36,850 36,978 38,117 01/31/2000 02/29/2000 03/31/2000 04/30/2000 05/31/2000 Fund Name Loomis Sayles Value Fund 29,957 27,549 30,331 30,206 30,725 S & P 500 Index 45,489 44,628 48,993 47,519 46,544 Lipper Large-Cap Value Funds Index 36,506 34,971 38,173 37,748 37,776 06/30/2000 07/31/2000 08/31/2000 09/30/2000 10/31/2000 Fund Name Loomis Sayles Value Fund 29,998 29,874 31,888 31,389 32,573 S & P 500 Index 47,691 46,946 49,862 47,229 47,030 Lipper Large-Cap Value Funds Index 37,359 37,190 39,343 38,721 39,031 11/30/2000 12/31/2000 01/31/2001 02/28/2001 03/31/2001 Fund Name Loomis Sayles Value Fund 31,867 33,607 34,047 33,124 31,885 S & P 500 Index 43,322 43,534 45,078 40,968 38,373 Lipper Large-Cap Value Funds Index 37,358 38,862 39,185 37,297 35,847 04/30/2001 05/31/2001 06/30/2001 07/31/2001 08/31/2001 Fund Name Loomis Sayles Value Fund 33,418 33,963 33,376 33,103 31,864 S & P 500 Index 41,355 41,632 40,619 40,219 37,701 Lipper Large-Cap Value Funds Index 37,878 38,488 37,442 37,187 35,445 09/30/2001 10/31/2001 11/30/2001 12/31/2001 01/31/2002 Fund Name Loomis Sayles Value Fund 29,178 29,388 31,016 31,707 31,425 S & P 500 Index 34,653 35,318 38,024 38,366 37,790 Lipper Large-Cap Value Funds Index 32,679 32,891 35,000 35,528 34,871 2/38/02 03/31/2002 04/30/2002 05/31/2002 06/30/2002 Fund Name Loomis Sayles Value Fund 31,274 32,334 31,536 31,753 29,439 S & P 500 Index 37,065 38,455 36,124 35,857 33,304 Lipper Large-Cap Value Funds Index 34,679 36,209 34,666 34,711 32,292 07/31/2002 08/31/2002 09/30/2002 Fund Name Loomis Sayles Value Fund 26,972 27,295 24,159 S & P 500 Index 30,710 30,909 27,549 Lipper Large-Cap Value Funds Index 29,502 29,699 26,266
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since Index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (April 30, 1991). (b) Please see page 13 for a description of the indexes. LOOMIS SAYLES EQUITY FUNDS 11 FUND AND MANAGER REVIEW Loomis Sayles Worldwide Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Institutional class of the Fund posted a total return of -2.95%, compared to the -20.49% total return for the S&P 500 Index. The total return for the Lipper Global Flexible Fund Average was -8.53% for the same period. PORTFOLIO REVIEW | Within the Fund's fixed income component, we focused on defensive and high-yield issues, including REITs (real estate investment trusts) and utilities, and a number of holdings that stand to benefit from a weakening dollar, either through a stronger competitive position or more favorable translation of foreign-source earnings. The Fund's bond portfolio contained a mix of higher-quality credits along with "opportunistic" higher-yielding securities with appreciation and yield-advantage potential. We attribute the Fund's outperformance to our strategy of moving the domestic equity portion of the Fund into a more defensive position through asset and sector allocation. We also maintained a large cash position, which helped the Fund's relative performance. In addition, effective stock selection and sector allocation were positive influences on the international equity portion of the portfolio. Japan was the best-performing country; nevertheless, we maintained an under-weighted position in Japan, because we believe the market's fundamentals do not support the gains. We over-weighted Irish and Canadian issues, which proved to be stellar performers for the portfolio. The Fund's international bond holdings included more corporate and emerging market securities relative to the benchmark, and this posture had a slightly negative influence on the Fund's relative performance. Additionally, high-yield bonds, particularly in telecommunications, and an underweighting in government and agency issues in the domestic bond portfolio hurt relative performance. OUTLOOK | Our short-term outlook for the equity market is one of continued volatility, at least until more concrete signs of economic growth become apparent and investors become comfortable owning equities again. Investors remain concerned about the U.S.-led war on terrorism, ongoing conflict in the Middle East, and tensions with Iraq. The longer-term outlook is brighter, because many companies have taken advantage of the economic slowdown to pare costs, improve efficiencies and lower inventories. In the bond portfolio, we plan to continue investing in a mix of high-quality and higher-yielding securities. Internationally, we plan to structure our holdings to take advantage of a weakening U.S. dollar and an improving global economy. Key Fund Facts Objective | High total investment return Strategy | Invests in equity and fixed income securities of U.S. and foreign issuers Fund Inception Date | 5/1/96 Expense Ratio | 1.00% Total Net Assets | $8.3 million [PHOTO] [PHOTO] Daniel Fuss Alexander Muromcew [PHOTO] [PHOTO] [PHOTO] [PHOTO] Robert Ix Eswar Menon David Rolley John Tribolet Robert has served as co-portfolio manager since September 30, 2002 AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
Since 1 Year 3 Years 5 Years Inception/(a)/ -------------------------------------------------------------------------------- Loomis Sayles Worldwide Fund -2.95% 6.51% 4.88% 7.14% Lipper Global Flexible Funds Index/(b)/ -8.34 -4.91 -0.15 3.41 S&P 500 Index/(b)/ -20.49 -12.89 -1.63 5.07
CUMULATIVE PERFORMANCE Inception to September 30, 2002 [CHART]
05/01/1996 05/31/1996 06/30/96 07/31/96 08/31/96 Fund Name Lipper Global Flexible Funds Index 10000 10,063 10,105 9,859 10,004 Loomis Sayles Worldwide Fund 10000 10,090 10,120 9,780 10,020 S & P 500 Index 10000 10,258 10,297 9,842 10,050 09/30/96 10/31/96 11/30/96 12/31/96 01/31/97 Fund Name Lipper Global Flexible Funds Index 10,285 10,412 10,855 10,870 11,071 Loomis Sayles Worldwide Fund 10,340 10,540 11,050 10,924 10,924 S & P 500 Index 10,616 10,908 11,733 11,500 12,219 02/28/97 03/31/97 04/30/97 05/31/97 06/30/97 Fund Name Lipper Global Flexible Funds Index 11,135 10,953 11,060 11,526 11,848 Loomis Sayles Worldwide Fund 10,944 10,924 11,027 11,345 11,479 S & P 500 Index 12,314 11,808 12,513 13,275 13,871 07/31/97 08/31/97 09/30/97 10/31/97 11/30/97 Fund Name Lipper Global Flexible Funds Index 12,336 11,982 12,492 12,049 12,087 Loomis Sayles Worldwide Fund 12,093 11,803 12,270 11,564 11,575 S & P 500 Index 14,974 14,135 14,909 14,411 15,078 12/31/97 01/31/98 02/28/98 03/31/98 04/30/98 Fund Name Lipper Global Flexible Funds Index 12,190 12,220 12,771 13,200 13,316 Loomis Sayles Worldwide Fund 11,308 11,652 12,363 12,477 12,317 S & P 500 Index 15,337 15,507 16,625 17,477 17,652 05/31/98 06/30/98 07/31/98 08/31/98 09/30/98 Fund Name Lipper Global Flexible Funds Index 13,202 13,192 13,063 11,617 11,803 Loomis Sayles Worldwide Fund 11,789 11,296 11,296 10,092 10,081 S & P 500 Index 17,349 18,054 17,861 15,283 16,258 10/31/98 11/30/98 12/31/98 01/31/99 02/28/99 Fund Name Lipper Global Flexible Funds Index 12,420 12,976 13,287 13,444 13,117 Loomis Sayles Worldwide Fund 10,803 11,445 11,645 11,807 11,582 S & P 500 Index 17,580 18,647 19,720 20,545 19,906 03/31/99 04/30/99 05/31/99 06/30/99 07/31/99 Fund Name Lipper Global Flexible Funds Index 13,544 14,272 14,045 14,565 14,555 Loomis Sayles Worldwide Fund 11,945 12,447 12,509 12,798 13,036 S & P 500 Index 20,703 21,504 20,996 22,164 21,470 08/31/99 09/30/99 10/31/1999 11/30/1999 12/31/1999 Fund Name Lipper Global Flexible Funds Index 14,504 14,425 14,717 15,234 16,258 Loomis Sayles Worldwide Fund 12,986 12,885 13,387 15,481 18,688 S & P 500 Index 21,364 20,778 22,093 22,547 23,870 01/31/2000 02/29/2000 03/31/2000 04/30/2000 05/31/2000 Fund Name Lipper Global Flexible Funds Index 15,926 16,812 16,731 16,171 15,917 Loomis Sayles Worldwide Fund 18,051 20,626 20,314 19,392 18,932 S & P 500 Index 22,670 22,241 24,416 23,682 23,196 06/30/2000 07/31/2000 08/31/2000 09/30/2000 10/31/2000 Fund Name Lipper Global Flexible Funds Index 16,487 16,284 16,839 16,342 16,025 Loomis Sayles Worldwide Fund 19,514 18,877 19,406 18,877 17,983 S & P 500 Index 23,768 23,396 24,849 23,538 23,438 11/30/2000 12/31/2000 01/31/2001 02/28/2001 03/31/2001 Fund Name Lipper Global Flexible Funds Index 15,406 16,030 16,237 15,418 14,658 Loomis Sayles Worldwide Fund 17,074 17,857 18,008 17,554 16,741 S & P 500 Index 21,590 21,696 22,466 20,417 19,124 04/30/2001 05/31/2001 06/30/2001 07/31/2001 08/31/2001 Fund Name Lipper Global Flexible Funds Index 15,405 15,287 15,064 14,851 14,484 Loomis Sayles Worldwide Fund 17,025 17,289 17,157 16,968 16,873 S & P 500 Index 20,610 20,748 20,243 20,044 18,789 09/30/2001 10/31/2001 11/30/2001 12/31/2001 01/31/2002 Fund Name Lipper Global Flexible Funds Index 13,529 13,848 14,348 14,365 14,272 Loomis Sayles Worldwide Fund 16,041 16,419 16,684 16,746 16,498 S & P 500 Index 17,270 17,601 18,950 19,120 18,833 09/30/2001 10/31/2001 11/30/2001 12/31/2001 01/31/2002 Fund Name Lipper Global Flexible Funds Index 14,155 14,548 14,352 14,521 13,974 Loomis Sayles Worldwide Fund 16,539 16,850 16,932 17,222 16,829 S & P 500 Index 18,472 19,165 18,003 17,870 16,598 07/31/2002 08/31/2002 09/30/2002 Fund Name Lipper Global Flexible Funds Index 13,147 13,212 12,400 Loomis Sayles Worldwide Fund 16,043 16,230 15,567 S & P 500 Index 15,305 15,404 13,730
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (April 30, 1996). (b) Please see page 13 for a description of the indexes. DISCLOSURE Loomis Sayles Aggressive Growth Fund, Loomis Sayles Small Cap Growth Fund, Loomis Sayles Small Cap Value Fund Small and mid-cap stocks may be more volatile and subject to wider value fluctuations than larger, more established companies. The secondary market of small and mid-cap stocks may be less liquid, or harder to sell, which could also adversely impact the Fund's value. Loomis Sayles Aggressive Growth Fund, Loomis Sayles Growth Fund, Loomis Sayles International Equity Fund, Loomis Sayles Research Fund, Loomis Sayles Small Cap Growth Fund, Loomis Sayles Small Cap Value Fund, Loomis Sayles Value Fund, Loomis Sayles Worldwide Fund Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the Fund. Index Definitions Lipper Mid-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the mid-cap growth funds investment objective. Lipper Large-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the large-cap growth funds investment objective. Lipper International Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the international funds investment objective. Lipper Large-Cap Core Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the large-cap core funds investment objective. Lipper Small-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the small-cap growth funds investment objective. Lipper Small-Cap Core Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the small-cap core funds investment objective. Lipper Large-Cap Value Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the large-cap value funds investment objective. Lipper Global Flexible Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the global flexible portfolio funds investment objective. Lipper Averages consist of all mutual funds in a stated category. Source: Lipper Inc. Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000 Growth Index. Morgan Stanley Capital International-EAFE Index is a free float adjusted market capitalization index that is designed to measure international equity market performance. Russell 2000 Growth Index is an unmanaged index comprised of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Russell 2000 Index is an unmanaged index comprised of the 2,000 smallest companies in the Russell 3000 Index (a broad market index), representing approximately 8% of the Russell 3000 total market capitalization. Russell 2000 Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. S&P 500 Index consists of 500 stocks chosen for market size, liquidity and industry group representation. It is a market value weighted index (stock price times number of shares outstanding), with each stock's weight in the index proportionate to its market value. The indexes are unmanaged and index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Returns are adjusted for the reinvestment of capital gains distributions and income dividends. It is not possible to invest directly in an index. LOOMIS SAYLES EQUITY FUNDS 13 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Aggressive Growth Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--95.8% of net assets Aerospace/Defense--3.6% Alliant Techsystems, Inc.* 9,725 $ 673,456 L-3 Communications Holdings, Inc.* 16,300 859,010 ---------- 1,532,466 ---------- Banks/Savings & Loans--1.4% New York Community Bancorp, Inc. 21,550 607,064 ---------- Biotechnology--5.0% Charles River Laboratories International, Inc.* 19,400 761,450 Gilead Sciences, Inc.* 16,950 568,333 IDEC Pharmaceuticals Corp.* 11,500 477,480 MedImmune, Inc.* 16,450 344,134 ---------- 2,151,397 ---------- Broadcasting--5.1% Cox Radio, Inc., Class A* 19,500 510,120 Entercom Communications Corp.* 16,600 786,342 Westwood One, Inc.* 24,750 884,812 ---------- 2,181,274 ---------- Commercial Services & Supplies--9.4% Apollo Group, Inc., Class A* 29,466 947,332 Career Education Corp.* 18,800 902,550 ChoicePoint, Inc. * 17,850 636,174 Stericycle, Inc.* 23,400 793,728 Weight Watchers International, Inc.* 16,850 730,616 ---------- 4,010,400 ---------- Computer--Consulting & Service--4.0% Acxiom Corp.* 25,675 364,072 Affiliated Computer Services, Inc., Class A* 15,550 661,652 Cognizant Technology Solutions Corp.* 11,575 665,215 ---------- 1,690,939 ---------- Computer Software--8.4% Activision, Inc.* 25,700 615,001 Electronic Arts, Inc.* 15,350 1,012,486 Intuit, Inc.* 19,900 906,047 Mercury Interactive Corp.* 27,250 467,610 VERITAS Software Corp.* 40,700 597,069 ---------- 3,598,213 ---------- Diversified Financials--4.5% Investment Technology Group, Inc.* 20,450 598,367 Investors Financial Services Corp. 23,100 625,317 Moody's Corp. 14,900 722,650 ---------- 1,946,334 ---------- Electronic Components--Semiconductors--5.8% Cymer, Inc.* 19,275 359,286 KLA-Tencor Corp.* 11,225 313,626 Marvell Technology Group Ltd.* 36,000 570,600 Microchip Technology, Inc.* 37,575 768,409 QLogic Corp.* 18,850 490,854 ---------- 2,502,775 ---------- Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Energy Equipment & Services--3.8% ENSCO International, Inc. 21,575 $ 540,238 Nabors Industries Ltd.* 14,000 458,500 Weatherford International Ltd.* 17,100 635,094 ---------- 1,633,832 ---------- Food & Drug Retailing--1.4% Whole Foods Market, Inc.* 14,225 609,399 ---------- Healthcare--Drugs--1.4% Barr Laboratories, Inc.* 9,725 605,770 ---------- Healthcare--Equipment & Supplies--6.6% Patterson Dental Co.* 15,125 774,098 St. Jude Medical, Inc.* 12,300 439,110 Varian Medical Systems, Inc.* 20,250 870,547 Zimmer Holdings, Inc.* 19,150 734,211 ---------- 2,817,966 ---------- Healthcare--Providers & Services--9.8% Accredo Health, Inc.* 15,150 721,988 Amerisource Corp. 7,750 553,505 Anthem, Inc.* 9,550 620,750 First Health Group Corp.* 24,925 675,966 Mid Atlantic Medical Services, Inc.* 21,000 760,200 Quest Diagnostics, Inc.* 7,000 430,710 Triad Hospitals, Inc.* 11,850 449,708 ---------- 4,212,827 ---------- Hotels, Restaurant & Leisure--3.6% MGM Mirage* 20,875 778,638 Starbucks Corp.* 37,800 780,192 ---------- 1,558,830 ---------- Household Durables--6.3% KB HOME 14,375 702,075 Lennar Corp. 12,850 716,773 NVR, Inc.* 2,300 689,609 Toll Brothers, Inc.* 27,600 600,024 ---------- 2,708,481 ---------- Internet Software & Services--3.1% Hotels.com, Class A* 12,550 634,779 Overture Services, Inc.* 28,500 671,745 ---------- 1,306,524 ---------- Media & Entertainment--1.3% Getty Images, Inc.* 28,625 574,218 ---------- Oil & Gas--1.3% XTO Energy, Inc. 27,400 564,714 ---------- Retail--Specialty--8.6% AutoZone, Inc.* 11,800 930,548 Bed Bath & Beyond, Inc.* 18,925 616,387 Blockbuster, Inc., Class A 31,350 777,480 CDW Computer Centers, Inc.* 15,000 635,400 Michaels Stores, Inc.* 16,125 736,913 ---------- 3,696,728 ---------- LOOMIS SAYLES EQUITY FUNDS 15 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Aggressive Growth Fund--continued
Shares Value + --------------------------------------------------------------------------------------------------------- COMMON STOCKS--continued Trading Companies & Distributors--1.4% Fastenal Co. 18,350 $ 579,493 ------------ TOTAL COMMON STOCKS (Identified Cost $44,400,527) 41,089,644 ------------ Face Amount --------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--6.9% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $2,938,069 on 10/01/02 collateralized by $2,760,000 U.S. Treasury Bond, 5.250% due 11/15/28 with a value of $3,001,067 $ 2,938,000 2,938,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $2,938,000) 2,938,000 ------------ TOTAL INVESTMENTS--102.7% (Identified Cost $47,338,527)@ 44,027,644 Liabilities, Less Cash and Other Assets--(2.7%) (1,158,761) ------------ NET ASSETS--100% $ 42,868,883 ============
+ See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $47,734,636 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,858,946 and $5,565,938, respectively, resulting in net unrealized depreciation of $3,706,992. See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Growth Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--96.6% of net assets Aerospace/Defense--6.0% L-3 Communications Holdings, Inc.* 11,985 $ 631,610 Lockheed Martin Corp. 8,930 577,503 ---------- 1,209,113 ---------- Automobiles & Components--1.3% Harley-Davidson, Inc. 5,500 255,475 ---------- Banks/Savings & Loans--5.2% Bank of America Corp. 4,590 292,842 Bank One Corp. 9,275 346,885 Wells Fargo & Co. 8,325 400,932 ---------- 1,040,659 ---------- Biotechnology--2.0% Amgen, Inc.* 9,750 406,575 ---------- Broadcasting--1.0% Clear Channel Communications, Inc.* 5,850 203,287 ---------- Commercial Services & Supplies--1.3% ChoicePoint, Inc.* 7,381 263,059 ---------- Communications Equipment--1.9% Cisco Systems, Inc.* 35,760 374,765 ---------- Computer Software--10.2% Electronic Arts, Inc.* 8,395 553,734 Intuit, Inc.* 9,525 433,673 Microsoft Corp.* 18,495 808,972 Oracle Corp.* 32,600 256,236 ---------- 2,052,615 ---------- Computers & Peripherals--4.3% Dell Computer Corp.* 29,455 692,487 Lexmark International Group, Inc.* 3,600 169,200 ---------- 861,687 ---------- Diversified Financials--7.0% American Express Co. 7,575 236,188 Federal National Mortgage Association 3,750 223,275 Lehman Brothers Holdings, Inc. 4,050 198,653 Moody's Corp. 9,515 461,477 SLM Corp. 3,040 283,146 ---------- 1,402,739 ---------- Electronic Components--Semiconductors--4.0% Applied Materials, Inc.* 9,225 106,549 Intel Corp. 17,765 246,756 Maxim Integrated Products, Inc.* 7,250 179,510 Texas Instruments, Inc. 18,225 269,183 ---------- 801,998 ---------- Energy Equipment & Services--0.8% BJ Services Co.* 6,480 168,480 ---------- Food--1.1% Kraft Foods, Inc., Class A 5,900 215,114 ---------- LOOMIS SAYLES EQUITY FUNDS 17 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Growth Fund--continued ' Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Healthcare--Drugs--9.1% Forest Laboratories, Inc.* 5,715 $ 468,687 Johnson & Johnson 6,365 344,219 Pfizer, Inc. 28,150 816,913 Pharmacia Corp. 5,025 195,372 ----------- 1,825,191 ----------- Healthcare--Equipment & Supplies--2.8% Medtronic, Inc. 6,625 279,045 Zimmer Holdings, Inc.* 7,575 290,425 ----------- 569,470 ----------- Healthcare--Providers & Services--12.3% Aetna, Inc. 11,525 412,710 Amerisource Corp. 7,620 544,220 Cardinal Health, Inc. 5,850 363,870 Tenet Healthcare Corp.* 7,685 380,408 UnitedHealth Group, Inc. 5,810 506,748 WellPoint Health Networks, Inc.* 3,750 274,875 ----------- 2,482,831 ----------- Household Products--3.1% Procter & Gamble Co. 7,050 630,129 ----------- Industrial Conglomerates--6.0% 3M Co. 6,565 721,953 General Electric Co. 19,805 488,193 ----------- 1,210,146 ----------- Media & Entertainment--3.7% Viacom, Inc., Class B* 18,525 751,189 ----------- Retail--Internet & Catalog--0.9% eBay, Inc.* 3,365 177,706 ----------- Retail--Multiline--5.8% Kohl's Corp.* 8,175 497,122 Wal-Mart Stores, Inc. 13,375 658,585 ----------- 1,155,707 ----------- Retail--Specialty--6.8% AutoZone, Inc.* 6,990 551,231 Bed, Bath & Beyond, Inc.* 19,020 619,481 Michaels Stores, Inc.* 4,475 204,508 ----------- 1,375,220 ----------- TOTAL COMMON STOCKS (Identified Cost $21,180,326) 19,433,155 ----------- Face Amount -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--3.4% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $693,016 on 10/01/02 collateralized by $655,000 U.S. Treasury Bond, 5.250% due 11/15/28 with a value of $712,210 $ 693,000 693,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $693,000) 693,000 ----------- Value + -------------------------------------------------------------------------------- TOTAL INVESTMENTS--100% (Identified Cost $21,873,326)@ $ 20,126,155 Liabilities, Less Cash and Other Assets--(0.0%) (17,279) ------------ NET ASSETS--100% $ 20,108,876 ============ + See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $21,908,657 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $580,228 and $2,362,730, respectively, resulting in net unrealized depreciation of $1,782,502. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 19 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles International Equity Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--97.0% of net assets Australia--2.4% News Corporation Ltd. 84,100 $ 401,444 Rio Tinto Ltd. 24,100 396,551 Westpac Banking Corp. Ltd. 44,800 336,952 ---------- 1,134,947 ---------- Belgium--1.5% Interbrew 30,100 713,100 ---------- Canada--7.7% Agrium, Inc. 25,800 236,070 Barrick Gold Corp. 22,200 346,416 Encana Corp. 20,064 607,195 Fairmont Hotels & Resorts, Inc. 20,323 477,419 Potash Corporation of Saskatchewan, Inc. 3,800 235,987 Precision Drilling Corp.* 14,000 422,798 Rogers Communications, Inc., Class B* 53,600 337,936 Royal Bank of Canada 12,800 425,295 Talisman Energy, Inc. 12,300 493,210 ---------- 3,582,326 ---------- Finland--3.7% Kymmene Oyj 15,000 411,975 Nokia Oyj ADR 44,800 593,600 Stora Enso Oyj 73,400 710,652 ---------- 1,716,227 ---------- France--6.2% Aventis SA 9,300 486,961 BNP Paribas SA 25,100 817,823 Renault SA 14,500 624,439 STMicroelectronics NV 12,700 171,831 Total Fina SA, Class B 6,030 793,517 ---------- 2,894,571 ---------- Germany--1.5% Bayerische Motoren Werke (BMW) AG 21,600 693,754 ---------- Greece--1.1% Greek Organization of Football Prognostics 55,100 528,030 ---------- Hong Kong--1.1% Esprit Holdings Ltd. 329,900 507,568 ---------- India--1.1% Dr. Reddy's Laboratories Ltd. ADR 29,100 489,753 ---------- Ireland--4.7% Anglo Irish Bank Corp. Plc 218,300 1,304,800 Bank of Ireland 42,700 415,527 Ryanair Holdings Plc* 79,600 444,321 ---------- 2,164,648 ---------- Israel--1.1% Teva Pharmaceutical Industries Ltd. ADR 7,600 509,200 ---------- Italy--5.8% Banco Popolare di Verona e Novara Scrl* 102,933 1,174,550 ENI Spa 71,750 983,890 UniCredito Italiano Spa 145,400 525,751 ---------- 2,684,191 ---------- Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Japan--17.1% Bank of Yokohama Ltd. 123,000 $ 533,487 Bridgestone Corp. 31,400 373,493 Canon, Inc. 16,000 523,103 Credit Saison Co. Ltd. 27,900 613,073 Honda Motor Co. Ltd. 11,700 473,824 Ito-Yokado Co. Ltd. 10,000 392,656 JFE Holdings, Inc.* 55,650 623,540 Keyence Corp. 3,100 520,508 Matsumotokiyoshi Co. Ltd. 8,300 354,541 Mitsubishi Corp. 69,400 466,334 Namco Ltd. 41,500 743,172 Nissan Motor Co. Ltd. 109,600 813,886 OJI Paper Co., Ltd. 114,000 538,465 SEGA Corp.* 29,700 555,037 Sony Corp. 10,100 423,962 ---------- 7,949,081 ---------- Mexico--0.5% Wal-Mart de Mexico SA de CV Series V 95,600 231,551 ---------- Netherlands--2.6% ASM Lithography Holding NV* 16,400 101,516 DSM NV 15,100 617,607 Kon KPN* 95,700 496,371 ---------- 1,215,494 ---------- Russia--1.3% OAO LUKoil ADR 9,700 588,790 ---------- Singapore--0.9% Singapore Press Holdings Ltd. 37,000 395,510 ---------- South Africa--1.9% Anglo American Plc 26,600 336,206 Sappi Ltd. 45,700 525,631 ---------- 861,837 ---------- South Korea--0.6% Samsung Electronics 1,210 295,400 ---------- Spain--3.6% Altadis SA 11,200 250,070 Banco Popular Espanol SA 13,200 508,336 Grupo Ferrovial SA 36,200 894,094 ---------- 1,652,500 ---------- Sweden--1.4% Autoliv, Inc. ADR 30,600 643,585 ---------- Switzerland--7.5% Converium Holding AG* 12,100 532,859 Credit Suisse Group 26,200 512,995 Nestle SA 3,400 741,734 Novartis AG 13,200 520,935 Swiss Re 7,740 434,457 UBS AG 17,800 739,255 ---------- 3,482,235 ---------- LOOMIS SAYLES EQUITY FUNDS 21 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles International Equity Fund--continued
Shares Value + ---------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--continued Taiwan--0.4% Taiwan Semiconductor Manufacturing Co. Ltd. 160,600 $ 189,293 ------------ United Kingdom--21.3% Allied Domecq Plc 93,700 589,945 BAE Systems Plc 192,700 580,912 Barclays Plc 121,200 706,950 Billiton Plc 96,785 448,288 BP Amoco Plc 103,400 689,981 British Sky Broadcasting Group Plc* 64,600 519,821 Diageo Plc 63,300 784,166 Dixons Group Plc 108,800 294,677 GlaxoSmithKline Plc 13,400 258,784 Hilton Group Plc 232,400 583,826 Imperial Tobacco Group Plc 37,500 591,732 Pearson Plc 50,225 401,783 Royal Bank of Scotland Group Plc 55,100 1,038,150 Tesco Plc 243,900 787,914 Vodafone Group Plc 817,640 1,046,278 William Hill Plc 156,800 556,393 ------------ 9,879,600 ------------ TOTAL COMMON STOCKS (Identified Cost $50,110,134) 45,003,191 ------------ PREFERRED STOCKS--0.6% of net assets Germany--0.6% Porsche AG 700 283,542 ------------ TOTAL PREFERRED STOCKS (Identified Cost $279,182) 283,542 ------------ Face Amount ---------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--3.1% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $1,454,034 on 10/01/02 collateralized by $1,365,000 U.S. Treasury Bond, 5.250% due 11/15/28 with a value of $1,484,223 $ 1,454,000 1,454,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,454,000) 1,454,000 ------------ TOTAL INVESTMENTS--100.7% (Identified Cost $51,843,316)@ 46,740,733 Liabilities, Less Cash and Other Assets--(0.7%) (324,494) ------------ NET ASSETS--100% $ 46,416,239 ============
+ See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $52,173,433 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,509,254 and $6,941,954, respectively, resulting in net unrealized depreciation of $5,432,700. Key to abbreviations: ADR: American Depository Receipt Ten Largest Sector Holdings at September 30, 2002 as a Percentage of Net Assets Banks/Savings & Loans 17.3% Beverages 4.5 Oil & Gas 7.5 Metals & Mining 4.4 Diversified Financials 6.5 Food & Drug Retailing 3.3 Automobile 6.2 Construction & Engineering 3.3 Forest & Paper Products 4.7 Media & Entertainment 2.9 See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Research Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--97.4% of net assets Aerospace/Defense--3.1% Boeing Co. 5,975 $ 203,927 Lockheed Martin Corp. 4,375 282,931 ---------- 486,858 ---------- Automobiles & Components--1.5% Harley-Davidson, Inc. 5,100 236,895 ---------- Banks/Savings & Loans--8.6% Bank of America Corp. 7,125 454,575 Bank One Corp. 9,975 373,065 KeyCorp 11,050 275,918 Wells Fargo & Co. 5,450 262,472 ---------- 1,366,030 ---------- Beverages--2.3% Anheuser-Busch Cos., Inc. 7,050 356,730 ---------- Building Products--1.9% Masco Corp. 15,450 302,047 ---------- Commercial Services & Supplies--1.1% First Data Corp. 6,150 171,893 ---------- Communications Equipment--1.6% Cisco Systems, Inc.* 23,475 246,018 ---------- Computer Software--5.7% Electronic Arts, Inc.* 3,325 219,317 Microsoft Corp.* 12,975 567,526 VERITAS Software Corp.* 8,125 119,194 ---------- 906,037 ---------- Computer--Consulting & Service--1.7% Affiliated Computer Services, Inc., Class A* 3,100 131,905 SunGard Data Systems, Inc.* 7,275 141,499 ---------- 273,404 ---------- Computers & Peripherals--0.7% Dell Computer Corp.* 4,975 116,962 ---------- Diversified Financials--6.9% CIT Group, Inc.* 7,150 128,557 Citigroup, Inc. 14,041 416,316 Federal National Mortgage Association 4,100 244,114 Lehman Brothers Holdings, Inc. 3,350 164,317 Moody's Corp. 2,775 134,588 ---------- 1,087,892 ---------- Electronic Components--Semiconductors--3.3% Applied Materials, Inc.* 12,200 140,910 Intel Corp. 8,650 120,148 Maxim Integrated Products, Inc.* 5,975 147,941 Texas Instruments, Inc. 8,050 118,899 ---------- 527,898 ---------- Energy Equipment & Services--0.7% Schlumberger Ltd. 3,050 117,303 ---------- Food--2.0% Kraft Foods, Inc., Class A 8,750 319,025 ---------- LOOMIS SAYLES EQUITY FUNDS 23 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Research Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Food & Drug Retailing--1.3% SYSCO Corp. 7,450 $ 211,506 ---------- Forest & Paper Products--2.4% Bowater, Inc. 5,150 181,795 International Paper Co. 6,125 204,514 ---------- 386,309 ---------- Healthcare--Drugs--6.5% Allergan, Inc. 2,525 137,360 Forest Laboratories, Inc.* 3,075 252,181 Pfizer, Inc. 14,675 425,868 Pharmacia Corp. 5,525 214,812 ---------- 1,030,221 ---------- Healthcare--Equipment & Supplies--4.3% Baxter International, Inc. 5,125 156,569 Biomet, Inc. 7,225 192,401 Boston Scientific Corp.* 4,525 142,809 Medtronic, Inc. 4,575 192,699 ---------- 684,478 ---------- Healthcare--Providers & Services--3.9% Amerisource Corp. 3,200 228,544 Anthem, Inc.* 3,075 199,875 HCA, Inc. 4,075 194,011 ---------- 622,430 ---------- Hotels, Restaurant & Leisure--1.1% Brinker International, Inc.* 6,900 178,710 ---------- Household Durables--1.0% Centex Corp. 3,425 151,899 ---------- Household Products--4.8% Kimberly-Clark Corp. 5,100 288,864 Procter & Gamble Co. 5,250 469,245 ---------- 758,109 ---------- Industrial Conglomerates--3.8% 3M Co. 3,675 404,140 General Electric Co. 8,000 197,200 ---------- 601,340 ---------- Insurance--5.1% Ace Ltd. 8,475 250,945 American International Group, Inc. 6,800 371,960 Prudential Financial, Inc.* 6,550 187,068 ---------- 809,973 ---------- Leisure Equipment & Products--1.6% Brunswick Corp. 12,300 258,792 ---------- Machinery--1.3% Danaher Corp. 3,725 211,766 ---------- Media & Entertainment--2.4% Viacom, Inc., Class B* 9,500 385,225 ----------
Shares Value + -------------------------------------------------------------------------------------------------------------- COMMON STOCKS--continued Oil & Gas--5.3% ChevronTexaco Corp. 2,700 $ 186,975 Devon Energy Corp. 3,050 147,162 Exxon Mobil Corp. 16,100 513,590 ------------ 847,727 ------------ Retail--Multiline--3.5% Target Corp. 7,450 219,924 Wal-Mart Stores, Inc. 6,925 340,987 ------------ 560,911 ------------ Telecommunication Services--Diversified--3.6% BellSouth Corp. 7,325 134,487 CenturyTel, Inc. 7,825 175,515 SBC Communications, Inc. 5,425 109,042 Verizon Communications, Inc. 5,500 150,920 ------------ 569,964 ------------ Textiles, Apparel & Luxury Goods--1.5% Jones Apparel Group, Inc.* 7,800 239,460 ------------ Utilities--Electric--2.9% Dominion Resources, Inc. 2,900 147,117 Entergy Corp. 7,700 320,320 ------------ 467,437 ------------ TOTAL COMMON STOCKS (Identified Cost $18,026,686) 15,491,249 ------------ Face Amount -------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--2.8% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $449,011 on 10/01/02 collateralized by $425,000 U.S. Treasury Bond, 5.250% due 11/15/28 with a value of $462,121 $ 449,000 449,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $449,000) 449,000 ------------ TOTAL INVESTMENTS--100.2% (Identified Cost $18,475,686)@ 15,940,249 Liabilities, Less Cash and Other Assets--(0.2%) (34,071) ------------ NET ASSETS--100% $ 15,906,178 ============
+ See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $18,881,816 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $402,190 and $3,343,757, respectively, resulting in net unrealized depreciation of $2,941,567. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 25 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Cap Growth Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--96.9% of net assets Banks/Savings & Loans--3.2% New York Community Bancorp, Inc. 38,125 $ 1,073,981 Southwest Bancorporation of Texas, Inc.* 37,800 1,376,298 ----------- 2,450,279 ----------- Biotechnology--6.0% Charles River Laboratories International, Inc.* 57,000 2,237,250 Enzon, Inc.* 25,550 491,582 Neurocrine Biosciences, Inc.* 24,500 1,004,500 Trimeris, Inc.* 17,450 779,142 ----------- 4,512,474 ----------- Broadcasting--4.2% Cumulus Media, Inc., Class A* 60,450 1,066,942 Entercom Communications Corp.* 20,750 982,928 Radio One, Inc., Class D* 67,950 1,120,495 ----------- 3,170,365 ----------- Commercial Services & Supplies--15.7% Career Education Corp.* 35,100 1,685,081 ChoicePoint, Inc.* 34,316 1,223,022 Corinthian Colleges, Inc.* 53,100 2,003,994 Corporate Executive Board Co.* 55,800 1,593,090 Education Management Corp.* 48,750 2,158,162 FTI Consulting, Inc.* 36,750 1,461,180 Kroll, Inc.* 32,150 637,535 Stericycle, Inc.* 33,700 1,143,104 ----------- 11,905,168 ----------- Communications Equipment--1.5% McDATA Corp., Class A* 75,100 407,793 NetScreen Technologies, Inc.* 63,875 693,044 ----------- 1,100,837 ----------- Computer--Consulting & Service--6.9% Acxiom Corp.* 107,450 1,523,641 Caci International, Inc., Class A* 35,900 1,272,655 Cognizant Technology Solutions Corp.* 21,250 1,221,237 PEC Solutions, Inc.* 52,600 1,170,876 ----------- 5,188,409 ----------- Computer Software--5.1% Activision, Inc.* 56,500 1,352,045 Kronos, Inc.* 28,875 711,191 Manhattan Associates, Inc.* 38,600 521,872 Quest Software, Inc.* 133,925 1,258,895 ----------- 3,844,003 ----------- Diversified Financials--4.1% Digital Insight Corp.* 66,000 1,037,520 Investors Financial Services Corp. 28,250 764,728 LaBranche & Co., Inc.* 63,100 1,277,775 ----------- 3,080,023 ----------- Electrical Equipment--1.0% Engineered Support Systems, Inc. 13,300 758,632 ----------- Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Electronic Components--Semiconductors--6.3% Asyst Technologies, Inc.* 60,800 $ 367,232 Cymer, Inc.* 35,750 666,380 Integrated Circuit Systems, Inc.* 57,500 902,750 Integrated Device Technology, Inc.* 108,100 1,128,564 Marvell Technology Group Ltd.* 41,450 656,982 SanDisk Corp.* 82,000 1,075,020 ---------- 4,796,928 ---------- Electronic Equipment & Instruments--2.1% FLIR Systems, Inc.* 32,525 1,133,497 Photon Dynamics, Inc.* 24,075 448,517 ---------- 1,582,014 ---------- Energy Equipment & Services--3.3% Key Energy Services, Inc.* 112,700 888,076 Patterson-UTI Energy, Inc.* 62,300 1,589,273 ---------- 2,477,349 ---------- Healthcare--Drugs--2.0% Angiotech Pharmaceuticals, Inc.* 23,200 918,256 InterMune, Inc.* 17,750 582,555 ---------- 1,500,811 ---------- Healthcare--Equipment & Supplies--1.4% Therasense, Inc.* 47,100 657,516 Wright Medical Group, Inc.* 23,150 440,545 ---------- 1,098,061 ---------- Healthcare--Providers & Services--10.2% Accredo Health, Inc.* 36,525 1,740,635 Amerigroup Corp.* 26,075 874,816 AmSurg Corp.* 39,575 1,193,978 DIANON Systems, Inc.* 17,800 842,118 Mid Atlantic Medical Services, Inc.* 56,800 2,056,160 Odyssey Healthcare, Inc.* 32,900 985,355 ---------- 7,693,062 ---------- Hotels, Restaurant & Leisure--4.5% P.F. Chang's China Bistro, Inc.* 39,725 1,153,217 Panera Bread Co., Class A* 34,850 940,950 Penn National Gaming, Inc.* 69,900 1,319,712 ---------- 3,413,879 ---------- Household Durables--2.2% Hovnanian Enterprises, Inc., Class A* 33,575 1,134,835 Standard Pacific Corp. 22,200 519,036 ---------- 1,653,871 ---------- Insurance--2.4% HCC Insurance Holdings, Inc. 74,550 1,789,946 ---------- Internet Software & Services--2.5% Overture Services, Inc.* 50,150 1,182,036 Websense, Inc.* 61,100 709,371 ---------- 1,891,407 ---------- LOOMIS SAYLES EQUITY FUNDS 27 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Cap Growth Fund--continued
Shares Value + -------------------------------------------------------------------------------------------------------------- COMMON STOCKS--continued Leisure Equipment & Products--1.0% Action Performance Companies, Inc.* 29,700 $ 763,290 ------------ Media & Entertainment--1.6% Getty Images, Inc.* 60,500 1,213,630 ------------ Oil & Gas--1.7% Spinnaker Exploration Co.* 45,450 1,304,415 ------------ Retail--Multiline--1.0% 99 Cents Only Stores* 36,200 749,340 ------------ Retail--Specialty--5.9% Chico's FAS, Inc.* 96,000 1,529,280 Hot Topic, Inc.* 53,200 959,196 Michaels Stores, Inc.* 30,125 1,376,713 PETCO Animal Supplies, Inc.* 27,750 601,900 ------------ 4,467,089 ------------ Textiles, Apparel & Luxury Goods--1.1% Fossil, Inc.* 41,700 836,085 ------------ TOTAL COMMON STOCKS (Identified Cost $79,975,009) 73,241,367 ------------ Face Amount -------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--5.4% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $4,093,097 on 10/01/02 collateralized by $3,840,000 U.S. Treasury Bond, 5.250% due 11/15/28 with a value of $4,175,397 $ 4,093,000 4,093,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $4,093,000) 4,093,000 ------------ TOTAL INVESTMENTS--102.3% (Identified Cost $84,068,009)@ 77,334,367 Liabilities, Less Cash and Other Assets--(2.3%) (1,706,650) ------------ NET ASSETS--100% $ 75,627,717 ============
+ See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $84,267,613 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $4,896,889 and $11,830,135, respectively, resulting in net unrealized depreciation of $6,933,246. See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Cap Value Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--96.4% of net assets Aerospace/Defense--0.5% United Defense Industries, Inc.* 67,575 $ 1,594,770 ----------- Automobile & Components--2.6% Cooper Tire & Rubber Co. 130,200 2,101,428 Lear Corp.* 43,400 1,807,610 Monaco Coach Corp.* 157,550 3,155,727 Tower Automotive, Inc.* 318,950 2,136,965 ----------- 9,201,730 ----------- Banks/Savings & Loans--11.6% Boston Private Financial Holdings, Inc. 143,425 3,054,952 City National Corp. 43,150 2,018,126 Colonial BancGroup, Inc. 181,750 2,253,700 Commercial Federal Corp. 70,300 1,530,431 CVB Financial Corp. 141,750 3,109,995 Downey Financial Corp. 85,050 2,912,962 East West Bancorp, Inc. 76,100 2,569,136 F.N.B. Corp. 36,825 1,031,837 First Community Bancorp 50,850 1,468,040 First Midwest Bancorp, Inc. 113,675 3,053,310 First Niagara Financial Group, Inc. 88,700 2,802,033 Gold Banc Corp., Inc. 252,300 2,447,310 Greater Bay Bancorp 72,425 1,317,411 New York Community Bancorp, Inc. 98,825 2,783,900 Port Financial Corp. 83,000 3,320,830 Republic Bancorp, Inc. 164,070 2,132,910 Second Bancorp, Inc. 26,725 714,359 Umpqua Holdings Corp. 94,800 1,557,564 ----------- 40,078,806 ----------- Broadcasting--0.9% Westwood One, Inc.* 88,925 3,179,069 ----------- Building Products--0.8% Lennox International, Inc. 219,250 2,900,678 ----------- Business Services--0.6% Kelly Services, Inc., Class A 99,325 2,152,373 ----------- Chemicals--4.1% Cambrex Corp. 36,450 1,341,360 Ferro Corp. 71,600 1,653,960 Great Lakes Chemical Corp. 117,000 2,810,340 Omnova Solutions, Inc.* 339,500 1,558,305 Scotts Co.* 19,600 817,124 Spartech Corp. 182,400 3,859,584 The Valspar Corp. 59,000 2,200,700 ----------- 14,241,373 ----------- Commercial Services & Supplies--2.6% Navigant Consulting, Inc.* 310,300 1,712,856 NCO Group, Inc.* 94,325 1,074,361 Pegasus Solutions, Inc.* 101,625 1,072,144 Viad Corp. 86,100 1,759,023 Waste Connections, Inc.* 95,700 3,329,403 ----------- 8,947,787 ----------- LOOMIS SAYLES EQUITY FUNDS 29 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Cap Value Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Communications Equipment--1.6% ADTRAN, Inc.* 147,700 $2,304,120 Advanced Fibre Communications, Inc.* 80,625 1,069,894 Tekelec* 254,875 2,199,571 ---------- 5,573,585 ---------- Computer Software--1.7% Hyperion Solutions Corp.* 150,500 2,761,675 National Instruments Corp.* 78,850 1,726,026 Progress Software Corp.* 106,025 1,282,903 ---------- 5,770,604 ---------- Computer--Consulting & Service--2.6% Acxiom Corp.* 156,250 2,215,625 Anteon International Corp.* 136,700 3,715,506 ProQuest Co.* 100,700 3,056,245 ---------- 8,987,376 ---------- Computers & Peripherals--0.3% Maxtor Corp.* 400,125 1,044,326 ---------- Containers & Packaging--0.6% Rock-Tenn Co., Class A 130,000 2,004,600 ---------- Diversified Financials--2.7% Affiliated Managers Group, Inc.* 59,400 2,649,834 Federated Investors, Inc., Class B 119,100 3,214,509 Financial Federal Corp.* 28,100 894,985 MCG Capital Corp. 173,075 2,281,128 Westwood Holdings Group, Inc. 24,850 353,864 ---------- 9,394,320 ---------- Electrical Equipment--1.2% American Power Conversion Corp.* 181,100 1,731,316 AMETEK, Inc. 79,800 2,323,776 ---------- 4,055,092 ---------- Electronic Components--Semiconductors--1.4% Actel Corp.* 112,150 1,166,360 Cymer, Inc.* 62,025 1,156,146 Integrated Circuit Systems, Inc.* 157,475 2,472,358 ---------- 4,794,864 ---------- Electronic Equipment & Instruments--1.7% DSP Group, Inc.* 216,600 3,478,379 Technitrol, Inc. 150,400 2,248,480 ---------- 5,726,859 ---------- Electronics--Office--0.7% IKON Office Solutions, Inc. 305,075 2,403,991 ---------- Energy Equipment & Services--1.9% Atwood Oceanics, Inc.* 75,500 2,208,375 Grey Wolf, Inc.* 777,100 2,797,560 Hydril Co.* 58,950 1,466,676 ---------- 6,472,611 ---------- Environmental Services--0.5% Ionics, Inc.* 66,525 1,583,960 ---------- Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Food--1.9% Flowers Foods, Inc.* 135,925 $ 3,089,575 Ralcorp Holdings, Inc.* 160,200 3,407,454 ----------- 6,497,029 ----------- Food--Packaged & Miscellaneous--0.5% Hain Celestial Group, Inc.* 112,750 1,651,788 ----------- Food & Drug Retailing--0.7% Wild Oats Markets, Inc.* 249,425 2,264,779 ----------- Forest & Paper Products--0.5% Boise Cascade Corp. 68,850 1,569,780 ----------- Freight Transportation--3.0% GATX Corp. 109,675 2,171,565 Genesee & Wyoming, Inc., Class A* 140,750 3,131,687 Landstar System, Inc.* 36,900 1,815,480 Yellow Corp. 111,100 3,278,339 ----------- 10,397,071 ----------- Healthcare--Drugs--2.7% CIMA Labs, Inc.* 85,800 2,157,870 Medicis Pharmaceutical Corp., Class A* 52,850 2,159,979 Perrigo Co.* 488,300 5,190,629 ----------- 9,508,478 ----------- Healthcare--Equipment & Supplies--3.2% Hologic, Inc.* 33,175 325,115 Steris Corp.* 65,025 1,619,773 The Cooper Cos., Inc. 71,525 3,755,062 Ventana Medical Systems, Inc.* 142,250 2,664,343 Wright Medical Group, Inc.* 140,775 2,678,948 ----------- 11,043,241 ----------- Healthcare--Providers & Services--1.2% Omnicare, Inc. 90,600 1,913,472 Renal Care Group, Inc.* 69,800 2,295,722 ----------- 4,209,194 ----------- Hotels, Restaurant & Leisure--3.4% Applebee's International, Inc. 182,875 4,008,620 Aztar Corp.* 94,525 1,248,675 Dover Downs Entertainment, Inc. 106,990 870,899 Dover Motorsports, Inc. 169,500 678,000 Fairmont Hotels & Resorts, Inc. 214,850 5,113,430 ----------- 11,919,624 ----------- Household Durables--3.4% Blyth, Inc. 100,550 2,805,345 Furniture Brands International, Inc.* 157,625 3,617,494 Harman International Industries, Inc. 46,900 2,427,075 Standard Pacific Corp. 125,700 2,938,866 ----------- 11,788,780 ----------- Industrial Conglomerates--0.6% Tredegar Corp. 130,900 2,192,575 ----------- LOOMIS SAYLES EQUITY FUNDS 31 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Cap Value Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Insurance--2.2% American Financial Group, Inc. 129,100 $ 2,971,882 AmerUs Group Co. 82,600 2,342,536 Protective Life Corp. 77,200 2,375,444 ----------- 7,689,862 ----------- Machinery--5.1% Actuant Corp., Class A* 90,500 3,339,450 CLARCOR, Inc. 87,100 2,673,970 Flowserve Corp.* 62,600 626,000 Gardner Denver, Inc.* 96,300 1,512,873 Mueller Industries, Inc.* 66,850 1,731,415 Reliance Steel & Aluminum Co. 80,000 1,748,000 Robbins & Myers, Inc. 111,700 2,083,205 Stewart & Stevenson Services, Inc. 144,500 1,413,210 Terex Corp.* 151,800 2,565,420 ----------- 17,693,543 ----------- Media & Entertainment--6.3% A.H. Belo Corp., Series A 138,600 3,032,568 ADVO, Inc.* 65,825 2,089,944 Harte-Hanks, Inc. 115,600 2,151,316 John Wiley & Son, Inc., Class A 212,250 4,671,623 R.H. Donnelley Corp.* 217,450 5,551,498 Regent Communications, Inc.* 441,650 2,243,582 Saga Communications, Inc., Class A* 114,500 2,118,250 ----------- 21,858,781 ----------- Metals & Mining--0.5% Quanex Corp. 50,075 1,737,603 ----------- Multi--Utilities & Unregulated Power--1.8% Energy East Corp. 146,600 2,904,146 Vectren Corp. 156,000 3,432,000 ----------- 6,336,146 ----------- Oil & Gas--1.4% Evergreen Resources, Inc.* 72,975 2,990,516 Remington Oil & Gas Corp.* 138,800 1,957,080 ----------- 4,947,596 ----------- Real Estate Investment Trusts--6.7% Bedford Property Investors, Inc. 123,000 3,045,480 CarrAmerica Realty Corp. 118,650 2,986,420 CBL & Associates Properties, Inc. 39,600 1,534,500 Corporate Office Properties Trust 205,900 2,789,945 Heritage Property Investment Trust 135,400 3,379,584 LaSalle Hotel Properties 112,700 1,408,750 Liberty Property Trust 97,800 3,031,800 Prentiss Properties Trust 77,900 2,254,426 RFS Hotel Investors, Inc. 250,700 2,755,193 ----------- 23,186,098 ----------- Retail--Specialty--4.1% AnnTaylor Stores Corp.* 103,750 2,389,363 Charlotte Russe Holding, Inc.* 82,200 780,900 Cole National Corp.* 195,950 2,459,172 Genesco, Inc.* 72,275 997,395 Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Retail--Specialty--continued Hughes Supply, Inc. 88,100 $ 2,567,234 Linens `n Things, Inc.* 40,100 736,637 Men's Wearhouse, Inc.* 85,850 1,261,995 Payless ShoeSource, Inc.* 58,250 3,146,082 ------------- 14,338,778 ------------- Telecommunication Services--Diversified--1.0% Commonwealth Telephone Enterprises, Inc.* 81,200 2,823,324 ITXC Corp.* 239,750 594,580 ------------- 3,417,904 ------------- Textiles, Apparel & Luxury Goods--1.0% Fossil, Inc.* 81,875 1,641,594 Liz Claiborne, Inc. 72,050 1,797,647 ------------- 3,439,241 ------------- Utilities--Electric--1.3% Allete, Inc. 200,900 4,339,440 ------------- Utilities--Gas--2.0% AGL Resources, Inc. 137,900 3,046,211 New Jersey Resources Corp. 116,700 3,839,430 ------------- 6,885,641 ------------- Utilities--Water--1.3% American States Water Co. 83,700 2,194,614 Philadelphia Suburban Corp. 105,850 2,148,755 ------------- 4,343,369 ------------- TOTAL COMMON STOCKS (Identified Cost $350,782,272) 333,365,115 ------------- Face Amount -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--4.4% of net assets Commercial Paper--4.4% State Street Corp., 1.900%, 10/01/02 $ 15,404,000 15,404,000 ------------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $15,404,000) 15,404,000 ------------- TOTAL INVESTMENTS--100.8% (Identified Cost $366,186,272)@ 348,769,115 Liabilities, Less Cash and Other Assets--(0.8%) (2,927,473) ------------- NET ASSETS--100% $ 345,841,642 ============= + See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $367,413,657 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $22,961,210 and $41,605,752, respectively, resulting in net unrealized depreciation of $18,644,542. See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 33 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Value Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--96.0% of net assets Advertising--1.1% Omnicom Group, Inc. 6,725 $ 374,448 ---------- Aerospace/Defense--4.4% Honeywell International, Inc. 22,725 492,224 Northrop Grumman Corp. 4,275 530,271 Raytheon Co. 15,150 443,895 ---------- 1,466,390 ---------- Banks/Savings & Loans--12.3% Bank of America Corp. 17,300 1,103,740 FleetBoston Financial Corp. 13,500 274,455 KeyCorp 20,375 508,764 U.S. Bancorp 36,000 668,880 Washington Mutual, Inc. 23,500 739,545 Wells Fargo & Co. 16,000 770,560 ---------- 4,065,944 ---------- Beverages--1.1% Anheuser-Busch Cos., Inc. 7,400 374,440 ---------- Chemicals--1.9% Praxair, Inc. 12,300 628,653 ---------- Commercial Services & Supplies--3.5% Equifax, Inc. 11,200 243,488 Waste Management, Inc. 39,200 914,144 ---------- 1,157,632 ---------- Computer--Consulting & Service--1.5% Electronic Data Systems Corp. 7,200 100,656 SunGard Data Systems, Inc.* 20,400 396,780 ---------- 497,436 ---------- Computers & Peripherals--2.5% Apple Computer, Inc.* 25,900 375,550 Hewlett-Packard Co. 38,982 454,920 ---------- 830,470 ---------- Diversified Financials--4.6% American Express Co. 16,900 526,942 Citigroup, Inc. 21,533 638,453 Lehman Brothers Holdings, Inc. 7,200 353,160 ---------- 1,518,555 ---------- Electronic Equipment & Instruments--0.6% Agilent Technologies, Inc.* 14,100 184,146 ---------- Energy Equipment & Services--0.8% BJ Services Co.* 9,900 257,400 ---------- Food--2.0% Kraft Foods, Inc., Class A 18,000 656,280 ---------- Forest & Paper Products--2.6% Bowater, Inc. 15,800 557,740 International Paper Co. 9,075 303,014 ---------- 860,754 ---------- Government Agencies--1.7% Federal Home Loan Mortgage Corp. 9,950 556,205 ---------- Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Healthcare--Drugs--4.5% Abbott Laboratories 22,775 $ 920,110 Merck & Co., Inc. 12,200 557,662 ---------- 1,477,772 ---------- Healthcare--Equipment & Supplies--1.4% Baxter International, Inc. 15,500 473,525 ---------- Healthcare--Providers & Services--2.2% HCA, Inc. 15,300 728,433 ---------- Hotels, Restaurant & Leisure--2.8% Carnival Corp. 18,200 456,820 McDonald's Corp. 26,200 462,692 ---------- 919,512 ---------- Household Durables--2.2% Leggett & Platt, Inc. 18,700 370,073 Whirlpool Corp. 8,000 366,880 ---------- 736,953 ---------- Industrial Conglomerates--1.4% Tyco International Ltd. 33,200 468,120 ---------- Insurance--8.8% Allstate Corp. 15,400 547,470 Berkshire Hathaway, Inc., Class B* 329 810,985 Lincoln National Corp. 10,300 314,665 MGIC Investment Corp. 8,000 326,640 Prudential Financial, Inc.* 17,350 495,516 Travelers Property Casualty Corp., Class A* 930 12,276 Travelers Property Casualty Corp., Class B* 1,911 25,856 XL Capital Ltd., Class A 5,100 374,850 ---------- 2,908,258 ---------- Machinery--1.0% Caterpillar, Inc. 8,900 331,258 ---------- Media & Entertainment--7.0% General Motors Corp., Class H* 56,500 516,975 Knight-Ridder, Inc. 11,900 671,279 McGraw-Hill Cos., Inc. 5,875 359,667 Walt Disney Co. 49,200 744,888 ---------- 2,292,809 ---------- Oil & Gas--9.2% BP Amoco Plc ADR 17,300 690,270 ChevronTexaco Corp. 10,780 746,515 ConocoPhillips* 7,950 367,608 Exxon Mobil Corp. 39,000 1,244,100 ---------- 3,048,493 ---------- Retail--Specialty--1.1% Office Depot, Inc.* 29,300 361,562 ---------- Telecommunication Services--Diversified--5.2% AT&T Corp. 31,200 374,712 BellSouth Corp. 29,700 545,292 CenturyTel, Inc. 20,000 448,600 SBC Communications, Inc. 17,500 351,750 ---------- 1,720,354 ---------- LOOMIS SAYLES EQUITY FUNDS 35 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Value Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Telecommunications--0.7% Qwest Communications International, Inc.* 97,150 $ 221,502 ------------ Textiles, Apparel & Luxury Goods--2.4% Jones Apparel Group, Inc.* 25,400 779,780 ------------ Utilities--Electric--5.5% Constellation Energy Group 27,425 679,866 Dominion Resources, Inc.* 6,200 314,526 Entergy Corp. 19,700 819,520 ------------ 1,813,912 ------------ TOTAL COMMON STOCKS (Identified Cost $37,754,748) 31,710,996 ------------ Face Amount -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--6.2% of net assets Commercial Paper--6.2% State Street Corp., 1.900%, 10/01/02 $ 1,672,000 1,672,000 UBS Finance, Inc., 1.900%, 10/01/02 355,000 355,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $2,027,000) 2,027,000 ------------ TOTAL INVESTMENTS--102.2% (Identified Cost $39,781,748)@ 33,737,996 Liabilities, Less Cash and Other Assets--(2.2%) (712,888) ------------ NET ASSETS--100% $ 33,025,108 ============ + See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $39,781,748 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $947,948 and $6,991,700, respectively, resulting in net unrealized depreciation of $6,043,752. Key to abbreviations: ADR: American Depository Receipt See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Worldwide Fund
Face Amount Value + -------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--52.5% of net assets NON-CONVERTIBLE BONDS--48.3% Argentina--0.1% YPF Sociedad Anonima, 7.750%, 8/27/07 USD 10,000 $ 7,500 -------- Australia--1.4% Queensland Treasury, 8.000%, 9/14/07 AUD 100,000 60,626 South Australia Government Finance Authority, Zero Coupon Bond, 12/21/15 220,000 55,967 -------- 116,593 -------- Brazil--0.4% Republic of Brazil, 8.875%, 4/15/24 USD 75,000 30,000 -------- Canada--1.4% Brascan Corp., 8.125%, 12/15/08 25,000 27,772 Calpine Canada Energy Finance, 8.750%, 10/15/07 CAD 80,000 20,439 Ontario Electricity Finance Corp., 5.375%, 6/02/03 75,000 48,075 Rogers Cablesystems Ltd., 9.650%, 1/15/14 40,000 23,025 -------- 119,311 -------- Chile--0.6% Empresa Nacional de Electricidad SA, Series B, 8.500%, 4/01/09 USD 50,000 49,170 -------- Colombia--0.2% Republic of Colombia, 10.000%, 1/23/12 25,000 20,250 -------- Denmark--0.6% Kingdom of Denmark, 5.000%, 8/15/05 DKK 360,000 49,534 -------- Ecuador--0.1% Republic of Ecuador, 6.000%, 8/15/30 144A USD 25,000 9,125 -------- Germany--5.7% Bayerische Vereinsbank, 6.000%, 1/23/06 EUR 110,000 116,230 Eurohypo AG-Europaeische Hypothekenbank der Deutschen Bank, 4.000%, 2/01/07 180,000 178,682 Kreditanstalt Wiederauf, 5.250%, 1/04/10 170,000 178,328 -------- 473,240 -------- Italy--0.7% Republic of Italy, 4.500%, 3/01/07 60,000 61,195 -------- Malaysia--0.7% Tenaga Nasional Berhad, 7.500%, 11/01/25 144A USD 60,000 57,221 -------- Mexico--2.6% Petroleos Mexicanos, 8.625%, 12/01/23 144A 115,000 112,700 United Mexican States, 8.300%, 8/15/31 110,000 106,700 -------- 219,400 -------- Netherlands--1.8% GMAC International Finance BV, 8.000%, 3/14/07 NZD 55,000 25,748 PTC International Finance BV, 10.750%, 7/01/07 USD 30,000 30,600 Repsol International Finance BV, 5.750%, 12/04/06 EUR 100,000 94,145 -------- 150,493 -------- Norway--0.7% Government of Norway, 5.750%, 11/30/04 NOK 415,000 55,527 --------
LOOMIS SAYLES EQUITY FUNDS 37 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Worldwide Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Peru--0.4% Republic of Peru, 4.000%, 3/07/17 (step to 4.500% on 3/07/03)# USD 50,000 $ 29,940 -------- Russia--0.8% Russian Federation, 5.000%, 3/31/30 (step to 7.500% on 3/31/07)# 100,000 70,635 -------- South Africa--1.1% Republic of South Africa, 13.500%, 9/15/15 ZAR 800,000 87,541 -------- South Korea--1.2% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A USD 100,000 102,000 -------- Supranational--0.1% Corporacion Andina De Fomento, 6.875%, 3/15/12 10,000 10,691 -------- Sweden--1.0% Government of Sweden, 5.250%, 3/15/11 SEK 745,000 82,381 -------- United Kingdom--0.3% United Kingdom Treasury, 6.250%, 11/25/10 GBP 15,000 26,598 -------- United States--26.1% AT&T Corp., 6.000%, 11/21/06 EUR 25,000 23,187 Borden, Inc., 7.875%, 2/15/23 USD 150,000 87,000 Boston Celtics Ltd., 6.000%, 6/30/38 90,000 58,725 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 100,000 62,000 Chesapeake Energy Corp., 8.125%, 4/01/11 50,000 50,000 Chesapeake Energy Corp., 9.000%, 8/15/12 144A 50,000 51,375 CIT Group, Inc., 5.500%, 5/16/05 25,000 23,898 Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 50,000 45,567 Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 50,000 52,335 Dana Corp., 9.000%, 8/15/11 EUR 25,000 22,850 Dillon Read Structured Finance Corp., Series A, 6.660%, 8/15/10/\ USD 124,453 59,738 El Paso Corp., 5.750%, 3/14/06 25,000 15,963 Federal Home Loan Mortgage Corp., 5.125%, 1/15/12 EUR 200,000 204,339 Federal Home Loan Mortgage Corp., 6.000%, 11/01/31 USD 70,761 72,879 Ford Motor Co., 6.375%, 2/01/29 60,000 43,451 Fort James Corp., 4.750%, 6/29/04 EUR 50,000 42,098 Georgia-Pacific Group, 7.375%, 12/01/25 USD 50,000 32,820 Georgia-Pacific Group, 7.750%, 11/15/29 25,000 17,037 Glencore Nickel Ltd., 9.000%, 12/01/14/\ 20,000 4,900 IMC Global, Inc., 7.375%, 8/01/18 50,000 39,543 J.C. Penney Co., Inc., 7.125%, 11/15/23 75,000 60,000 Lear Corp., 8.125%, 4/01/08 EUR 50,000 48,982 Lucent Technologies, Inc., 7.250%, 7/15/06 USD 90,000 36,000 Motorola, Inc., 8.000%, 11/01/11 75,000 74,059 National Rural Utilities Cooperative Finance Corp., 4.125%, 2/24/06 EUR 25,000 23,397 News America Holdings, Inc., 8.625%, 2/07/14 AUD 25,000 13,681 Philip Morris Cos., Inc., 7.750%, 1/15/27 USD 125,000 141,932 Pioneer Natural Resources Co., 7.200%, 1/15/28 175,000 159,250 Raytheon Co., 6.400%, 12/15/18 150,000 149,757 Sprint Capital Corp., 6.875%, 11/15/28 25,000 14,500 Teck Cominco Ltd., 7.000%, 9/15/12 15,000 15,369 Time Warner, Inc., 6.625%, 5/15/29 75,000 56,990 Transocean Sedco Forex, Inc., 7.375%, 4/15/18 75,000 85,266
Face Amount Value + -------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued United States--continued TRW, Inc., 6.650%, 1/15/28 USD 100,000 $ 95,127 US West Capital Funding, Inc., 6.875%, 7/15/28 50,000 19,000 Williams Communications Group, Inc., 11.700%, 8/01/08/\ 100,000 10,000 Woolworth Corp., 8.500%, 1/15/22 150,000 144,615 Xerox Corp., 7.150%, 8/01/04 25,000 19,625 ---------- 2,177,255 ---------- Uruguay--0.3% Republic of Uruguay, 7.625%, 1/20/12 50,000 21,000 ---------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $3,971,755) 4,026,600 ---------- CONVERTIBLE BONDS--4.2% United Kingdom--0.2% Colt Telecom Group Plc, 2.000%, 12/16/06 EUR 40,000 17,570 ---------- United States--4.0% Analog Devices, Inc., 4.750%, 10/01/05 USD 50,000 48,750 Builders Transportation, Inc., 8.000%, 8/15/05/\ 95,000 119 CML Group, Inc., 5.500%, 1/15/03/\ 150,000 47 Corning, Inc., 3.500%, 11/01/08 50,000 26,562 Genzyme Corp., 3.000%, 5/15/21 25,000 20,937 Human Genome Sciences, Inc., 3.750%, 3/15/07 25,000 16,345 Loews Corp., 3.125%, 9/15/07 140,000 120,568 Thermedics, Inc., Zero Coupon Bond, 6/01/03 100,000 97,500 ---------- 330,828 ---------- TOTAL CONVERTIBLE BONDS (Identified Cost $593,731) 348,398 ---------- TOTAL BONDS AND NOTES (Identified Cost $4,565,486) 4,374,998 ---------- Shares -------------------------------------------------------------------------------------------------------------- COMMON STOCKS--35.9% of net assets Australia--0.9% Foodland Associated Ltd. 2,100 21,666 Newcrest Mining Ltd. 13,900 50,947 ---------- 72,613 ---------- Canada--3.2% Cott Corp.* 2,000 30,343 Dofasco, Inc. 2,500 42,266 Ensign Resource Service Group, Inc. 5,400 51,745 G.T.C. Transcontinental Group Ltd., Class A 1,900 47,045 Mega Bloks, Inc. 144A* 4,000 49,205 WestJet Airlines Ltd.* 3,700 42,480 ---------- 263,084 ---------- Finland--0.3% Stora Enso Oyj 2,900 28,052 ----------
LOOMIS SAYLES EQUITY FUNDS 39 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Worldwide Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued France--1.6% BNP Paribas SA 1,000 $ 32,553 Renault SA 1,000 43,025 STMicroelectronics NV 1,400 18,942 Total Fina SA Class B 300 39,443 -------- 133,963 -------- Germany--0.5% Bayerische Motoren Werke (BMW) AG 1,300 41,716 -------- Hong Kong--0.5% Esprit Holdings Ltd. 28,000 43,079 Ireland--1.8% Anglo Irish Bank Corp. Plc 15,396 91,940 Ryanair Holdings Plc* 10,400 57,999 -------- 149,939 -------- Italy--0.6% Banco Popolare di Verona e Novara Scrl* 4,100 46,742 -------- Japan--4.5% Credit Saison Co. Ltd. 2,300 50,538 JFE Holdings, Inc.* 4,050 45,377 Kappa Create Co. Ltd. 1,000 59,389 Nishimatsuya Chain Co., Ltd. 1,300 50,189 Nissan Motor Co. Ltd. 7,000 51,980 Nissen Co., Ltd. 2,400 43,765 SEGA Corp.* 2,100 39,243 Shimamura Co. Ltd. 600 37,457 -------- 377,938 -------- Mexico--0.4% Fomento Economico Mexicano SA de CV ADR 1,100 37,180 -------- Netherlands--0.8% ASM Lithography Holding NV* 2,200 13,618 Kon KPN* 9,500 49,229 -------- 62,847 -------- South Africa--0.7% Anglo American Plc 1,100 13,895 Sappi Ltd. 3,500 40,190 -------- 54,085 -------- South Korea--0.5% SK Telecom Co. Ltd. ADR 2,000 42,460 -------- Sweden--0.5% Autoliv, Inc. ADR 2,100 44,091 -------- Switzerland--0.9% Nestle SA 200 43,626 Swiss Re 600 33,674 -------- 77,300 -------- United Kingdom--4.2% BAE Systems Plc 10,100 30,430 Billiton Plc 9,365 43,352 Diageo Plc 4,300 53,238 Hilton Group Plc 15,100 37,912 Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued United Kingdom--continued Pearson Plc 4,200 $ 33,579 Royal Bank of Scotland Group Plc 2,200 41,427 Tesco Plc 15,200 49,075 Vodafone Group Plc 49,000 62,666 ---------- 351,679 ---------- United States--14.0% Ace Ltd. 800 23,688 American International Group, Inc. 450 24,615 Analog Devices, Inc.* 1,025 20,193 Applied Materials, Inc.* 2,400 27,720 Banknorth Group, Inc. 1,450 34,437 Baxter International, Inc. 850 25,968 BorgWarner, Inc. 700 34,748 Constellation Energy Group 1,275 31,607 Dell Computer Corp.* 1,450 34,090 Devon Energy Corp. 900 43,425 Dominion Resources, Inc. 800 40,584 Duke Realty Corp. 1,600 39,392 Federal Home Loan Mortgage Corp. 350 19,565 International Paper Co. 950 31,721 Intuit, Inc.* 625 28,456 Jones Apparel Group, Inc.* 800 24,560 Kerr-McGee Corp. 750 32,580 Lear Corp.* 600 24,990 Medtronic, Inc. 875 36,855 Newmont Mining Corp. 3,150 86,656 Nucor Corp. 700 26,530 PepsiCo, Inc. 1,250 46,187 Pfizer, Inc. 1,100 31,922 ProLogis 1,550 38,610 Smith International, Inc.* 1,300 38,103 SunGard Data Systems, Inc.* 1,450 28,203 SYSCO Corp. 1,550 44,004 Target Corp. 1,250 36,900 Texas Instruments, Inc. 1,650 24,371 The Gillette Co. 1,450 42,920 The New York Times Co., Class A 800 36,360 Unocal Corp. 1,100 34,529 Verizon Communications, Inc. 1,200 32,928 Whole Foods Market, Inc.* 950 40,698 ---------- 1,168,115 ---------- TOTAL COMMON STOCKS (Identified Cost $3,352,091) 2,994,883 ---------- PREFERRED STOCKS--1.3% of net assets NON-CONVERTIBLE PREFERRED STOCKS--0.7% Germany--0.5% Porsche AG 100 40,469 ---------- United States--0.2% Highwoods Properties, Inc., Series B, 8.000% 750 17,925 ---------- LOOMIS SAYLES EQUITY FUNDS 41 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Worldwide Fund--continued
Shares Value + -------------------------------------------------------------------------------------------------------------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $54,428) $ 58,394 ----------- CONVERTIBLE PREFERRED STOCKS--0.6% United States--0.6% Equity Residential Properties Trust, 7.250% 500 11,700 Owens Corning, 6.500% & 3,250 0 Philippine Long Distance Telephone Co., $3.50 GDS 2,500 40,550 ----------- 52,250 ----------- TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $210,807) 52,250 ----------- TOTAL PREFERRED STOCKS (Identified Cost $265,235) 110,644 ----------- Face Amount -------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--15.9% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $1,327,031 on 10/01/02 collateralized by $1,025,000 U.S. Treasury Bond, 7.250% due 5/15/16 with a value of $1,358,125 USD 1,327,000 1,327,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,327,000) 1,327,000 ----------- TOTAL INVESTMENTS--105.6% (Identified Cost $9,509,812)@ 8,807,525 Liabilities, Less Cash and Other Assets--(5.6%) (467,215) ----------- NET ASSETS--100% $ 8,340,310 ===========
+ See Note 1. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. & Security in default * Non-income producing security. @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $9,520,509 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $497,061 and $1,210,045, respectively, resulting in net unrealized depreciation of $712,984. Key to abbreviations: ADR: American Depository Receipt; AUD: Australian Dollar; CAD: Canadian Dollar; DKK: Danish Krone; EUR: Euro; GBP: Great British Pound; GDS: Global Depository Security; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; USD: United States Dollar; ZAR: South African Rand Ten Largest Sector Holdings at September 30, 2002 as a Percentage of Net Assets Foreign Government/Agency 12.7% Government Agencies 3.6 Banking & Finance 3.5 Metal & Mining 3.3 Utilities-Electric 3.2 Retail-General 3.2 Tobacco 3.2 Oil & Gas Exploration 3.1 Electronic Components-Semiconductors 3.1 Automobile 2.6 See accompanying notes to financial statements. THIS PAGE INTENTIONALLY LEFT BLANK LOOMIS SAYLES EQUITY FUNDS 43 STATEMENTS OF ASSETS AND LIABILITIES September 30, 2002
Aggressive International Growth Fund Growth Fund Equity Fund ------------------------------------------------------------------------------------------------------------------------------ Assets Investments at value $ 41,089,644 $ 19,433,155 $ 45,286,733 Repurchase agreement at value 2,938,000 693,000 1,454,000 Cash 60 46 859 Foreign currency at value 0 0 1,280,580 Receivable for: Fund shares sold 78,245 3,329 151,610 Securities sold 338,674 234,660 361,955 Dividends and interest 343 9,213 108,462 Foreign tax reclaim 0 0 42,899 Due from the adviser 15,612 19,629 22,505 --------------------------------------------------------- 44,460,578 20,393,032 48,709,603 --------------------------------------------------------- Liabilities Payable for: Securities purchased 974,143 218,592 468,988 Fund shares redeemed 511,374 0 1,696,218 Foreign taxes 0 0 12,106 Accrued expenses: Management fees 26,845 8,578 31,186 Trustees' fees 1,131 1,131 1,131 Administrative fees 1,401 603 1,685 12b-1 fees 6,735 106 731 Other 70,066 55,146 81,319 --------------------------------------------------------- 1,591,695 284,156 2,293,364 --------------------------------------------------------- Net Assets $ 42,868,883 $ 20,108,876 $ 46,416,239 ========================================================= Net Assets consist of: Capital paid in $ 164,372,098 $ 39,474,628 $ 87,616,734 Undistributed accumulated net investment income (loss) 0 0 105,679 Accumulated net realized gain (loss) (118,192,332) (17,618,581) (36,207,166) Unrealized appreciation (depreciation) on: Investments (3,310,883) (1,747,171) (5,102,583) Foreign currency translations 0 0 3,575 --------------------------------------------------------- Net Assets $ 42,868,883 $ 20,108,876 $ 46,416,239 ========================================================= Institutional Class Net assets $ 13,421,359 $ 19,634,545 $ 44,100,716 Shares of beneficial interest outstanding, no par value 1,253,809 5,232,188 5,667,367 Net asset value and redemption price $ 10.70 $ 3.75 $ 7.78 Retail Class Net assets $ 26,885,051 $ 455,990 $ 1,337,721 Shares of beneficial interest outstanding, no par value 2,547,789 125,047 173,830 Net asset value and redemption price $ 10.55 $ 3.65 $ 7.70 Admin Class Net assets $ 2,562,473 $ 18,341 $ 977,802 Shares of beneficial interest outstanding, no par value 243,839 5,055 127,090 Net asset value and redemption price $ 10.51 $ 3.63 $ 7.69 Identified cost of investments $ 47,338,527 $ 21,873,326 $ 51,843,316 Cost of foreign currency $ 0 $ 0 $ 1,279,136
See accompanying notes to financial statements.
Small Cap Small Cap Research Fund Growth Fund Value Fund Value Fund Worldwide Fund ------------------------------------------------------------------------------------------------------------------ $ 15,491,249 $ 73,241,367 $ 348,769,115 $ 33,737,996 $ 7,480,525 449,000 4,093,000 0 0 1,327,000 823 91 992 176 960 0 0 0 0 40,467 0 135,008 1,256,552 519 0 534,824 910,156 2,906,238 0 24,611 12,826 4,942 468,716 42,867 113,818 0 0 0 0 1,339 32,159 0 17,278 0 19,169 ------------------------------------------------------------------------------------------------------------------ 16,520,881 78,384,564 353,418,891 33,781,558 9,007,889 ------------------------------------------------------------------------------------------------------------------ 558,638 1,999,389 5,750,096 697,602 172,929 0 602,927 1,424,330 125 444,566 0 0 0 0 551 6,903 55,210 221,973 17,855 5,345 1,131 1,131 1,131 1,131 1,131 484 0 10,380 1,016 167 4 7,329 28,822 0 0 47,543 90,861 140,517 38,721 42,890 ------------------------------------------------------------------------------------------------------------------ 614,703 2,756,847 7,577,249 756,450 667,579 ------------------------------------------------------------------------------------------------------------------ $ 15,906,178 $ 75,627,717 $ 345,841,642 $ 33,025,108 $ 8,340,310 ================================================================================================================== $ 21,493,783 $ 300,851,224 $ 364,486,184 $ 41,556,227 $ 11,262,438 47,067 0 22,771 271,990 283,378 (3,099,235) (218,489,865) (1,250,156) (2,759,357) (2,505,465) (2,535,437) (6,733,642) (17,417,157) (6,043,752) (702,287) 0 0 0 0 2,246 ------------------------------------------------------------------------------------------------------------------ $ 15,906,178 $ 75,627,717 $ 345,841,642 $ 33,025,108 $ 8,340,310 ================================================================================================================== $ 15,889,007 $ 42,414,681 $ 234,370,097 $ 33,025,108 $ 8,340,310 2,783,619 6,676,888 13,562,944 2,955,515 1,107,424 $ 5.71 $ 6.35 $ 17.28 $ 11.17 $ 7.53 $ 17,171 $ 32,135,388 $ 86,816,429 -- -- 3,016 5,133,374 5,033,543 -- -- $ 5.69 $ 6.26 $ 17.25 -- -- -- $ 1,077,648 $ 24,655,116 -- -- -- 172,740 1,433,747 -- -- -- $ 6.24 $ 17.20 -- -- $ 18,475,686 $ 84,068,009 $ 366,186,272 $ 39,781,748 $ 9,509,812 $ 0 $ 0 $ 0 $ 0 $ 40,452
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 45 STATEMENTS OF OPERATIONS For the Year Ended September 30, 2002
Aggressive International Growth Fund Growth Fund Equity Fund ------------------------------------------------------------------------------------------------------------------------------------ Investment Income Dividends* $ 40,780 $ 101,178 $ 804,004 Interest 17,818 5,757 14,419 ---------------------------------------------------------- Total income 58,598 106,935 818,423 ---------------------------------------------------------- Expenses Management fees 471,574 116,894 419,219 12b-1 fees (Retail Class) 104,208 1,411 5,062 12b-1 fees (Admin Class) 7,887 40 2,811 Shareholder service fees (Admin Class) 7,887 40 2,811 Trustees' fees and expenses 5,547 5,547 5,547 Administrative fees 28,149 10,070 24,425 Custodian and accounting fees 77,406 66,748 193,922 Transfer Agent fees (Institutional Class) 34,232 30,068 36,599 Transfer Agent fees (Retail Class) 38,237 21,224 21,845 Transfer Agent fees (Admin Class) 22,896 22,216 22,568 Audit and tax services fees 50,826 35,630 64,510 Registration fees 36,464 33,401 38,424 Printing fees 18,727 5,447 8,326 Legal fees 4,370 3,862 2,984 Other expenses 6,879 0 5,891 ---------------------------------------------------------- Total expenses 915,289 352,598 854,944 Less expenses waived and reimbursed by the investment adviser (166,542) (152,388) (285,301) ---------------------------------------------------------- Net expenses 748,747 200,210 569,643 ---------------------------------------------------------- Net investment income (loss) (690,149) (93,275) 248,780 ---------------------------------------------------------- Net Realized Gain (Loss) on: Investments (25,765,558) (2,239,521) (10,484,638) Foreign currency transactions 0 0 (56,149) ---------------------------------------------------------- Total net realized gain (loss) (25,765,558) (2,239,521) (10,540,787) ---------------------------------------------------------- Change in Unrealized Appreciation (Depreciation) on: Investments 14,653,848 (137,103) 7,792 Foreign currency translations 0 0 10,149 ---------------------------------------------------------- Total net change in unrealized appreciation (depreciation) 14,653,848 (137,103) 17,941 ---------------------------------------------------------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) (11,111,710) (2,376,624) (10,522,846) ---------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations $(11,801,859) $ (2,469,899) $(10,274,066) ==========================================================
* Net of foreign withholding taxes of $88,865, $465, $1,349 and $4,415 for the International Equity, Small Cap Value, Value and Worldwide Funds, respectively. See accompanying notes to financial statements.
Small Cap Small Cap Research Fund Growth Fund Value Fund Value Fund Worldwide Fund ---------------------------------------------------------------------------------------------------------------- $ 215,397 $ 130,093 $ 5,193,021 $ 691,255 $ 69,323 3,073 35,364 440,936 25,667 392,660 --------------------------------------------------------------------------------------------------------------- 218,470 165,457 5,633,957 716,922 461,983 --------------------------------------------------------------------------------------------------------------- 92,698 1,191,120 2,980,498 204,364 65,850 9 127,457 296,382 0 0 0 3,804 57,876 0 0 0 3,804 57,876 0 0 5,547 5,547 5,547 5,547 5,547 6,720 71,841 165,374 17,365 3,633 60,765 134,859 239,690 48,625 71,162 22,200 69,098 96,567 33,706 22,346 7,738 33,684 30,075 0 0 0 22,761 24,828 0 0 30,552 92,325 137,011 36,358 28,827 27,356 45,372 41,624 14,829 15,019 2,517 30,473 60,064 4,868 1,210 5,994 13,061 30,857 2,270 0 0 11,152 15,846 0 0 --------------------------------------------------------------------------------------------------------------- 262,096 1,856,358 4,240,115 367,932 213,594 (107,201) (133,134) (100,904) (20,513) (125,794) --------------------------------------------------------------------------------------------------------------- 154,895 1,723,224 4,139,211 347,419 87,800 --------------------------------------------------------------------------------------------------------------- 63,575 (1,557,767) 1,494,746 369,503 374,183 --------------------------------------------------------------------------------------------------------------- (1,897,647) (69,953,299) 2,148,740 (2,696,017) (1,193,887) 0 0 0 0 1,428 --------------------------------------------------------------------------------------------------------------- (1,897,647) (69,953,299) 2,148,740 (2,696,017) (1,192,459) --------------------------------------------------------------------------------------------------------------- (2,170,405) 42,467,218 (26,278,549) (4,495,539) 566,438 0 0 0 0 2,371 --------------------------------------------------------------------------------------------------------------- (2,170,405) 42,467,218 (26,278,549) (4,495,539) 568,809 --------------------------------------------------------------------------------------------------------------- (4,068,052) (27,486,081) (24,129,809) (7,191,556) (623,650) --------------------------------------------------------------------------------------------------------------- $ (4,004,477) $(29,043,848) $(22,635,063) $ (6,822,053) $ (249,467) ===============================================================================================================
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 47 STATEMENTS OF CHANGES IN NET ASSETS Aggressive Growth Fund
Year Ended Year Ended September 30, 2002 September 30, 2001 ----------------------------------------------------------------------------------------------------------------------- From Operations Net investment income (loss) $ (690,149) $ (1,049,698) Net realized gain (loss) (25,765,558) (92,417,186) Change in unrealized appreciation (depreciation) 14,653,848 (51,727,302) -------------------------------------- Increase (decrease) in net assets from operations (11,801,859) (145,194,186) -------------------------------------- From Distributions to Shareholders Institutional Class Net realized gain on investments 0 (699,751) Retail Class Net realized gain on investments 0 (1,576,504) Admin Class Net realized gain on investments 0 (560) -------------------------------------- Total distributions 0 (2,276,815) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (5,538,390) 34,492,465 -------------------------------------- Total increase (decrease) in net assets (17,340,249) (112,978,536) Net Assets Beginning of the period 60,209,132 173,187,668 -------------------------------------- End of the period $ 42,868,883 $ 60,209,132 ====================================== Undistributed Net Investment Income (Loss) End of the period $ 0 $ 0 ====================================== Growth Fund Year Ended Year Ended September 30, 2002 September 30, 2001 ----------------------------------------------------------------------------------------------------------------------- From Operations Net investment income (loss) $ (93,275) $ (55,372) Net realized gain (loss) (2,239,521) (15,329,994) Change in unrealized appreciation (depreciation) (137,103) (7,943,411) -------------------------------------- Increase (decrease) in net assets from operations (2,469,899) (23,328,777) -------------------------------------- From Distributions to Shareholders Institutional Class Net realized gain on investments 0 (10,314,172) Retail Class Net realized gain on investments 0 (251,072) Admin Class Net realized gain on investments 0 (2,927) -------------------------------------- Total distributions 0 (10,568,171) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 400,616 9,718,739 -------------------------------------- Total increase (decrease) in net assets (2,069,283) (24,178,209) Net Assets Beginning of the period 22,178,159 46,356,368 -------------------------------------- End of the period $ 20,108,876 $ 22,178,159 ====================================== Undistributed Net Investment Income (Loss) End of the period $ 0 $ 0 ======================================
See accompanying notes to financial statements. International Equity Fund
Year Ended Year Ended September 30, 2002 September 30, 2001 ----------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 248,780 $ 279,807 Net realized gain (loss) (10,540,787) (25,603,945) Change in unrealized appreciation (depreciation) 17,941 (11,098,070) -------------------------------------- Increase (decrease) in net assets from operations (10,274,066) (36,422,208) -------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (235,551) 0 Net realized gain on investments 0 (10,517,451) Retail Class Net investment income (5,046) 0 Net realized gain on investments 0 (751,093) Admin Class Net investment income 0 0 Net realized gain on investments 0 (124,478) -------------------------------------- Total distributions (240,597) (11,393,022) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (999,346) (7,634,241) -------------------------------------- Total increase (decrease) in net assets (11,514,009) (55,449,471) Net Assets Beginning of the period 57,930,248 113,379,719 -------------------------------------- End of the period $ 46,416,239 $ 57,930,248 ====================================== Undistributed Net Investment Income (Loss) End of the period $ 105,679 $ 153,646 ====================================== Research Fund Year Ended Year Ended September 30, 2002 September 30, 2001 ----------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 63,575 $ 3,440 Net realized gain (loss) (1,897,647) (1,199,270) Change in unrealized appreciation (depreciation) (2,170,405) (443,326) -------------------------------------- Increase (decrease) in net assets from operations (4,004,477) (1,639,156) -------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (19,618) 0 Net realized gain on investments 0 (16,773) -------------------------------------- Total distributions (19,618) (16,773) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 15,685,332 2,391,362 -------------------------------------- Total increase (decrease) in net assets 11,661,237 735,433 Net Assets Beginning of the period 4,244,941 3,509,508 -------------------------------------- End of the period $ 15,906,178 $ 4,244,941 ====================================== Undistributed Net Investment Income (Loss) End of the period $ 47,067 $ 3,111 ======================================
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 49 STATEMENTS OF CHANGES IN NET ASSETS Small Cap Growth Fund
Year Ended Year Ended September 30, 2002 September 30, 2001 ------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income (loss) $ (1,557,767) $ (2,159,355) Net realized gain (loss) (69,953,299) (147,559,085) Change in unrealized appreciation (depreciation) 42,467,218 (119,076,924) -------------------------------------- Increase (decrease) in net assets from operations (29,043,848) (268,795,364) -------------------------------------- From Distributions to Shareholders Institutional Class Net realized gain on investments 0 (10,521,248) Retail Class Net realized gain on investments 0 (3,692,261) Admin Class Net realized gain on investments 0 (31,778) -------------------------------------- Total distributions 0 (14,245,287) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (71,265,569) 127,414,789 -------------------------------------- Total increase (decrease) in net assets (100,309,417) (155,625,862) Net Assets Beginning of the period 175,937,134 331,562,996 -------------------------------------- End of the period $ 75,627,717 $ 175,937,134 ====================================== Undistributed Net Investment Income (Loss) End of the period $ 0 $ 0 ====================================== Small Cap Value Fund Year Ended Year Ended September 30, 2002 September 30, 2001 ------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income (loss) $ 1,494,746 $ 2,257,730 Net realized gain (loss) 2,148,740 38,470,453 Change in unrealized appreciation (depreciation) (26,278,549) (29,774,777) -------------------------------------- Increase (decrease) in net assets from operations (22,635,063) 10,953,406 -------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (1,284,900) (2,264,385) Net realized gain on investments (23,675,371) (11,502,885) Retail Class Net investment income (323,268) (660,217) Net realized gain on investments (10,876,851) (4,498,890) Admin Class Net investment income (8,857) (62,922) Net realized gain on investments (1,968,755) (640,490) -------------------------------------- Total distributions (38,138,002) (19,629,789) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 77,160,687 19,122,826 -------------------------------------- Total increase (decrease) in net assets 16,387,622 10,446,443 Net Assets Beginning of the period 329,454,020 319,007,577 -------------------------------------- End of the period $ 345,841,642 $ 329,454,020 ====================================== Undistributed Net Investment Income (Loss) End of the period $ 22,771 $ 1,284,871 ======================================
See accompanying notes to financial statements. Value Fund
Year Ended Year Ended September 30, 2002 September 30, 2001 ---------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 369,503 $ 368,942 Net realized gain (loss) (2,696,017) 1,478,436 Change in unrealized appreciation (depreciation) (4,495,539) (4,952,030) ------------------------------------ Increase (decrease) in net assets from operations (6,822,053) (3,104,652) ------------------------------------ From Distributions to Shareholders Institutional Class Net investment income (463,295) (444,829) Net realized gain on investments (791,340) 0 Retail Class Net investment income 0 (2,465) Net realized gain on investments 0 0 ------------------------------------ Total distributions (1,254,635) (447,294) ------------------------------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 1,552,946 4,046,560 ------------------------------------ Total increase (decrease) in net assets (6,523,742) 494,614 Net Assets Beginning of the period 39,548,850 39,054,236 ------------------------------------ End of the period $ 33,025,108 $ 39,548,850 ==================================== Undistributed Net Investment Income (Loss) End of the period $ 271,990 $ 366,602 ==================================== Worldwide Fund Year Ended Year Ended September 30, 2002 September 30, 2001 ---------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 374,183 $ 649,440 Net realized gain (loss) (1,192,459) (1,302,339) Change in unrealized appreciation (depreciation) 568,809 (911,583) ------------------------------------ Increase (decrease) in net assets from operations (249,467) (1,564,482) ------------------------------------ From Distributions to Shareholders Institutional Class Net investment income (747,534) (321,612) Net realized gain on investments 0 (2,297,643) Retail Class Net investment income 0 (26,028) Net realized gain on investments 0 (205,581) ------------------------------------ Total distributions (747,534) (2,850,864) ------------------------------------ From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 808,897 2,316,862 ------------------------------------ Total increase (decrease) in net assets (188,104) (2,098,484) Net Assets Beginning of the period 8,528,414 10,626,898 ------------------------------------ End of the period $ 8,340,310 $ 8,528,414 ==================================== Undistributed Net Investment Income (Loss) End of the period $ 283,378 $ 639,718 ====================================
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 51 FINANCIAL HIGHLIGHTS
Loomis Aggressive Growth Fund Institutional Class --------------------------------------------------------------------------------- Nine Months Ended Period Ended Year Ended September 30, September 30, December 31, ------------------------------------------- ------------- ------------ 2002 2001 2000 1999 1998 1997* --------------------------------------------------------------------------------- Net asset value, beginning of period $ 13.56 $ 47.71 $ 20.08 $ 10.51 $ 11.49 $ 10.00 --------------------------------------------------------------------------------- Income from Investment Operations Net investment income (loss) (0.13)(d) (0.20)(d) (0.26)(d) (0.09)(d) (0.03) (0.03) Net realized and unrealized gain (loss) on investments (2.73) (33.43) 29.11 10.05 (0.95) 2.26 --------------------------------------------------------------------------------- Total from investment operations (2.86) (33.63) 28.85 9.96 (0.98) 2.23 --------------------------------------------------------------------------------- Less Distributions Dividends from net investment income 0.00 0.00 0.00 0.00 0.00 (0.12) Distributions from net realized capital gains 0.00 (0.52) (1.22) (0.39) 0.00 (0.62) --------------------------------------------------------------------------------- Total distributions 0.00 (0.52) (1.22) (0.39) 0.00 (0.74) --------------------------------------------------------------------------------- Net asset value, end of period $ 10.70 $ 13.56 $ 47.71 $ 20.08 $ 10.51 $ 11.49 ================================================================================= Total return/(a)/ (21.1)% (71.1)% 147.8% 97.9% (8.5)% 22.7% Net assets, end of period (000) $ 13,421 $16,347 $62,364 $13,308 $ 2,073 $ 1,848 Ratios to average net assets: Net expenses/(b)//(c)/ 1.00% 1.00% 1.00% 1.00% 1.00% 1.00% Gross expenses/(c)/ 1.31 1.13 1.11 2.96 7.13 9.35 Net investment income (loss)/(c)/ (0.91) (0.75) (0.66) (0.56) (0.35) (0.38) Portfolio turnover rate 220 258 191 199 82 174
Loomis Sayles Growth Fund Institutional Class --------------------------------------------------------------------------------- Nine Months Ended Period Ended Year Ended September 30, September 30, December 31, ------------------------------------------- ------------- ------------ 2002 2001 2000 1999 1998 1997 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.23 $ 15.00 $ 11.17 $ 11.65 $ 12.63 $ 13.44 --------------------------------------------------------------------------------- Income from Investment Operations Net investment income (loss) (0.02)(d) (0.02)(d) (0.05) (0.04) (0.03) (0.04) Net realized and unrealized gain (loss) on investments (0.46) (7.42) 4.90 3.01 (0.95) 3.17 --------------------------------------------------------------------------------- Total from investment operations (0.48) (7.44) 4.85 2.97 (0.98) 3.13 --------------------------------------------------------------------------------- Less Distributions Distributions from net realized capital gains 0.00 (3.33) (1.02) (3.45) 0.00 (3.94) --------------------------------------------------------------------------------- Net asset value, end of period $ 3.75 $ 4.23 $ 15.00 $ 11.17 $ 11.65 $ 12.63 ================================================================================= Total return/(a)/ (11.4)% (50.8)% 45.6% 30.9% (7.8)% 24.5% Net assets, end of period (000) $19,635 $21,653 $45,328 $28,235 $24,663 $32,149 Ratios to average net assets: Net expenses/(b)//(c)/ 0.85% 0.85% 0.85% 0.85% 0.85% 0.85% Gross expenses/(c)/ 1.32 1.24 1.01 1.18 1.02 0.98 Net investment income (loss)/(c)/ (0.39) (0.17) (0.36) (0.40) (0.32) (0.26) Portfolio turnover rate 192 281 203 164 118 116
* From commencement of fund operations on January 2, 1997 through December 31, 1997. ** From commencement of class operations on July 31, 2000 through September 30, 2000. (a) Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b) The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c) Annualized for periods less than one year. (d) Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. See accompanying notes to financial statements.
Retail Class Admin Class ------------------------------------------------------------------------------ ----------------------------------------- Nine Months Ended Period Ended Period Ended Year Ended September 30, September 30, December 31, Year Ended September 30, September 30, ------------------------ ------------- ------------ ------------------------ ------------- 2002 2001 2000 1999 1998 1997* 2002 2001 2000** ------------------------------------------------------------------------------ ----------------------------------------- $ 13.41 $ 47.33 $ 19.99 $10.49 $11.49 $10.00 $13.38 $47.31 $40.38 (0.16)(d) 0.25)(d) (0.38)(d) (0.14)(d) (0.05) (0.06) (0.20)(d) (0.26)(d) (0.09)(d) (2.70) (33.15) 28.94 10.03 (0.95) 2.27 (2.67) (33.15) 7.02 ------------------------------------------------------------------------------ ----------------------------------------- (2.86) (33.40) 28.56 9.89 (1.00) 2.21 (2.87) (33.41) 6.93 ------------------------------------------------------------------------------ ----------------------------------------- 0.00 0.00 0.00 0.00 0.00 (0.10) 0.00 0.00 0.00 0.00 (0.52) (1.22) (0.39) 0.00 (0.62) 0.00 (0.52) 0.00 ------------------------------------------------------------------------------ ----------------------------------------- 0.00 (0.52) (1.22) (0.39) 0.00 (0.72) 0.00 (0.52) 0.00 ------------------------------------------------------------------------------ ----------------------------------------- $ 10.55 $ 13.41 $ 47.33 $19.99 $10.49 $11.49 $10.51 $13.38 $47.31 ============================================================================== ========================================= (21.3)% (71.2)% 147.0% 97.5% (8.7)% 22.4% (21.5)% (71.3)% 17.2% $26,885 $41,456 $110,824 $1,175 $ 85 $ 74 $2,562 $2,406 $ 0 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.50% 1.50% 1.50% 1.45 1.37 1.35 9.05 27.97 36.58 2.35 2.92 1.60 (1.16) (1.01) (0.89) (0.80) (0.60) (0.67) (1.41) (1.35) (1.14) 220 258 191 199 82 174 220 258 191
Retail Class Admin Class ------------------------------------------------------------------------------ ----------------------------------------- Nine Months Ended Period Ended Period Ended Year Ended September 30, September 30, December 31, Year Ended September 30, September 30, ------------------------ ------------- ------------ ------------------------ ------------- 2002 2001 2000 1999 1998 1997* 2002 2001 2000** ------------------------------------------------------------------------------ ----------------------------------------- $ 4.12 $14.80 $11.06 $11.59 $12.59 $13.44 $ 4.11 $14.79 $14.09 (0.03)(d) (0.04)(d) (0.07) (0.06) (0.03) (0.07) (0.04)(d) (0.08)(d) (0.02) (0.44) (7.31) 4.83 2.98 (0.97) 3.16 (0.44) (7.27) 0.72 (0.47) (7.35) 4.76 2.92 (1.00) 3.09 (0.48) (7.35) 0.70 0.00 (3.33) (1.02) (3.45) 0.00 (3.94) 0.00 (3.33) 0.00 $ 3.65 $ 4.12 $14.80 $11.06 $11.59 $12.59 $ 3.63 $ 4.11 $14.79 (11.4)% (50.9)% 45.3% 30.6% (7.9)% 24.2% (11.7)% (50.9)% 5.0% $ 456 $ 518 $1,028 $ 649 $ 516 $ 194 $ 18 $ 8 $ 0 1.10% 1.10% 1.10% 1.10% 1.10% 1.10% 1.35% 1.35% 1.35% 5.20 4.11 3.29 4.43 4.74 12.96 142.14 68.34 1.50 (0.65) (0.42) (0.61) (0.65) (0.58) (0.42) (0.85) (0.94) (0.87) 192 281 203 164 118 116 192 281 203
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 53 FINANCIAL HIGHLIGHTS
Loomis Sayles International Equity Fund Institutional Class ------------------------------------------------------------------------------- Nine Months Ended Year Ended Year Ended September 30, September 30, December 31, ----------------------------------------------- ------------- ------------ 2002 2001 2000 1999 1998 1997 -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.61 $ 17.41 $ 13.79 $ 10.74 $ 11.30 $ 13.16 ---------------------------------------------------------------------------------- Income from Investment Operations Net investment income (loss) 0.04(d) 0.05(d) (0.06)(d) 0.07 0.14 0.15(d) Net realized and unrealized gain (loss) on investments (1.83) (5.91) 4.77 3.31 (0.70) (0.27) ---------------------------------------------------------------------------------- Total from investment operations (1.79) (5.86) 4.71 3.38 (0.56) (0.12) ---------------------------------------------------------------------------------- Less Distributions Dividends from net investment income (0.04) 0.00 (0.09) (0.13) 0.00 (0.19) Distributions from net realized capital gains 0.00 (1.94) (1.00) (0.20) 0.00 (1.55) ---------------------------------------------------------------------------------- Total distributions (0.04) (1.94) (1.09) (0.33) 0.00 (1.74) ---------------------------------------------------------------------------------- Net asset value, end of period $ 7.78 $ 9.61 $ 17.41 $ 13.79 $ 10.74 $ 11.30 ================================================================================== Total return/(a)/ (18.7)% (34.5)% 34.4% 32.0% (5.0)% (1.0)% Net assets, end of period (000) $44,101 $54,080 $107,792 $79,415 $68,464 $82,188 Ratios to average net assets: Net expenses/(b)//(c)/ 1.00% 1.00% 1.00% 1.00% 1.00% 1.00% Gross expenses/(c)/ 1.43 1.35 1.15 1.22 1.18 1.16 Net investment income (loss)/(c)/ 0.47 0.34 (0.32) 0.53 1.49 1.12 Portfolio turnover rate 135 207 226 207 96 119
Loomis Sayles Research Fund Institutional Class Retail Class ---------------------------------------------- ------------ Period Ended Period Ended Year Ended September 30, September 30, September 30, ----------------------------- ------------- ------------- 2002 2001 2000** 2002*** ------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 6.85 $10.54 $10.00 $ 7.61 --------------------------------------------------------------- Income from Investment Operations Net investment income (loss) 0.03(d) 0.01(d) 0.00 0.01(d) Net realized and unrealized gain (loss) on investments (1.16) (3.65) 0.54 (1.92) --------------------------------------------------------------- Total from investment operations (1.13) (3.64) 0.54 (1.91) --------------------------------------------------------------- Less Distributions Dividends from net investment income (0.01) 0.00 0.00 (0.01) Distributions from net realized capital gains 0.00 (0.05) 0.00 0.00 --------------------------------------------------------------- Total distributions (0.01) (0.05) 0.00 (0.01) --------------------------------------------------------------- Net asset value, end of period $ 5.71 $ 6.85 $10.54 $ 5.69 =============================================================== Total return/(a)/ (16.6)% (34.7)% 5.4% (25.2)% Net assets, end of period (000) $15,889 $4,245 $3,510 $ 17 Ratios to average net assets: Net expenses/(b)//(c)/ 0.89% 1.15% 1.15% 1.10% Gross expenses/(c)/ 1.46 4.26 8.02 213.89 Net investment income (loss)/(c)/ 0.36 0.09 (0.14) 0.22 Portfolio turnover rate 130 171 20 130
*From commencement of fund operations on January 2, 1997 through December 31, 1997. **From commencement of class operations on July 31, 2000 through September 30, 2000. ***From commencement of Class operations on November 30, 2001 through September 30, 2002. (a) Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b) The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c) Annualized for periods less than one year. (d) Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. See accompanying notes to financial statements.
Retail Class Admin Class ---------------------------------------------------------------------------------- --------------------------------------------- Nine Months Ended Period Ended Period Ended Year Ended September 30, September 30, December 31, Year Ended September 30, September 30, -------------------------------------------- ------------- ------------ -------------------------- ------------- 2002 2001 2000 1999 1998 1997* 2002 2001 2000** ---------------------------------------------------------------------------------- -------------------------------------------- $ 9.50 $17.31 $13.73 $10.70 $ 11.28 $13.16 $9.49 $17.30 $17.62 ---------------------------------------------------------------------------------- ------------------------------------------- 0.02(d) 0.02(d) (0.05)(d) 0.05 0.10 0.10(d) 0.00(d) 0.02(d) (0.02)(d) (1.80) (5.89) 4.67 3.28 (0.68) (0.26) (1.80) (5.89) (0.30) ---------------------------------------------------------------------------------- ------------------------------------------- (1.78) (5.87) 4.62 3.33 (0.58) (0.16) (1.80) (5.87) (0.32) ---------------------------------------------------------------------------------- ------------------------------------------- (0.02) 0.00 (0.04) (0.10) 0.00 (0.17) 0.00 0.00 0.00 0.00 (1.94) (1.00) (0.20) 0.00 (1.55) 0.00 (1.94) 0.00 ---------------------------------------------------------------------------------- ------------------------------------------- (0.02) (1.94) (1.04) (0.30) 0.00 (1.72) 0.00 (1.94) 0.00 ---------------------------------------------------------------------------------- ------------------------------------------- $ 7.70 $ 9.50 $17.31 $13.73 $ 10.70 $11.28 $7.69 $ 9.49 $17.30 ================================================================================== =========================================== (18.8)% (34.7)% 33.9% 31.6% (5.1)% (1.3)% (19.0)% (34.8)% (1.8)% $1,338 $2,793 $5,588 $ 261 $ 150 $ 233 $ 978 $1,057 $ 0 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.50% 1.50% 1.50% 2.69 1.99 1.67 12.33 10.26 16.24 3.88 2.01 1.77 0.19 0.13 (0.26) 0.29 1.16 0.73 (0.03) 0.19 (0.83) 135 207 226 207 96 119 135 207 226
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 55 FINANCIAL HIGHLIGHTS
Loomis Sayles Small Cap Growth Fund Institutional Class ----------------------------------------------------------------------------------- Nine Months Ended Period Ended Year Ended September 30, September 30, December 31, ---------------------------------------------- ------------- ------------ 2002 2001 2000 1999 1998 1997* ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 8.83 $ 26.98 $ 16.74 $ 9.83 $ 11.32 $ 10.00 ----------------------------------------------------------------------------------- Income from Investment Operations Net investment income (loss) (0.08)(d) (0.12)(d) (0.16)(d) (0.08) (0.02) (0.07)(d) Net realized and unrealized gain (loss) on investments (2.40) (17.06) 10.40 6.99 (1.47) 1.99 ----------------------------------------------------------------------------------- Total from investment operations (2.48) (17.18) 10.24 6.91 (1.49) 1.92 ----------------------------------------------------------------------------------- Less Distributions Dividends from net investment income 0.00 0.00 0.00 0.00 0.00 (0.01) Distributions from net realized capital gains 0.00 (0.97) 0.00 0.00 0.00 (0.59) ----------------------------------------------------------------------------------- Total distributions 0.00 (0.97) 0.00 0.00 0.00 (0.60) ----------------------------------------------------------------------------------- Net asset value, end of period $ 6.35 $ 8.83 $ 26.98 $ 16.74 $ 9.83 $ 11.32 =================================================================================== Total return/(a)/ (28.1)% (65.2)% 61.2% 70.3% (13.2)% 19.4% Net assets, end of period (000) $42,415 $124,479 $262,147 $81,132 $17,174 $ 3,893 Ratios to average net assets: Net expenses/(b)//(c)/ 1.00% 0.99% 0.92% 1.00% 1.00% 1.00% Gross expenses/(c)/ 1.07 0.99 0.92 1.11 2.15 5.81 Net investment income (loss)/(c)/ (0.90) (0.74) (0.62) (0.80) (0.53) (0.65) Portfolio turnover rate 162 140 170 163 116 211
* From commencement of fund operations on January 2, 1997 through December 31, 1997. ** From commencement of class operations on July 31, 2000 through September 30, 2000. (a) Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b) The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c) Annualized for periods less than one year. (d) Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. See accompanying notes to financial statements.
Retail Class Admin Class -------------------------------------------------------------------------------- ------------------------------------------------- Nine Months Ended Period Ended Period Ended Year Ended September 30, September 30, December 31, Year Ended September 30, September 30, ------------------------------------------- ------------- ------------ ------------------------ ------------- 2002 2001 2000 1999 1998 1997* 2002 2001 2000** -------------------------------------------------------------------------------- ------------------------------------------------- $ 8.72 $ 26.74 $ 16.65 $ 9.80 $ 11.30 $ 10.00 $ 8.71 $ 26.73 $ 23.67 -------------------------------------------------------------------------------- ------------------------------------------------- (0.10)(d) (0.15)(d) (0.24)(d) (0.08) (0.08) (0.10)(d) (0.12)(d) (0.17)(d) (0.05)(d) (2.36) (16.90) 10.33 6.93 (1.42) 1.99 (2.35) (16.88) 3.11 -------------------------------------------------------------------------------- ------------------------------------------------- (2.46) (17.05) 10.09 6.85 (1.50) 1.89 (2.47) (17.05) 3.06 -------------------------------------------------------------------------------- ------------------------------------------------- 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 (0.97) 0.00 0.00 0.00 (0.59) 0.00 (0.97) 0.00 -------------------------------------------------------------------------------- ------------------------------------------------- 0.00 (0.97) 0.00 0.00 0.00 (0.59) 0.00 (0.97) 0.00 -------------------------------------------------------------------------------- ------------------------------------------------- $ 6.26 $ 8.72 $ 26.74 $16.65 $ 9.80 $ 11.30 $ 6.24 $ 8.71 $ 26.73 ================================================================================ ================================================= (28.2)% (65.3)% 60.6% 69.9% (13.3)% 19.2% (28.4)% (65.3)% 12.9% $ 32,135 $ 50,197 $69,416 $6,032 $ 1,057 $ 1,139 $1,078 $ 1,261 $ 0 1.25% 1.25% 1.23% 1.25% 1.25% 1.25% 1.50% 1.50% 1.50% 1.33 1.26 1.23 1.80 3.70 7.82 3.01 3.56 1.50 (1.15) (1.01) (0.92) (1.04) (0.80) (0.94) (1.39) (1.29) (1.16) 162 140 170 163 116 211 162 140 170
See accompanying notes to financial statements. 57 FINANCIAL HIGHLIGHTS
Loomis Sayles Small Cap Value Fund Institutional Class --------------------------------------------------------------------------------------------------------------------------- Nine Months Ended Year Ended Year Ended September 30, September 30, December 31, ------------------------------------------ ------------- ------------ 2002 2001 2000 1999 1998 1997 --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 19.89 $ 20.42 $ 17.33 $ 15.60 $ 18.62 $ 17.39 ------------------------------------------------------------------------------ Income from Investment Operations Net investment income (loss) 0.10(d) 0.16(d) 0.14(d) 0.16 0.12 0.17 Net realized and unrealized gain (loss) on investments (0.36) 0.60 3.36 1.83 (3.14) 4.26 ------------------------------------------------------------------------------ Total from investment operations (0.26) 0.76 3.50 1.99 (3.02) 4.43 ------------------------------------------------------------------------------ Less Distributions Dividends from net investment income (0.11) (0.20) (0.14) (0.12) 0.00 (0.15) Distributions from net realized capital gains (2.24) (1.09) (0.27) (0.14) 0.00 (3.05) ------------------------------------------------------------------------------ Total distributions (2.35) (1.29) (0.41) (0.26) 0.00 (3.20) ------------------------------------------------------------------------------ Net asset value, end of period $ 17.28 $ 19.89 $ 20.42 $ 17.33 $ 15.60 $ 18.62 ============================================================================== Total return/(a)/ (2.6)% 3.9% 20.7% 12.8% (16.2)% 26.0% Net assets, end of period (000) $234,370 $215,439 $214,919 $301,496 $296,116 $245,177 Ratios to average net assets: Net expenses/(b)//(c)/ 0.94% 0.98% 0.93% 0.90% 0.92% 0.94% Gross expenses/(c)/ 0.96 0.98 0.93 0.90 0.92 0.94 Net investment income (loss)/(c)/ 0.48 0.76 0.76 0.87 1.04 0.97 Portfolio turnover rate 86 98 102 113 78 94
Admin Class ---------------------------------------------------------------- Period Ended Year Ended September 30, September 30, -------------------------------------------- ------------- 2002 2001 2000 1999 1998** ------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 19.80 $ 20.34 $ 17.24 $ 15.54 $ 18.62 ------------------------------------------------------------------- Income from Investment Operations Net investment income (loss) 0.00(d) 0.05(d) 0.04(d) 0.04 0.03 Net realized and unrealized gain (loss) on investments (0.35) 0.60 3.37 1.83 (3.11) ------------------------------------------------------------------- Total from investment operations (0.35) 0.65 3.41 1.87 (3.08) ------------------------------------------------------------------- Less Distributions Dividends from net investment income (0.01) (0.10) (0.04) (0.03) 0.00 Distributions from net realized capital gains (2.24) (1.09) (0.27) (0.14) 0.00 ------------------------------------------------------------------- Total distributions (2.25) (1.19) (0.31) (0.17) 0.00 ------------------------------------------------------------------- Net asset value, end of period $ 17.20 $ 19.80 $ 20.34 $ 17.24 $ 15.54 =================================================================== Total return/(a)/ (3.0)% 3.3% 20.1% 12.0% (16.5)% Net assets, end of period (000) $24,655 $16,471 $11,391 $ 4,863 $ 1,046 Ratios to average net assets: Net expenses/(b)//(c)/ 1.44% 1.50% 1.50% 1.50% 1.50% Gross expenses/(c)/ 1.53 1.59 1.68 1.70 3.99 Net investment income (loss)/(c)/ (0.01) 0.23 0.21 0.30 0.95 Portfolio turnover rate 86 98 102 113 78
*From commencement of fund operations on January 2, 1997 through December 31, 1997. **From commencement of class operations on January 2, 1998 through September 30, 1998. (a) Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b) The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c) Annualized for periods less than one year. (d) Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. See accompanying notes to financial statements.
Retail Class --------------------------------------------------------------------------------------- Nine Months Ended Period Ended Year Ended September 30, September 30, December 31, --------------------------------------------- ------------- ------------ 2002 2001 2000 1999 1998 1997* -------------------------------------------------------------------------------------- $ 19.85 $ 20.38 $ 17.28 $ 15.57 $ 18.62 $ 17.39 -------------------------------------------------------------------------------------- 0.05(d) 0.11(d) 0.10(d) 0.09 0.10 0.15(d) (0.35) 0.60 3.36 1.84 (3.15) 4.21 -------------------------------------------------------------------------------------- (0.30) 0.71 3.46 1.93 (3.05) 4.36 -------------------------------------------------------------------------------------- (0.06) (0.15) (0.09) (0.08) 0.00 (0.08) (2.24) (1.09) (0.27) (0.14) 0.00 (3.05) -------------------------------------------------------------------------------------- (2.30) (1.24) (0.36) (0.22) 0.00 (3.13) -------------------------------------------------------------------------------------- $ 17.25 $ 19.85 $ 20.38 $ 17.28 $ 15.57 $ 18.62 ====================================================================================== (2.8)% 3.6% 20.4% 12.4% (16.4)% 25.6% $86,816 $97,544 $92,698 $75,302 $54,060 $34,353 1.19% 1.22% 1.17% 1.20% 1.19% 1.25% 1.20 1.22 1.17 1.20 1.19 1.35 0.22 0.51 0.53 0.57 0.79 0.79 86 98 102 113 78 94
See accompanying notes to financial statements. LOOMIS SAYLES EQUITY FUNDS 59 FINANCIAL HIGHLIGHTS
Loomis Sayles Value Fund Institutional Class ------------------------------------------------------------------------------ Nine Months Ended Year Ended Year Ended September 30, September 30, December 31, ------------------------------------------ ------------- ------------ 2002 2001 2000 1999 1998 1997 ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 13.90 $ 15.12 $ 16.54 $ 16.85 $ 17.64 $ 15.60 ------------------------------------------------------------------------------ Income from Investment Operations Net investment income (loss) 0.13(d) 0.14(d) 0.17 0.22 0.18 0.18 Net realized and unrealized gain (loss) on investments (2.42) (1.19) 0.41 1.53 (0.97) 4.32 ------------------------------------------------------------------------------ Total from investment operations (2.29) (1.05) 0.58 1.75 (0.79) 4.50 ------------------------------------------------------------------------------ Less Distributions Dividends from net investment income (0.16) (0.17) (0.15) (0.24) 0.00 (0.19) Distributions from net realized capital gains (0.28) 0.00 (1.85) (1.82) 0.00 (2.27) ------------------------------------------------------------------------------ Total distributions (0.44) (0.17) (2.00) (2.06) 0.00 (2.46) ------------------------------------------------------------------------------ Net asset value, end of period $ 11.17 $ 13.90 $ 15.12 $ 16.54 $ 16.85 $ 17.64 ============================================================================== Total return/(a)/ (17.2)% (7.1)% 3.6% 10.5% (4.5)% 29.2% Net assets, end of period (000) $33,025 $39,549 $38,792 $ 66,726 $66,928 $63,303 Ratios to average net assets: Net expenses/(b)//(c)/ 0.85% 0.85% 0.85% 0.78% 0.79% 0.84% Gross expenses/(c)/ 0.90 0.96 0.89 0.78 0.79 0.84 Net investment income (loss)/(c)/ 0.90 0.87 0.87 1.20 1.36 1.12 Portfolio turnover rate 66 90 73 59 49 64
Loomis Sayles Worldwide Fund Institutional Class ------------------------------------------------------------------------------ Nine Months Ended Year Ended Year Ended September 30, September 30, December 31, ------------------------------------------ ------------- ------------ 2002 2001 2000 1999 1998 1997 ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 8.48 $13.93 $ 10.28 $ 8.79 $ 9.86 $10.63 ------------------------------------------------------------------------------ Income from Investment Operations Net investment income (loss) 0.35(d) 0.65(d) 0.58(d) 0.50 0.33 0.47 Net realized and unrealized gain (loss) on investments (0.55) (2.44) 4.02 1.82 (1.40) (0.10) ------------------------------------------------------------------------------ Total from investment operations (0.20) (1.79) 4.60 2.32 (1.07) 0.37 ------------------------------------------------------------------------------ Less Distributions Dividends from net investment income (0.75) (0.35) (0.48) (0.44) 0.00 (0.47) Distributions from net realized capital gains 0.00 (3.31) (0.47) (0.39) 0.00 (0.67) ------------------------------------------------------------------------------ Total distributions (0.75) (3.66) (0.95) (0.83) 0.00 (1.14) ------------------------------------------------------------------------------ Net asset value, end of period $ 7.53 $ 8.48 $ 13.93 $10.28 $ 8.79 $ 9.86 ============================================================================== Total return/(a)/ (3.0)% (15.0)% 46.5% 27.8% (10.9)% 3.5% Net assets, end of period (000) $8,340 $8,528 $ 9,748 $6,233 $4,907 $5,597 Ratios to average net assets: Net expenses/(b)//(c)/ 1.00% 1.00% 1.00% 1.00% 1.00% 1.00% Gross expenses/(c)/ 2.43 2.58 2.48 3.46 3.28 2.62 Net investment income (loss)/(c)/ 4.26 6.85 4.26 5.07 4.37 3.89 Portfolio turnover rate 113 160 183 165 93 134
(a) Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b) The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c) Annualized for periods less than one year. (d) Per share investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. +As required effective October 1, 2001, the Funds have adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities for financial statement purposes only. For the year ended September 30, 2002, the impact to the Fund's per share net investment income and net realized and unrealized gain (loss) was less than $0.01. The ratio of net investment income to average net assets for the Fund decreased from 4.29% to 4.26% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001 have not been restated to reflect this change in presentation. See accompanying notes to financial statements. FUND AND MANAGER REVIEW Loomis Sayles Mid Cap Growth Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Fund returned -20.87%, compared to the -15.50% return for the Fund's benchmark, the Russell Midcap Growth Index. The Lipper Mid-Cap Growth Funds Average posted a total return of -17.08% for the same period. PORTFOLIO REVIEW | Economic uncertainty and geopolitical tensions along with accounting scandals and related acts of corporate malfeasance weighed heavily on the market during the fiscal year and led to strong negative sentiment. Our strategy involved attempting to strike a balance between companies leveraged to an economic recovery, such as consumer discretionary and technology holdings, and more defensive holdings with highly visible growth prospects, such as healthcare and consumer staples. As always, we attempted to find companies with strong fundamentals, rapid earnings growth, strong management and a solid business model. Our approach remained aggressive during the fiscal year, with significant exposure to technology stocks. It was this posture that caused the Fund to underperform its benchmark during the period. Furthermore, several disappointing stocks in the technology sector contributed to the Fund's underperformance. Valuations remained high in the sector, particularly as earnings estimates continued to fall. Nevertheless, we believe technology stocks may offer some of the greatest opportunities going forward, despite the uncertain timing of a rebound in information-technology spending. The consumer has been the mainstay of the fragile economic recovery. In particular, home refinancing and growth in real wages have fueled ongoing consumer spending. Therefore, the consumer discretionary sector remained the Fund's largest overweight, and good stock selection in the retail, broadcasting and services areas of the sector added value relative to the benchmark. OUTLOOK | Historically, growth stocks have outperformed value stocks as the economy emerges from recession. Clearly, that has not been the case this time around. But the superior performance of small-cap value over growth has reached an extreme point, and relative valuations are at levels that may suggest a topping out of the value cycle. Much of the growth style's underperformance has been driven by the implosion of technology stocks, and we believe a recovery or stabilization in the technology sector probably is a prerequisite to the growth style's out-performance going forward. Key Fund Facts Objective | Long-term capital growth Strategy | Invests primarily in stocks with market capitalization falling within the capitalization range of the Russell Midcap Growth Index Fund Inception Date | 2/28/01 Expense Ratio | 0.90% Total Net Assets | $5.9 million [PHOTO] [PHOTO] Chris Ely Dave Smith [PHOTO] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
1 Year Since Inception -------------------------------------------------------------------------------- Loomis Sayles Mid Cap Growth Fund -20.87% -37.49% Lipper Mid-Cap Growth Funds Index(a) -18.57 -25.62 Russell Midcap Growth Index(a) -15.50 -27.01
CUMULATIVE PERFORMANCE Inception to September 30, 2002
02/28/2001 03/31/2001 04/30/2001 05/31/2001 06/30/2001 Fund Name Lipper Mid-Cap Growth Funds Index 10000 8939 10118 10201 10161 Loomis Sayles Mid Cap Growth Fund 10000 8840 10290 9840 9540 Russell Midcap Growth Index 10000 8569 9997 9950 9955 07/31/2001 08/31/2001 09/30/2001 10/31/2001 11/30/2001 Fund Name Lipper Mid-Cap Growth Funds Index 9627 8982 7686 8114 8781 Loomis Sayles Mid Cap Growth Fund 8580 7530 5990 6580 7280 Russell Midcap Growth Index 9284 8611 7188 7944 8799 12/31/2001 01/31/2002 02/28/2002 03/31/2002 04/30/2002 Fund Name Lipper Mid-Cap Growth Funds Index 9162 8812 8374 8901 8606 Loomis Sayles Mid Cap Growth Fund 7370 7110 6380 6910 6559 Russell Midcap Growth Index 9133 8836 8335 8971 8497 05/31/2002 06/30/2002 07/31/2002 08/31/2002 09/30/2002 Fund Name Lipper Mid-Cap Growth Funds Index 8318 7571 6755 6675 6260 Loomis Sayles Mid Cap Growth Fund 6140 5540 5000 4920 4740 Russell Midcap Growth Index 8244 7333 6621 6597 6074
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Please see page 63 for a description of the indexes. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 61 FUND AND MANAGER REVIEW Loomis Sayles Small Company Growth Fund PERFORMANCE | For the one-year period ended September 30, 2002, the Fund returned -28.50%, compared to the -18.16% return for the Fund's benchmark, the Russell 2000 Growth Index. The Lipper Small-Cap Growth Funds Average posted a total return of -17.07% for the same period. PORTFOLIO REVIEW | Our primary investment strategy focused on finding companies with strong fundamentals, rapid earnings growth, strong management, and a solid business model. We remained aggressive, with a significant position in technology stocks, increased exposure to consumer discretionary stocks and only a slight cash position. In general, the Fund owned stocks with earnings growth rates expected to be higher than the market as a whole. The consumer discretionary sector remained the most significant over-weight in the Fund. The consumer remains the strongest segment of the U.S. economy, and companies serving the consumer continued to post the best sales and earnings growth results. We reduced the Fund's technology exposure somewhat since we were unable to find many names with great near-term prospects. Although we reduced the Fund's technology weighting, we still maintained an over-weighting in the sector. Technology stocks were among the worst performers for the period, and our emphasis on technology was the key reason the Fund underperformed its benchmark during the year. We also under-weighted financial services stocks, given their relatively slow-growth characteristics. But these stocks were strong performers in the current interest rate environment, and our minimal exposure hurt performance relative to the benchmark. When evaluating relative performance, it's important to note that compared to the Fund's benchmark Index, the Fund has a relatively concentrated portfolio of approximately 70 stocks. Therefore, the performance of any individual holding will have a much greater impact on the Fund than the benchmark. In a difficult economic environment, the chance that any individual stock will have a negative impact is higher than in a more favorable climate. OUTLOOK | We believe that the equity market and growth stocks in particular remain attractive over the long term. However, the near-term outlook remains unclear, though, given investor sentiment and uncertainty over the strength of the economy and the war on terrorism. After one of the most severe bear markets since the Depression, stocks finally have begun to return to attractive valuations, particularly when looking at a 12-month forward perspective. Key Fund Facts Objective | Long-term capital growth Strategy | Invests primarily in stocks with market capitalization falling within the capitalization range of the Russell 2000 Index Fund Inception Date | 5/7/99 Expense Ratio | 0.90% Total Net Assets | $48.0 million [PHOTO] [PHOTO] Chris Ely Dave Smith [PHOTO] Phil Fine AVERAGE ANNUAL TOTAL RETURNS Periods Ended September 30, 2002
1 Year 3 Years Since Inception/(a)/ ----------------------------------------------------------------------------------------- Loomis Sayles Small Company Growth Fund -28.50% -20.54% -14.55% Lipper Small-Cap Growth Funds Index/(b)/ -15.82 -7.76 -3.72 Russell 2000 Growth Index/(b)/ -18.16 -15.22 -13.44 Russell 2000 Index/(b)/ -9.30 -4.11 -3.80
CUMULATIVE PERFORMANCE Inception to September 30, 2002 [CHART]
05/07/1999 05/31/1999 06/30/1999 07/31/1999 08/31/1999 Fund Name Lipper Small-Cap Growth Funds Index 10,000 10,055 10,996 10,957 10,803 Loomis Sayles Small Company Growth Fund 10,000 9,780 11,320 10,910 11,050 Russell 2000 Growth Index 10,000 10,016 10,543 10,217 9,835 Russell 2000 Index 10,000 10,146 10,605 10,314 9,932 09/30/1999 10/31/1999 11/30/1999 12/31/1999 01/31/2000 Fund Name Lipper Small-Cap Growth Funds Index 11,195 11,847 13,342 16,033 15,866 Loomis Sayles Small Company Growth Fund 11,670 13,170 14,460 17,770 17,940 Russell 2000 Growth Index 10,025 10,282 11,369 13,373 13,248 Russell 2000 Index 9,934 9,975 10,570 11,767 11,578 02/29/2000 03/31/2000 04/30/2000 05/31/2000 06/30/2000 Fund Name Lipper Small-Cap Growth Funds Index 20,514 18,904 16,567 15,213 17,892 Loomis Sayles Small Company Growth Fund 24,560 21,390 19,010 16,680 20,520 Russell 2000 Growth Index 16,331 14,614 13,139 11,988 13,537 Russell 2000 Index 13,490 12,600 11,842 11,152 12,124 07/31/2000 08/31/2000 09/30/2000 10/31/2000 11/30/2000 Fund Name Lipper Small-Cap Growth Funds Index 16,728 18,527 17,609 16,288 13,514 Loomis Sayles Small Company Growth Fund 17,430 20,470 19,780 17,830 13,340 Russell 2000 Growth Index 12,377 13,678 12,999 11,944 9,775 Russell 2000 Index 11,734 12,629 12,258 11,711 10,509 12/31/2000 01/31/2001 02/28/2001 03/31/2001 04/30/2001 Fund Name Lipper Small-Cap Growth Funds Index 14,710 15,158 13,217 11,933 13,222 Loomis Sayles Small Company Growth Fund 15,030 14,644 11,651 10,412 11,782 Russell 2000 Growth Index 10,373 11,213 9,676 8,796 9,873 Russell 2000 Index 11,411 12,005 11,218 10,669 11,504 05/31/2001 06/30/2001 07/31/2001 08/31/2001 09/30/2001 Fund Name Lipper Small-Cap Growth Funds Index 13,580 13,923 13,146 12,368 10,438 Loomis Sayles Small Company Growth Fund 11,448 11,458 10,828 10,017 8,190 Russell 2000 Growth Index 10,102 10,377 9,492 8,899 7,463 Russell 2000 Index 11,786 12,193 11,533 11,161 9,658 10/31/2001 11/30/2001 12/31/2001 01/31/2002 02/28/2002 Fund Name 12/01 Lipper Small-Cap Growth Funds Index 11,203 12,071 12,802 12,415 11,664 Loomis Sayles Small Company Growth Fund 9,002 9,651 10,169 9,641 8,677 Russell 2000 Growth Index 8,181 8,864 9,416 9,081 8,493 Russell 2000 Index 10,224 11,015 11,695 11,573 11,256 03/31/2002 04/30/2002 05/31/2002 06/30/2002 07/31/2002 Fund Name Lipper Small-Cap Growth Funds Index 12,618 12,285 11,793 10,916 9,369 Loomis Sayles Small Company Growth Fund 9,489 9,053 8,423 7,977 6,394 Russell 2000 Growth Index 9,231 9,032 8,504 7,782 6,586 Russell 2000 Index 12,161 12,272 11,727 11,145 9,462 08/31/2002 09/30/2002 Fund Name Lipper Small-Cap Growth Funds Index 9,354 8,788 Loomis Sayles Small Company Growth Fund 6,404 5,856 Russell 2000 Growth Index 6,583 6,108 Russell 2000 Index 9,439 8,761
Past performance is no guarantee of future performance. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month-end closest to the Fund's inception date (April 30, 1999). (b)Please see page 63 for a description of the indexes. DISCLOSURE Loomis Sayles Mid Cap Growth Fund, Loomis Sayles Small Company Growth Fund Small and mid-cap stocks may be more volatile and subject to wider value fluctuations than larger, more established companies. The secondary market of small and mid-cap stocks may be less liquid, or harder to sell, which could also adversely impact the Fund's value. Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the Fund. Index Definitions Lipper Mid-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the mid-cap growth funds investment objective. Lipper Small-Cap Growth Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the small-cap growth funds investment objective. Lipper Averages consist of all mutual funds in a stated category. Source: Lipper, Inc. Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000 Growth Index. Russell 2000 Growth Index is an unmanaged index comprised of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Russell 2000 Index is an unmanaged index comprised of the 2,000 smallest companies in the Russell 3000 Index (a broad market index), representing approximately 8% of the Russell 3000 total market capitalization. The indexes are unmanaged and index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Returns are adjusted for the reinvestment of capital gains distributions and income dividends. It is not possible to invest directly in an index. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 63 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Mid Cap Growth Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--96.2% of net assets Aerospace/Defense--4.1% Alliant Techsystems, Inc.* 1,350 $ 93,488 L-3 Communications Holdings, Inc.* 2,800 147,560 -------- 241,048 -------- Banks/Savings & Loans--1.4% New York Community Bancorp, Inc. 3,025 85,214 -------- Biotechnology--5.0% Charles River Laboratories International, Inc.* 2,700 105,975 Gilead Sciences, Inc.* 2,350 78,795 IDEC Pharmaceuticals Corp.* 1,600 66,432 MedImmune, Inc.* 2,250 47,070 -------- 298,272 -------- Broadcasting--5.0% Cox Radio, Inc., Class A* 2,700 70,632 Entercom Communications Corp.* 2,250 106,582 Westwood One, Inc.* 3,400 121,550 -------- 298,764 -------- Commercial Services & Supplies--9.3% Apollo Group, Inc., Class A* 4,016 129,114 Career Education Corp.* 2,600 124,821 ChoicePoint, Inc.* 2,433 86,712 Stericycle, Inc.* 3,250 110,240 Weight Watchers International, Inc.* 2,350 101,896 -------- 552,783 -------- Computer Software--8.2% Activision, Inc.* 3,450 82,559 Electronic Arts, Inc.* 2,100 138,516 Intuit, Inc.* 2,650 120,654 Mercury Interactive Corp.* 3,750 64,350 VERITAS Software Corp.* 5,600 82,152 -------- 488,231 -------- Computer--Consulting & Service--4.1% Acxiom Corp.* 3,550 50,339 Affiliated Computer Services, Inc., Class A* 2,300 97,865 Cognizant Technology Solutions Corp.* 1,600 91,952 -------- 240,156 -------- Diversified Financials--4.4% Investment Technology Group, Inc.* 2,850 83,391 Investors Financial Services Corp. 2,800 75,796 Moody's Corp. 2,050 99,425 -------- 258,612 -------- Electronic Components--Semiconductors--5.9% Cymer, Inc.* 2,700 50,328 KLA-Tencor Corp.* 1,550 43,307 Marvell Technology Group Ltd.* 5,200 82,420 Microchip Technology, Inc.* 5,200 106,340 QLogic Corp.* 2,600 67,704 -------- 350,099 -------- Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Energy Equipment & Services--3.8% ENSCO International, Inc. 3,000 $ 75,120 Nabors Industries Ltd.* 1,975 64,681 Weatherford International Ltd.* 2,350 87,279 -------- 227,080 -------- Food & Drug Retailing--1.5% Whole Foods Market, Inc.* 2,000 85,680 -------- Healthcare--Drugs--1.4% Barr Laboratories, Inc.* 1,350 84,092 -------- Healthcare--Equipment & Supplies--6.6% Patterson Dental Co.* 2,100 107,478 St. Jude Medical, Inc.* 1,725 61,582 Varian Medical Systems, Inc.* 2,800 120,372 Zimmer Holdings, Inc.* 2,650 101,601 -------- 391,033 -------- Healthcare--Providers & Services--9.8% Accredo Health, Inc.* 2,050 97,695 Amerisource Corp. 925 66,063 Anthem, Inc.* 1,350 87,750 First Health Group Corp.* 3,450 93,564 Mid Atlantic Medical Services, Inc.* 3,200 115,840 Quest Diagnostics, Inc.* 950 58,454 Triad Hospitals, Inc.* 1,625 61,669 -------- 581,035 -------- Hotels, Restaurant & Leisure--3.6% MGM Mirage* 2,900 108,170 Starbucks Corp.* 5,200 107,328 -------- 215,498 -------- Household Durables--6.4% KB HOME 2,000 97,680 Lennar Corp. 1,750 97,615 NVR, Inc.* 325 97,445 Toll Brothers, Inc.* 3,900 84,786 -------- 377,526 -------- Internet Software & Services--3.0% Hotels.com, Class A* 1,700 85,986 Overture Services, Inc.* 3,850 90,745 -------- 176,731 -------- Media & Entertainment--1.4% Getty Images, Inc.* 4,025 80,742 -------- Oil & Gas--1.3% XTO Energy, Inc. 3,800 78,318 -------- Retail--Specialty--8.7% AutoZone, Inc.* 1,650 130,119 Bed Bath & Beyond, Inc.* 2,650 86,310 Blockbuster, Inc., Class A* 4,300 106,640 CDW Computer Centers, Inc. 2,050 86,838 Michaels Stores, Inc.* 2,250 102,825 -------- 512,732 -------- LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 65 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Mid Cap Growth Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Trading Companies & Distributors--1.3% Fastenal Co. 2,500 $ 78,950 ----------- TOTAL COMMON STOCKS (Identified Cost $6,125,581) 5,702,596 ----------- Face Amount -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--5.5% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $327,008 on 10/01/02 collateralized by $310,000 U.S. Treasury Bond, 5.250% due 11/15/28 with a value of $337,076 $ 327,000 327,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $327,000) 327,000 ----------- TOTAL INVESTMENTS--101.7% (Identified Cost $6,452,581)@ 6,029,596 Liabilities, Less Cash and Other Assets--(1.7%) (100,227) ----------- NET ASSETS--100% $ 5,929,369 =========== + See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $6,501,758 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $264,234 and $736,396, respectively, resulting in net unrealized depreciation of $472,162. See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Company Growth Fund Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--98.1% of net assets Aerospace/Defense--1.0% DRS Technologies, Inc.* 13,075 $ 486,652 ---------- Banks/Savings & Loans--4.1% Boston Private Financial Holdings, Inc. 22,875 487,237 Dime Community Bancshares 32,100 687,582 East West Bancorp, Inc. 23,800 803,488 ---------- 1,978,307 ---------- Biotechnology--6.1% Charles River Laboratories International, Inc.* 39,000 1,530,750 Neurocrine Biosciences, Inc.* 15,300 627,300 Telik, Inc.* 20,750 256,885 Trimeris, Inc.* 11,125 496,731 ---------- 2,911,666 ---------- Broadcasting--4.0% Cumulus Media, Inc., Class A* 54,250 957,512 Emmis Communications Corp., Class A* 26,375 501,125 Spanish Broadcasting System, Inc., Class A* 68,850 450,968 ---------- 1,909,605 ---------- Commercial Services & Supplies--11.5% Career Education Corp.* 25,350 1,217,003 Corporate Executive Board Co.* 28,100 802,255 FTI Consulting, Inc.* 31,100 1,236,536 Kroll, Inc.* 38,650 766,430 Pegasus Solutions, Inc.* 42,100 444,155 Strayer Education, Inc. 17,450 1,038,100 ---------- 5,504,479 ---------- Communications Equipment--2.0% Foundry Networks, Inc.* 88,175 483,199 NetScreen Technologies, Inc.* 42,975 466,279 ---------- 949,478 ---------- Computer Software--9.8% Activision, Inc.* 35,650 853,104 Concord Communications, Inc.* 70,250 354,762 Embarcadero Technologies, Inc.* 61,350 257,057 EPIQ Systems, Inc.* 46,150 815,009 Magma Design Automation, Inc.* 61,500 548,580 Manhattan Associates, Inc.* 24,575 332,254 PracticeWorks, Inc.* 30,250 523,325 Precise Software Solutions Ltd.* 48,875 447,695 SERENA Software, Inc.* 49,450 593,400 ---------- 4,725,186 ---------- Computer--Consulting & Service--3.8% Caci International, Inc., Class A* 29,525 1,046,661 ManTech International Corp., Class A* 32,425 760,723 ---------- 1,807,384 ---------- Diversified Financials--1.6% Affiliated Managers Group, Inc.* 17,100 762,831 ---------- Electronic Components--Semiconductors--3.0% Asyst Technologies, Inc.* 40,450 244,318 Cymer, Inc.* 23,925 445,962 LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 67 PORTFOLIO OF INVESTMENTS--as of September 30, 2002 Loomis Sayles Small Company Growth Fund--continued Shares Value + -------------------------------------------------------------------------------- COMMON STOCKS--continued Electronic Components--Semiconductors--continued Rudolph Technologies, Inc.* 30,950 $ 318,476 SanDisk Corp.* 35,050 459,505 ---------- 1,468,261 ---------- Electronic Equipment & Instruments--2.1% FLIR Systems, Inc.* 12,050 419,943 OSI Systems, Inc.* 14,050 243,135 Photon Dynamics, Inc.* 18,825 350,710 ---------- 1,013,788 ---------- Energy Equipment & Services--1.6% Offshore Logistics, Inc.* 41,950 753,422 ---------- Food--0.9% Peet's Coffee & Tea, Inc.* 33,600 430,080 ---------- Healthcare--Drugs--1.9% Angiotech Pharmaceuticals, Inc.* 14,225 563,025 NPS Pharmaceuticals, Inc.* 17,100 351,713 ---------- 914,738 ---------- Healthcare--Equipment & Supplies--0.8% Therasense, Inc.* 27,950 390,182 ---------- Healthcare--Providers & Services--10.3% Accredo Health, Inc.* 28,100 1,339,134 Advisory Board Co.* 26,800 793,280 Centene Corp.* 28,075 749,322 DIANON Systems, Inc.* 12,150 574,816 Odyssey Healthcare, Inc.* 24,600 736,770 United Surgical Partners International, Inc.* 33,950 750,295 ---------- 4,943,617 ---------- Hotels, Restaurant & Leisure--6.6% P.F. Chang's China Bistro, Inc.* 21,250 616,887 Panera Bread Co., Class A* 22,500 607,500 Penn National Gaming, Inc.* 66,100 1,247,968 Station Casinos, Inc.* 40,275 685,078 ---------- 3,157,433 ---------- Household Durables--3.5% Hovnanian Enterprises, Inc., Class A* 29,300 990,340 Meritage Corp.* 19,350 685,958 ---------- 1,676,298 ---------- Insurance--2.2% W.R. Berkley Corp. 31,150 1,059,100 ---------- Internet Software & Services--3.9% Fidelity National Information Solutions, Inc.* 22,425 342,878 SafeNet, Inc.* 19,875 322,770 Tier Technologies, Inc., Class B* 41,775 790,383 Websense, Inc.* 38,050 441,761 ---------- 1,897,792 ---------- Leisure Equipment & Products--1.4% Action Performance Companies, Inc.* 26,850 690,045 ----------
Shares Value + -------------------------------------------------------------------------------------- COMMON STOCKS--continued Media & Entertainment--1.5% Getty Images, Inc.* 36,500 $ 732,190 ----------- Oil & Gas--3.4% Evergreen Resources, Inc.* 18,550 760,179 Spinnaker Exploration Co.* 29,850 856,695 ----------- 1,616,874 ----------- Retail--Internet & Catalog--0.5% NetFlix, Inc.* 24,650 239,105 ----------- Retail--Multiline--1.7% Fred's, Inc. 28,350 846,474 ----------- Retail--Specialty--8.9% A.C. Moore Arts & Crafts, Inc.* 41,900 885,347 Chico's FAS, Inc.* 25,150 400,639 CSK Auto Corp.* 69,100 862,368 Gart Sports Co.* 32,500 613,275 Hot Topic, Inc.* 28,800 519,264 Tractor Supply Co.* 30,700 975,646 ----------- 4,256,539 ----------- TOTAL COMMON STOCKS (Identified Cost $52,787,126) 47,121,526 ----------- Face Amount -------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--4.0% of net assets Repurchase Agreement with State Street Corp., dated 9/30/02 at 0.850% to be repurchased at $1,922,045 on 10/01/02 collateralized by $1,340,000 U.S. Treasury Bond, 8.125% due 5/15/21 with a value of $1,961,006 $ 1,922,000 1,922,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,922,000) 1,922,000 ----------- TOTAL INVESTMENTS--102.1% (Identified Cost $54,709,126)@ 49,043,526 Liabilities, Less Cash and Other Assets--(2.1%) (1,029,145) ----------- NET ASSETS--100% $ 48,014,381 ============
+ See Note 1. * Non-income producing security @ At September 30, 2002, the net unrealized depreciation on investments based on cost of $55,241,926 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $3,294,724 and $9,493,124, respectively, resulting in net unrealized depreciation of $6,198,400. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 69 STATEMENTS OF ASSETS AND LIABILITIES September 30, 2002
Mid Cap Small Company Growth Fund Growth Fund ------------------------------------------------------------------------------------------------------------------------- Assets Investments at value $ 5,702,596 $ 47,121,526 Repurchase agreement at value 327,000 1,922,000 Cash 359 914 Receivable for: Securities sold 47,108 207,092 Dividends and interest 46 2,849 Due from the adviser 1,108 21,578 ----------------------------------------- 6,078,217 49,275,959 ----------------------------------------- Liabilities Payable for: Securities purchased 121,721 1,189,293 Accrued expenses: Management fees 3,729 31,231 Trustees' fees 500 500 Administrative fees 164 1,648 Other 22,734 38,906 ----------------------------------------- 148,848 1,261,578 ----------------------------------------- Net Assets $ 5,929,369 $ 48,014,381 ========================================= Net Assets consist of: Capital paid in $ 12,396,580 $ 133,257,506 Accumulated net realized gain (loss) (6,044,226) (79,577,525) Unrealized appreciation (depreciation) on: Investments (422,985) (5,665,600) ----------------------------------------- Net Assets $ 5,929,369 $ 48,014,381 ========================================= Shares of beneficial interest outstanding, no par value 1,250,024 8,321,677 Net asset value and redemption price $ 4.74 $ 5.77 Identified cost of investments $ 6,452,581 $ 54,709,126
See accompanying notes to financial statements. STATEMENTS OF OPERATIONS For the Year Ended September 30, 2002
Mid Cap Small Company Growth Fund Growth Fund ------------------------------------------------------------------------------------------------------------------------ Investment Income Dividends $ 5,167 $ 33,477 Interest 2,036 23,870 ---------------------------------------- Total income 7,203 57,347 ---------------------------------------- Expenses Management fees 58,954 573,170 Trustees' fees and expenses 1,919 1,919 Administrative fees 4,043 33,042 Custodian and accounting fees 35,411 84,812 Transfer Agent fees 7,448 27,375 Audit and tax services fees 19,212 45,524 Registration fees 15,010 19,787 Printing fees 2,382 23,430 Legal fees 0 5,513 Other expenses 3,463 5,868 ---------------------------------------- Total expenses 147,842 820,440 Less expenses waived and reimbursed by the investment adviser (77,098) (132,636) ---------------------------------------- Net expenses 70,744 687,804 ---------------------------------------- Net investment income (loss) (63,541) (630,457) ---------------------------------------- Net Realized Gain (Loss) on: Investments (2,678,370) (26,904,555) ---------------------------------------- Change in Unrealized Appreciation (Depreciation) on: Investments 1,188,599 6,766,474 ---------------------------------------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) (1,489,771) (20,138,081) ---------------------------------------- Net Increase (Decrease) in Net Assets from Operations $ (1,553,312) $(20,768,538) ========================================
See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 71 STATEMENTS OF CHANGES IN NET ASSETS Mid Cap Growth Fund
Year Ended Period Ended September 30, 2002 September 30, 2001* ------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income (loss) $ (63,541) $ (40,039) Net realized gain (loss) (2,678,370) (3,365,856) Change in unrealized appreciation (depreciation) 1,188,599 (1,611,584) -------------------------------------- Increase (decrease) in net assets from operations (1,553,312) (5,017,479) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions 150 12,500,010 -------------------------------------- Total increase (decrease) in net assets (1,553,162) 7,482,531 Net Assets Beginning of the period 7,482,531 0 -------------------------------------- End of the period $ 5,929,369 $ 7,482,531 ======================================
* From commencement of Fund operations on February 28, 2001 through September 30, 2001. Small Company Growth Fund
Year Ended Period Ended September 30, 2002 September 30, 2001 ----------------------------------------------------------------------------------------------------------------------- From Operations Net investment income (loss) $ (630,457) $ (575,273) Net realized gain (loss) (26,904,555) (52,180,244) Change in unrealized appreciation (depreciation) 6,766,474 (34,605,364) -------------------------------------- Increase (decrease) in net assets from operations (20,768,538) (87,360,881) -------------------------------------- From Distributions to Shareholders Net realized gain on investments 0 (1,329,642) -------------------------------------- From Capital Share Transactions (Note 5) Increase (decrease) in net assets from capital share transactions (927,166) 24,616,287 -------------------------------------- Total increase (decrease) in net assets (21,695,704) (64,074,236) Net Assets Beginning of the period 69,710,085 133,784,321 -------------------------------------- End of the period $ 48,014,381 $ 69,710,085 ======================================
See accompanying notes to financial statements. FINANCIAL HIGHLIGHTS Loomis Sayles Mid Cap Growth Fund
Year Ended Period Ended September 30, September 30, 2002 2001* --------------------------------------------------------------------------------------- Net asset value, beginning of period $ 5.99 $10.00 --------------------------------- Income from Investment Operations Net investment income (loss) (0.05)(d) (0.03)(d) Net realized and unrealized gain (loss) on investments (1.20) (3.98) --------------------------------- Total from investment operations (1.25) (4.01) --------------------------------- Net asset value, end of period $ 4.74 $ 5.99 ================================= Total return/(a)/ (20.9)% (40.1)% Net assets, end of period (000) $5,929 $7,483 Ratios to average net assets: Net expenses/(b)//(c)/ 0.90% 0.90% Gross expenses/(c)/ 1.88 1.93 Net investment income (loss)/(c)/ (0.81) (0.62) Portfolio turnover rate 216 145
Loomis Sayles Small Company Growth Fund
Period Ended Year Ended September 30, September 30, -------------------------------- ------------- 2002 2001 2000 1999** ------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 8.07 $ 19.78 $ 11.67 $ 10.00 ------------------------------------------------------- Income from Investment Operations Net investment income (loss) (0.07)(d) (0.07)(d) (0.06) (0.01) Net realized and unrealized gain (loss) on investments (2.23) (11.45) 8.17 1.68 ------------------------------------------------------- Total from investment operations (2.30) (11.52) 8.11 1.67 ------------------------------------------------------- Less Distributions Distributions from net realized capital gains 0.00 (0.19) 0.00 0.00 ------------------------------------------------------- Net asset value, end of period $ 5.77 $ 8.07 $ 19.78 $ 11.67 ======================================================= Total return/(a)/ (28.5)% (58.6)% 69.5% 16.7% Net assets, end of period (000) $48,014 $69,710 $133,784 $ 17,674 Ratios to average net assets: Net expenses/(b)//(c)/ 0.90% 0.90% 0.90% 0.90% Gross expenses/(c)/ 1.07 1.02 0.99 2.17 Net investment income (loss)/(c)/ (0.82) (0.61) (0.51) (0.51) Portfolio turnover rate 157 150 174 56
* From commencement of Fund operations on February 28, 2001 through September 30, 2001. ** From commencement of Fund operations on May 7, 1999 through September 30, 1999. (a) Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b) The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c) Annualized for periods less than one year. (d) Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST EQUITY FUNDS 73 NOTES TO FINANCIAL STATEMENTS September 30, 2002 1. Loomis Sayles Funds (the "LSF Trust") and Loomis Sayles Investment Trust (the "LSIT Trust") (collectively, the "Trusts") consist predominately of no load mutual funds. The Trusts are authorized to issue an unlimited number of full and fractional shares of beneficial interest in multiple series. Each Trust is a diversified, open-end management company registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act") and the interests in each Trust are registered under the Securities Act of 1933 (the "1933 Act"). Shares in the LSIT Trust were first registered under the 1933 Act effective March 7, 1997 (subsequent to its commencement of investment operations.). The LSF Trust and the LSIT Trust were organized as Massachusetts business trusts on February 20, 1991 and December 23, 1993, respectively. Information presented in these financial statements pertains only to the Equity Funds set forth below (except for the Loomis Sayles Emerging Markets Fund and the Loomis Sayles Provident Fund) (each a "Fund," and collectively, the "Funds"). The financial statements for each of the Fixed Income Funds (except for the Loomis Sayles Managed Bond Fund), the Loomis Sayles Emerging Markets Fund, the Loomis Sayles Managed Bond Fund and the Loomis Sayles Provident Fund are presented in separate reports. Each Fund is separately managed and has its own investment objective and policies. Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the investment advisor of each Fund. The Loomis Sayles Funds consists of the following Funds:
Fixed Income Funds Equity Funds ------------------ ------------ Loomis Sayles Bond Fund Loomis Sayles Aggressive Growth Fund Loomis Sayles Global Bond Fund Loomis Sayles Emerging Markets Fund Loomis Sayles Investment Grade Bond Fund Loomis Sayles Growth Fund Loomis Sayles Managed Bond Fund Loomis Sayles International Equity Fund Loomis Sayles U.S. Government Securities Fund Loomis Sayles Research Fund Loomis Sayles Small Cap Growth Fund Loomis Sayles Small Cap Value Fund Loomis Sayles Value Fund Loomis Sayles Worldwide Fund
The LSF Trust Equity Funds (excluding the Loomis Sayles Value and Worldwide Funds)offer Institutional and Retail Class shares. The Loomis Sayles Value and Worldwide Funds only offer Institutional Class shares. The Loomis Sayles Aggressive Growth, Growth, International Equity, Small Cap Growth, and Small Cap Value Funds also offer Admin Class shares. The Loomis Sayles Investment Trust consists of the following Funds:
Fixed Income Funds Equity Funds ------------------ ------------ Loomis Sayles Benchmark Core Bond Fund Loomis Sayles Mid Cap Growth Fund (formerly Loomis Sayles Core Fixed Income Fund) Loomis Sayles Provident Fund Loomis Sayles Core Plus Fixed Income Fund Loomis Sayles Small Company Growth Fund Loomis Sayles Fixed Income Fund Loomis Sayles Institutional High Income Fund (formerly Loomis Sayles High Yield Fixed Income Fund) Loomis Sayles Intermediate Duration Fixed Income Fund Loomis Sayles Investment Grade Fixed Income Fund
LSIT Trust Equity Funds only offer Institutional Class shares. Shares of each Class have an equal proportionate interest in the assets of the relevant fund and generally have the same voting privileges. Institutional, Retail and Admin Classes differ with respect to distribution and certain other class-specific expenses and expense reductions. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds: A. Security Valuation | Debt securities for which market quotations are readily available are generally valued at market value, as reported by pricing services recommended by the pricing committee and approved by the Board of Trustees. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, at the closing bid price. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term securities with a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value. Securities for which market quotations are not readily available (including restricted securities, if any) are fair valued in good faith using consistently applied procedures under the general supervision of the Board of Trustees. If events occurring after the close of the principal market in which securities are traded (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are valued at their fair value taking such events into account. B. Repurchase Agreements | The Funds may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the Funds take possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Funds to resell, the obligation at an agreed-upon price and time. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Funds' holding period. The Funds, through their custodian, receive delivery of the underlying securities collateralizing repurchase agreements. It is the Funds' policy that the market value of the collateral held be at least equal to 102% of the repurchase price including accrued interest. These securities are marked-to-market daily. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters into insolvency proceedings, the Funds may be delayed or prevented from recovering the collateral. C. Foreign Currency Translation and Foreign Investments | The books and records of each of the Funds (including those Funds that invest in foreign investments) are maintained in U.S. dollars. The value of investments, currencies and other assets and liabilities denominated in foreign currencies is translated into U.S. dollar amounts based upon foreign exchange rates prevailing at the end of each day. Purchases and sales of investments, income and expenses are translated at prevailing exchange rates on the respective dates of such transactions. The results of operations resulting from fluctuations in foreign exchange rates on investments are not isolated from fluctuations arising from changes in market prices of investments held. All such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net gains and losses from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investments in securities at year-end, resulting from changes in exchange rates. Certain funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms. Each Fund may purchase investments of foreign issuers. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of appropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government. D. Forward Foreign Currency Exchange Contracts | Each Fund that may invest in foreign investments may enter into forward foreign currency exchange contracts to protect its investments against future changes in foreign exchange rates. A forward foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contracts will fluctuate with changes in currency exchange rates. The contracts are marked-to-market daily using the forward currency exchange rates and the changes in market value are recorded as unrealized appreciation (depreciation) on foreign currency translations in the Funds' Statements of Assets and Liabilities. Realized gain or loss is recognized when a contract is closed equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and recorded as realized gain (loss) on foreign currency transactions in the Funds' Statements of Operations. Forward foreign currency exchange contracts expose the Funds to the risk that the counterparties will be unable or unwilling to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. At September 30, 2002, there were no open forward foreign currency exchange contracts. E. Security Transactions, Related Investment Income and Expenses | Security transactions are accounted for on the trade date (the date the buy or sell is executed). Dividend income is recorded on the ex-dividend date or, in the case of dividend income on foreign securities, on the ex-dividend date or when the Fund becomes aware of its declaration, net of foreign withholding taxes where applicable. Interest income is recorded on the accrual basis and increased by the accretion of discount and decreased by the amortization of premium. In determining net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Many expenses of the Trusts can be directly attributed to a particular Fund. Expenses which cannot be directly attributed to a particular Fund are either apportioned among the Funds based upon relative net assets or allocated among the Funds evenly. Investment income, realized and unrealized gains and losses, and the common expenses of each Fund are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. NOTES 75 NOTES TO FINANCIAL STATEMENTS--continued September 30, 2002 F. Federal Income Taxes | Each Fund is a separate entity for Federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders all of its net investment income and any net realized capital gains. Accordingly, no provision for federal income tax or excise tax has been made. G. Dividends and Distributions to Shareholders | Each Fund pays its net investment income and realized capital gains to shareholders annually. Income and capital gains distributions, if any, are determined in accordance with Federal income tax regulations which may differ from accounting principles generally accepted in the United States. These differences, which may result in reclassifications to a Fund's capital accounts to reflect income and gains available for distribution, are primarily due to differing book and tax treatments for litigation proceeds, forward foreign currency transactions, deferred losses due to wash sales, excise tax regulations, distributions from real estate investment trusts, and net operating losses. Some of these classifications may include temporary book and tax basis differences that will reverse in subsequent periods. Dividends from net investment income are determined on a class level. Distributions to shareholders are recorded on the ex-dividend date. In addition, the Loomis Sayles Small Cap Value Fund will treat a portion of the proceeds from shares redeemed during the fiscal year ended September 30, 2002 as a distribution from net investment income and realized gains for income tax purposes. 2. Portfolio Security Transactions | The cost of purchases and proceeds from sales and maturities of securities other than short-term investments for each Fund for the year ended September 30, 2002 were as follows: Loomis Sayles Funds Purchases Sales --------- ----- Aggressive Growth Fund $ 131,566,655 $ 138,572,294 Growth Fund 42,773,988 42,833,866 International Equity Fund 72,419,571 73,258,594 Research Fund 37,313,651 21,890,913 Small Cap Growth Fund 245,863,048 317,508,503 Small Cap Value Fund 367,239,578* 318,821,920 Value Fund 27,191,466 25,770,667 Worldwide Fund 9,283,759 8,934,389 Loomis Sayles Investment Trust Purchases Sales --------- ----- Mid Cap Growth Fund $ 16,319,860 $ 16,311,777 Small Company Growth Fund 114,832,028 119,116,475 Purchases and sales of long-term U.S. Government securities occurred in the Worldwide Fund and totaled $97,743 and $28,796, respectively. * Purchases of securities for the Loomis Sayles Small Cap Value Fund included $26,879,707 subscriptions-in-kind received from the liquidation of the Loomis Sayles Small Company Value Fund. 3. Management Fees and Other Transactions with Affiliates | During the year ended September 30, 2002, the Funds incurred management fees payable to Loomis Sayles. Separate management agreements for each Fund in effect during the year ended September 30, 2002 provided for fees at the following annual percentage rate of each Fund's average daily net assets indicated below. Loomis Sayles has contractually agreed, until February 1, 2003, to reduce its advisory fees and/or bear other expenses, to the extent necessary to limit the total operating expenses of each Fund, to the following percentage rate of each Fund's average daily net assets:
Maximum Expense Ratios -------------------------------------- Management Institutional Retail Admin Loomis Sayles Funds Fees Class Class Class ---- ----- ----- ----- Aggressive Growth Fund 0.75% 1.00% 1.25% 1.50% Growth Fund 0.50% 0.85% 1.10% 1.35% International Equity Fund 0.75% 1.00% 1.25% 1.50% Research Fund (1) 0.50% 0.85% 1.10% -- Small Cap Growth Fund 0.75% 1.00% 1.25% 1.50% Small Cap Value Fund (2) 0.75% 0.90% 1.15% 1.40% Value Fund 0.50% 0.85% -- -- Worldwide Fund 0.75% 1.00% -- --
(1) Effective November 30, 2001, the management fee and expense limitation for the Institutional Class has changed from 0.75% and 1.15% to 0.50% and 0.85%, respectively. (2) Effective March 1, 2002 the expense limitation for the Institutional, Retail and Admin Classes has changed from 1.00%, 1.25% and 1.50% to 0.90%, 1.15% and 1.40%, respectively. Management Maximum Loomis Sayles Investment Trust Fees Expense Ratios ---- -------------- Mid Cap Growth Fund 0.75% 0.90% Small Company Growth Fund 0.75% 0.90% Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trusts. Loomis Sayles' general partner is indirectly owned by CDC IXIS Asset Management North America, L.P., whose general partner is indirectly owned by CDC IXIS Asset Management SA ("CDC IXIS"). CDC IXIS is part of the Caisse des Depots et Consignations Group. Retail and Admin Class shares are subject to distribution fees payable to Loomis Sayles Distributors, L.P. (the "Distributor"), a subsidiary of Loomis Sayles at an annual rate of 0.25% of the relevant class' average net assets, pursuant to distribution plans adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940 ("Rule 12b-1"). Admin Class shares may pay a shareholder service fee at an annual rate of up to 0.25% of the average daily net assets attributable to Admin Class shares to securities dealers or financial intermediaries for providing personal service and account maintenance for their customers who hold such shares. Retail and Admin Class shares have exclusive voting rights with respect to their distribution plans. The Institutional and Retail Class shares of the Loomis Sayles Funds may pay sub-transfer agency fees to brokers and other shareholder representatives with respect to such shares held in omnibus accounts by brokers or representatives for the benefit of their customers. These fees will not exceed the amounts that the Funds would expect to pay to the Transfer Agent if such a transfer agent were to hold their customers' Fund shares directly. As of September 30, 2002, the following amounts were incurred under this arrangement: Loomis Sayles Funds Share Class Amounts Paid ----------- ------------ Small Cap Growth Fund Institutional Class $ 11,243 Small Cap Value Fund Institutional Class 21,669 Loomis Sayles charges the Funds an administrative fee related to Loomis Sayles' performance of certain accounting and administrative services. As of September 30, 2002, the following amounts were incurred by the Funds: Loomis Sayles Funds Amount ------ Aggressive Growth Fund $ 28,149 Growth Fund 10,070 International Equity Fund 24,425 Research Fund 6,720 Small Cap Growth Fund 71,841 Small Cap Value Fund 165,374 Value Fund 17,365 Worldwide Fund 3,633 Loomis Sayles Investment Trust Amount ------ Mid Cap Growth Fund $ 4,043 Small Company Growth Fund 33,042 The LSIT has entered into a distribution agreement with Loomis Sayles Distributors, L.P. Pursuant to this agreement, Loomis Sayles Distributors, L.P. serves as principal underwriter of the various funds of the LSIT Trust and receives no fee under this agreement. A. Trustees Fees and Expenses | The Trusts do not pay any compensation directly to their officers or trustees who are directors, officers or employees of Loomis Sayles, CDC IXIS Asset Management North America, L.P. or their affiliates. Each independent trustee of the LSF Trust is compensated by the LSF Trust on behalf of each Fund at the rate of $1,250 per Fund per year and is reimbursed for travel expenses in connection with attendance at meetings. Each independent trustee of the LSIT Trust is compensated by the LSIT Trust at the rate of $10,000 per year and is reimbursed for travel expenses in connection with attendance at meetings. Effective November 6, 2002 independent trustee compensation was increased to a $20,000 annual retainer fee and a $5,000 fee per in person meeting. B. Shareholders | At September 30, 2002, CDC IXIS Asset Management North America, L.P. owned 201,228 shares, equating to 7% of shares held of the Loomis Sayles Research Fund. In addition, at September 30, 2002, Loomis, Sayles & Company, L.P. Funded Pension Plan and Trust ("Pension Plan"), the Loomis, Sayles & Company, L.P. Employees' Profit Sharing Retirement Plan and Loomis Sayles Employees' Money Purchase Plan ("Defined Contribution Plans") held shares of beneficial interest in the Funds as follows: Defined Loomis Sayles Funds Pension Plan Contribution Plans ------------ ------------------ Aggressive Growth Fund 187,842 469,908 Growth Fund 452,097 1,952,001 International Equity Fund 753,024 447,394 Research Fund 1,926,432 351,502 Small Cap Growth Fund 234,766 438,356 Small Cap Value Fund 507,184 817,547 Value Fund 419,923 614,661 Worldwide Fund 826,947 189,943 NOTES 77 NOTES TO FINANCIAL STATEMENTS--continued September 30, 2002 4. Line of Credit | The Loomis Sayles Funds have entered into an agreement which enables each Fund to borrow up to a $25 million unsecured line of credit with State Street Bank and Trust Company. Borrowings will be made solely to temporarily finance the repurchase of capital shares. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the Federal funds rate plus 0.50%. In addition, a commitment fee of 0.08% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating Funds based on their average daily unused portion of the line of credit. During the year ended September 30, 2002, the participating Funds had no borrowings under the agreement. 5. Capital Share Transactions | The tables below summarize the transactions in Fund shares for the periods indicated: Loomis Sayles Funds -------------------
Loomis Sayles Aggressive Growth Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 528,873 $ 7,971,562 503,193 $ 15,133,873 Issued in connection with the reinvestment of distributions 0 0 19,999 653,953 Redeemed (480,585) (7,035,410) (624,749) (17,425,276) ----------------------------------------------------------------- Net change 48,288 $ 936,152 (101,557) $ (1,637,450) ================================================================= Retail Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 1,502,072 $21,291,204 3,084,098 $ 88,904,887 Issued in connection with the reinvestment of distributions 0 0 47,308 1,532,767 Redeemed (2,046,527) (28,777,079) (2,380,773) (57,952,729) ----------------------------------------------------------------- Net change (544,455) $(7,485,875) 750,633 $ 32,484,925 ================================================================= Admin Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 171,038 $ 2,544,174 199,331 $ 4,028,681 Issued in connection with the reinvestment of distributions 0 0 17 560 Redeemed (106,982) (1,532,841) (19,570) (384,251) ----------------------------------------------------------------- Net change 64,056 $ 1,011,333 179,778 $ 3,644,990 =================================================================
Loomis Sayles Growth Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 1,092,062 $ 4,833,822 651,050 $ 6,494,438 Issued in connection with the reinvestment of distributions 0 0 2,179,515 10,238,087 Redeemed (979,446) (4,445,364) (733,732) (7,301,916) ----------------------------------------------------------------- Net change 112,616 $ 388,458 2,096,833 $ 9,430,609 ================================================================= Retail Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 16,803 $ 78,394 11,389 $ 129,212 Issued in connection with the reinvestment of distributions 0 0 55,005 251,023 Redeemed (17,443) (81,138) (10,144) (95,683) ----------------------------------------------------------------- Net change (640) $ (2,744) 56,250 $ 284,552 ================================================================= Admin Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 4,658 $ 21,605 46,571 $ 392,224 Issued in connection with the reinvestment of distributions 0 0 731 2,927 Redeemed (1,440) (6,703) (45,476) (391,573) ----------------------------------------------------------------- Net change 3,218 $ 14,902 1,826 $ 3,578 =================================================================
Loomis Sayles International Equity Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 5,367,767 $ 48,858,532 1,783,647 $ 24,075,338 Issued in connection with the reinvestment of distributions 16,890 166,534 840,092 9,211,872 Redeemed (5,347,487) (48,962,671) (3,186,426) (42,536,690) ------------------------------------------------------------ Net change 37,170 $ 62,395 (562,687) $ (9,249,480) ============================================================ Retail Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 1,172,999 $ 11,040,404 1,189,335 $ 15,346,150 Issued in connection with the reinvestment of distributions 467 4,568 68,198 712,905 Redeemed (1,293,625) (12,252,951) (1,286,338) (16,003,181) ------------------------------------------------------------ Net change (120,159) $ (1,207,979) (28,805) $ 55,874 ============================================================ Admin Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 135,351 $ 1,315,439 124,822 $ 1,767,944 Issued in connection with the reinvestment of distributions 0 0 13,396 124,478 Redeemed (119,643) (1,169,201) (26,846) (333,057) ------------------------------------------------------------ Net change 15,708 $ 146,238 111,372 $ 1,559,365 ============================================================
Loomis Sayles Research Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ------------------------------------------------------------ Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 2,556,524 $ 18,596,223 418,621 $ 3,371,934 Issued in connection with the reinvestment of distributions 2,571 19,617 1,853 16,773 Redeemed (394,931) (2,951,016) (133,993) (997,345) ------------------------------------------------------------ Net change 2,164,164 $ 15,664,824 286,481 $ 2,391,362 ============================================================ Retail Class Shares Shares* Amount* ------- ------- Issued from the sale of shares 3,021 $ 20,548 Issued in connection with the reinvestment of distributions 0 0 Redeemed (5) (40) ------------------------------ Net change 3,016 $ 20,508 ==============================
*From November 30, 2001 (commencement of class operations).
Loomis Sayles Small Cap Growth Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ------------------------------------------------------------ Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 3,459,066 $ 34,155,261 8,257,954 $129,009,973 Issued in connection with the reinvestment of distributions 0 0 607,824 8,867,281 Redeemed (10,873,243) (101,206,294) (4,490,271) (67,346,115) ------------------------------------------------------------ Net change (7,414,177) $ (67,051,033) 4,375,507 $ 70,531,139 ============================================================ Retail Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 3,922,968 $ 34,209,113 5,683,465 $ 95,293,818 Issued in connection with the reinvestment of distributions 0 0 262,109 3,619,447 Redeemed (4,543,620) (38,680,650) (2,787,519) (44,140,825) ------------------------------------------------------------ Net change (620,652) $ (4,471,537) 3,158,055 $ 54,772,440 ============================================================
NOTES 79 NOTES TO FINANCIAL STATEMENTS--continued September 30, 2002
Loomis Sayles Small Cap Growth Fund--continued Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Admin Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 210,388 $ 1,951,920 152,572 $ 2,226,158 Issued in connection with the reinvestment of distributions 0 0 3,623 31,778 Redeemed (182,328) (1,694,919) (11,522) (146,726) --------------------------------------------------------------- Net change 28,060 $ 257,001 144,673 $ 2,111,210 ===============================================================
Loomis Sayles Small Cap Value Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 3,116,097 $ 64,829,647 2,733,253 $ 57,274,299 Issued from a subscription-in-kind* 1,255,230 27,702,947 686,673 13,425,888 Issued in connection with the reinvestment of distributions 1,260,305 24,587,467 686,673 13,425,888 Redeemed (2,902,055) (59,739,299) (3,111,125) (65,038,822) ----------------------------------------------------------------- Net change 2,729,577 $ 57,380,762 308,801 $ 5,661,365 ================================================================= Retail Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 3,822,059 $ 78,710,499 2,687,149 $ 56,114,946 Issued in connection with the reinvestment of distributions 573,075 11,150,920 263,247 5,136,298 Redeemed (4,274,877) (82,423,287) (2,584,614) (53,473,174) ----------------------------------------------------------------- Net change 120,257 $ 7,438,132 365,782 $ 7,778,070 ================================================================= Admin Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 874,273 $ 17,948,150 556,390 $ 11,675,978 Issued in connection with the reinvestment of distributions 66,334 1,285,090 23,780 462,909 Redeemed (338,592) (6,891,447) (308,550) (6,455,496) ----------------------------------------------------------------- Net change 602,015 $ 12,341,793 271,620 $ 5,683,391 =================================================================
*Issued in exchange for portfolio securities distributed in-kind by the Loomis Sayles Small Company Value Fund to shareholders thereof and contributed to the Fund in-kind by such shareholders on April 11, 2002.
Loomis Sayles Value Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 424,683 $ 5,897,759 713,679 $11,027,548 Issued from the closing of the Retail Class shares 0 0 18,520 286,694 Issued in connection with the reinvestment of distributions 82,149 1,189,751 25,561 400,025 Redeemed (395,578) (5,534,564) (478,437) (7,399,204) --------------------------------------------------------------- Net change 111,254 $ 1,552,946 279,323 $ 4,315,063 =============================================================== Retail Class Shares Shares* Amount* ------ ------ Issued from the sale of shares 2,369 $ 36,500 Issued in connection with the reinvestment of distributions 158 2,465 Redeemed (1,349) (20,774) Redeemed from the closing of Retail Class shares (18,556) (286,694) ---------------------------- Net change (17,378) $ (268,503) ============================
* The Retail Class of the Value Fund liquidated on December 18, 2000.
Loomis Sayles Worldwide Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Institutional Class Shares Shares Amount Shares Amount ------ ------ ------ ------ Issued from the sale of shares 330,144 $ 2,533,173 45,880 $ 429,514 Issued from the closing of Retail Class shares 0 0 83,837 780,527 Issued in connection with the reinvestment of distributions 92,976 747,527 274,557 2,619,237 Redeemed (320,936) (2,471,803) (98,649) (924,695) ---------------------------------------------------------- Net change 102,184 $ 808,897 305,625 $2,904,583 ========================================================== Retail Class Shares Shares* Amount* ------- ------- Issued from the sale of shares 8,045 $ 91,281 Issued in connection with the reinvestment of distributions 24,389 231,591 Redeemed (11,679) (130,066) Redeemed from the closing of Retail Class shares (84,018) (780,527) ------------------------- Net change (63,263) $ (587,721) =========================
* The Retail Class of the Worldwide Fund liquidated on December 18, 2000. Loomis Sayles Investment Trust
Loomis Sayles Mid Cap Growth Fund Year Ended September 30, 2002 Period Ended September 30, 2001 ----------------------------- ------------------------------- Shares Amount Shares* Amount* ------ ------ ------- ------- Issued from the sale of shares 23 $150 1,250,001 $12,500,010 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed 0 0 0 0 -------------------------------------------------------------- Net change 23 $150 1,250,001 $12,500,010 ==============================================================
* Commenced operations on February 28, 2001.
Loomis Sayles Small Company Growth Fund Year Ended September 30, 2002 Year Ended September 30, 2001 ----------------------------- ----------------------------- Shares Amount Shares Amount ------ ------ ------- ------- Issued from the sale of shares 1,656,321 $ 15,505,325 3,933,654 $ 45,894,310 Issued in connection with the reinvestment of distributions 0 0 97,296 1,270,685 Redeemed (1,969,988) (16,432,491) (2,159,310) (22,548,708) -------------------------------------------------------------- Net change (313,667) $ (927,166) 1,871,640 $ 24,616,287 =============================================================
6. Change in Accounting Principle | As required, effective October 1, 2001, the Loomis Sayles Worldwide Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premiums on debt securities. Prior to October 1, 2001, the Fund did not amortize premiums on debt securities. The effect of this accounting change had no impact on the net assets of the Fund. The statement of changes in net assets and financial highlights for prior periods have not been restated to reflect this change in presentation. The cumulative effect of this accounting change to the Fund was a decrease to cost of investments and an increase to unrealized appreciation of $1,460 based on investments owned by the Fund on October 1, 2001. The effect of this accounting change for the year ended September 30, 2002 was to decrease net investment income by $2,478, decrease net unrealized depreciation by $3,909 and decrease net realized losses by $29. 7. Additional Tax Information | The tax character of distributions paid to shareholders during the year ended September 30, 2002 were as follows:
International Small Cap Loomis Sayles Funds Equity Fund Research Fund Value Fund Value Fund Worldwide Fund ------------- ------------- ---------- ---------- -------------- Distributions paid from: Ordinary income $240,597 $19,618 $15,104,700 $ 464,115 $747,534 Long-term capital gains 0 0 23,033,302 790,520 0 ------------------------------------------------------------------------------------- Total taxable distributions $240,597 $19,618 $38,138,002 $1,254,635 $747,534 =====================================================================================
81 NOTES NOTES TO FINANCIAL STATEMENTS--continued September 30, 2002 At September 30, 2002, the components of accumulated earnings (losses) on a tax basis were as follows:
Aggressive International Loomis Sayles Funds Growth Fund Growth Fund Equity Fund Research Fund ----------- ----------- ----------- -------------- Undistributed ordinary income $ 0 $ 0 $ 105,679 $ 47,067 Undistributed long-term capital gains 0 0 0 0 ------------------------------------------------------------------ Total undistributed earnings 0 0 105,679 47,067 Capital loss carryforward (98,688,913) (15,844,422) (26,534,041) (1,087,936) Deferred net capital losses (post October) (19,107,310) (1,738,828) (9,343,008) (1,605,169) Unrealized Appreciation (Depreciation) (3,706,992) (1,782,502) (5,432,700) (2,941,567) ------------------------------------------------------------------ Total accumulated earnings (losses) $(121,503,215) $(19,365,752) $(41,204,070) $(5,587,605) ------------------------------------------------------------------ Capital loss carryforward years of expiration 2009-2010 2009-2010 2009-2010 2009-2010
Small Cap Small Cap Growth Fund Value Fund Value Fund Worldwide Fund ------------ ----------- ---------- -------------- Undistributed ordinary income $ 0 $ 0 $ 271,990 $ 283,866 Undistributed long-term capital gains 0 0 0 0 ------------------------------------------------------------------ Total undistributed earnings 0 0 271,990 283,866 Capital loss carryforward (162,871,014) 0 (151,001) (1,441,763) Deferred net capital losses (post October) (55,419,247) 0 (2,608,356) (1,056,914) Unrealized Appreciation (Depreciation) (6,933,246) (18,644,542) (6,043,752) (712,984) ------------------------------------------------------------------ Total accumulated earnings (losses) $(225,223,507) $(18,644,542) $ (8,531,119) $(2,927,795) ------------------------------------------------------------------ Capital loss carryforward years of expiration 2009-2010 -- 2010 2009-2010
As of September 30, 2002, the components of accumulated earnings (losses) on a tax basis were as follows:
Mid Cap Small Company Loomis Sayles Investment Trust Growth Fund Growth Fund ----------- ------------ Undistributed ordinary income $ 0 $ 0 Undistributed long-term capital gains 0 0 ------------------------------------ Total undistributed earnings 0 0 Capital loss carryforward (3,883,738) (55,994,283) Deferred net capital losses (post October) (2,111,311) (23,050,442) Unrealized Appreciation (Depreciation) (472,162) (6,198,400) ------------------------------------ Total accumulated earnings (losses) $(6,467,211) $(85,243,125) ------------------------------------ Capital loss carryforward years of expiration 2010 2009-2010
REPORT OF INDEPENDENT ACCOUNTANTS To the Board of Trustees and Shareholders of Loomis Sayles Funds and Loomis Sayles Investment Trust: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Loomis Sayles Funds (consisting of the Loomis Sayles Aggressive Growth Fund, Growth Fund, International Equity Fund, Research Fund, Small Cap Growth Fund, Small Cap Value Fund, Value Fund and Worldwide Fund) and Loomis Sayles Investment Trust (consisting of Loomis Sayles Mid Cap Growth Fund and Small Company Growth Fund) (collectively, the "Funds") at September 30, 2002, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2002 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Boston, Massachusetts November 15, 2002 83 2002 US Tax and Distribution Information to Shareholders (Unaudited) Foreign Tax Credits | The International Equity Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended September 30, 2002, the total amount of foreign taxes that will be passed through to shareholders and the foreign source income for information reporting purposes will be $88,865 and $892,868, respectively. Corporate Dividends Received Deduction | For the fiscal year ended September 30, 2002, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows: Loomis Sayles Funds Qualifying Percentage --------------------- International Equity Fund 0.99% Research Fund 93.53% Small Cap Value Fund 23.17% Value Fund 100.00% Worldwide Fund 3.06% Capital Gains Distributions | Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2002: Loomis Sayles Funds Amount ------ Small Cap Value Fund $ 25,885,184 Value Fund 790,520 TRUSTEES (unaudited) As of September 30, 2002 LOOMIS SAYLES FUNDS
Portfolios in Fund Other Position(s) Years Complex Directorships Held with of Overseen Held by Name & Address Age Trust Service Principal Occupation(s) During Past 5 Years by Trustee Trustee ------------------------------------------------------------------------------------------------------------------------------------ President and Interested Trustee Daniel J. Fuss 68 President, 6* Vice Chairman, 14 None One Financial Center Trustee Director and Executive Vice President, Boston, MA 02111 Loomis, Sayles & Company, L.P. Disinterested Trustees Joseph Alaimo 72 Trustee 3 Chairman, 14 Wintrust 530 North Lexington Drive Wayne Hummer Trust Company Financial Lake Forest, IL 60045 Corporation Paul G. Chenault 69 Trustee 2 Retired 14 None 5852 Pebble Beach Way San Luis Obispo, CA 93401 Michael T. Murray 72 Trustee 11 Retired 14 None 404 N. Western Ave. Lake Forest, IL 60045
* Prior to serving as "President and Interested Trustee" beginning in 1996, Mr. Fuss served as "Vice President" from April 1991-December 1995. LOOMIS SAYLES INVESTMENT TRUST
Portfolios in Fund Other Position(s) Years Complex Directorships Held with of Overseen Held by Name & Address Age Trust Service Principal Occupation(s) During Past 5 Years by Trustee Trustee ------------------------------------------------------------------------------------------------------------------------------------ Disinterested Trustees Timothy Hunt 71 Trustee 7 Retired 9 None 26 Dennett Road Marblehead, MA 01945 Charles Finlayson 63 Trustee 3* Retired 9 None 66 Till Rock Lane Norwell, MA 02061
*Prior to serving as "Disinterested Trustee" beginning in 1999, Mr. Finlayson served as "President and Interested Trustee" from December 1993-December 1995. On October 15, 2002 a special meeting of the shareholders was held to elect Trustees for both Loomis Sayles Funds and Loomis Sayles Investment Trust (the "Trusts"). At this meeting, Robert J. Blanding, Joseph Alaimo, Edward A. Benjamin and Paul G. Chenault were elected to serve as Trustees of the Trusts. The results of the shareholder meeting for each Trust are as follows: LOOMIS SAYLES FUNDS Name of Trustee Nominee Shares Voted For Shares Abstained ------------------------------------------------------------------------------ Joseph Alaimo 118,446,574.469 2,131,162.121 Paul G. Chenault 118,446,574.469 2,086,208.483 Robert J. Blanding 118,403,448.993 2,129,333.959 Edward A. Benjamin 118,349,748.367 2,183,034.585 LOOMIS SAYLES INVESTMENT TRUST Name of Trustee Nominee Shares Voted For Shares Abstained ------------------------------------------------------------------------------ Joseph Alaimo 38,348,880.152 4,232,470.583 Paul G. Chenault 38,348,880.152 4,232,470.583 Robert J. Blanding 38,348,880.152 4,232,470.583 Edward A. Benjamin 38,348,880.152 4,232,470.583 85 TRUSTEES (unaudited)--continued As of September 30, 2002 As of October 15, 2002, the Board of Trustees for Loomis Sayles Funds ("LSF Trust") and Loomis Sayles Investment Trust ("LSIT Trust") consists of the following individuals:
Years Years Portfolios Position of of in Fund Other Held Service Service Principal Complex Directorships with with with Occupation(s) Overseen Held by Name & Address Age Trusts LSF Trust LSIT Trust During Past 5 Years by Trustee Trustee ------------------------------------------------------------------------------------------------------------------------------------ President and Interested Trustee Robert J. Blanding 55 President, Less than Less than President, Chairman 23 None 555 California St. Trustee one year one year and Chief Executive San Francisco, CA 94104 (Served as (Served as Officer, Executive Vice Executive Vice Loomis, Sayles & President for President for Company, L.P 6 Years and 5 Years and Vice President Vice President for 5 Years) for 3 Years) Disinterested Trustees Joseph Alaimo 72 Trustee 3 Years Less than one Chairman, Wayne 23 Wintrust 530 North Lexington Drive year Hummer Trust Financial Lake Forest, IL 60045 Company Corporation Edward A. Benjamin 64 Trustee Less than Less than one Retired; formerly, 23 Director, 71 Sierra Rosa Loop one year year Partner, Ropes & Precision Santa Fe, NM 87506 Gray (law firm) Corporation, Director, Coal Energy Investments & Management, LLC; Trustee, New England Zenith Fund Paul G. Chenault 69 Trustee 2 years Less than one Retired 23 Director, Mailco 5852 Pebble Beach Way year Office Products, Inc. San Luis Obispo, CA 93401
LOOMIS SAYLES FUNDS Supplement dated November 15, 2002 to the Loomis Sayles Equity Funds Prospectus dated February 1, 2002 as revised May 1, 2002 Effective immediately, the Loomis Sayles Emerging Market Fund (the "Fund") will no longer be available for purchase. The Fund currently intends to cease operations on or about January 15, 2003. Supplement dated September 30, 2002 to Loomis Sayles Funds Equity Prospectus dated February 1, 2002 as revised May 1, 2002 The Portfolio Manager section regarding the Fund is revised to read as follows: Effective immediately, Robert Ix, Vice President of Loomis Sayles, serves as portfolio manager of the domestic equity portion of the Loomis Sayles Worldwide Fund. Prior to joining Loomis Sayles in 1999, Mr. Ix served as a Portfolio Manager at The Bank of New York. Supplement dated November 4, 2002 to Loomis Sayles Equity Funds Prospectus dated February 1, 2002 as revised May 1, 2002 Effective immediately, the sixth full paragraph under the heading "Portfolio Managers" on page 38 of the Prospectus is revised to read as follows: Loomis Sayles Value Fund | Jeffrey W. Wardlow, Vice President of Loomis Sayles Funds and of Loomis Sayles, has served as portfolio manager of the Fund since its inception in 1991. Warren Koontz, Vice President of Loomis Sayles Funds and of Loomis Sayles, has served as portfolio manager of the Fund since 2000. James Carroll, Vice President of Loomis Sayles, has served as portfolio manager of the Fund since November 2002. 87 THIS PAGE INTENTIONALLY LEFT BLANK [LOGO] LS| LOOMIS SAYLES FUNDS LOOMIS SAYLES INVESTMENT TRUST One Financial Center Boston, MA 02111 www.loomissayles.com tel (800) 633-3330 (LOOMIS SAYLES FUNDS) tel (888) 226-9699 (LOOMIS SAYLES INVESTMENT TRUST)