Thornburg Developing World Fund SEPTEMBER 30, 2014 Investment Strategy Key Portfolio Attributes Capitalization Exposure The Fund invests at least 80% of its assets in equity securities and debt obligations of developing country issuers. A developing country issuer is a company or sovereign entity that is domiciled or otherwise tied economically to one or more developing countries. The Fund portfolio is diversified to include basic value stocks, companies with consistent earnings, and emerging franchises. Portfolio P/E Trailing 12 months* 20.6x Portfolio Price to Cash Flow* 14.7x Portfolio Price to Book Value* 3.9x Median Market Cap* Small 22.5% $4.8 B 3-Yr Beta (A shares vs. MSCI EM Index)* 0.83 Holdings Mid 28.9% 78 Fund Assets $3.1 B Cash 6.5% Large 48.7% * Source: FactSet Investment Objective Small Cap (< $2.5 B); Mid Cap ($2.5–10 B); Large Cap (> $10 B) The Fund seeks long-term capital appreciation. There is no guarantee that the Fund will meet its objectives. Lewis Kaufman, cfa 1 YR 3 YRS SINCE INCEPTION Without sales charge -0.69% 4.73% 14.21% 9.75% With sales charge -5.15% 0.00% 12.47% 8.71% Without sales charge -1.26% 3.98% 13.38% 9.01% With sales charge -2.25% 2.98% 13.38% 9.01% -0.41% 5.20% 14.80% 10.35% 2.43% 4.30% 7.19% 3.21% C Shares (Incep: 12/16/09) Portfolio Baskets Basic Value 31.1% Consistent Earners 26.9% Cash YTD A Shares (Incep: 12/16/09) Portfolio Manager Emerging Franchises Average Annual Total Returns (as of 9/30/14) 35.5% 6.5% Basic Value: financially sound companies with well-established businesses Consistent Earners: c ompanies which normally exhibit steady earnings growth, cashflow characteristics and/or dividend growth Emerging Franchises: c ompanies in the process of establishing a leading position in a product, service or market I Shares (Incep: 12/16/09) MSCI Emerging Markets Index (Since 12/16/09) Returns for less than one year are not annualized. P erformance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 877-215-1330. The maximum sales charge for the Fund’s A shares is 4.50%. C shares include a 1% contingent deferred sales charge (CDSC) for the first year only. There is no up-front sales charge for class I shares. The total annual fund operating expenses are as follows: A shares, 1.59%; C shares, 2.40%; I shares, 1.22%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2015, for some of the share classes, resulting in net expense ratios of the following: C shares, 2.38%; I shares, 1.09%. For more detailed information on fund expenses and waivers/reimbursements please see the fund’s prospectus. Hypothetical Growth of $10,000 $20000 The Fund may invest in shares of companies through initial public offerings (IPOs). IPOs have the potential to produce substantial gains and there is no assurance that the Fund will have continued access to profitable IPOs. As Fund assets grow, the impact of IPO investments on performance may decline. $17500 $15000 A Shares MSCI EM Index $14,911 $11,632 $12500 $10000 $7500 $5000 $2500 $0 Dec-16-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Sep-14 The Hypothetical Growth of $10,000 graph reflects reinvestment of dividends and capital gains, if any, as well as all fees and expenses. Symbols and Cusips A Shares C Shares I Shares THDAX THDCX THDIX 885-216-408 885-216-507 885-216-606 Important Information Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risk. Investments in small capitalization companies may increase the risk of greater price fluctuations. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. Class I shares may not be available to all investors. Minimum investments for the I share class may be higher than those for other classes. The views expressed are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security. Portfolio attributes and holdings can and do vary. Charts may not add up to 100% due to rounding. Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing. Top Ten Equity Positions Top Ten Industries (as of 8/31/14) (as of 9/30/14) Siam Commercial Bank plc 2.8% Software & Services 15.5% Facebook, Inc. 2.8% Consumer Services 14.2% Qualicorp SA 2.7% Banks 13.8% Industrial and Commercial Bank of China Ltd. 2.6% Food & Staples Retailing 5.4% Visa, Inc. 2.6% Food, Bev. and Tobacco 5.1% Galaxy Entertainment Group Ltd. 2.5% Transportation 5.1% Kroton Educacional S.A. 2.4% Energy 4.6% Mediatek, Inc. 2.3% Consumer Durables 4.2% Airports of Thailand Public Company Ltd. 2.2% Retailing 3.9% Al Tayyar Travel Group 2.2% Diversified Financials 3.6% Top Ten Countries (as of 9/30/14) China 15.2% Thailand 5.4% United States 11.9% Mexico 5.2% Brazil 11.9% Philippines 5.0% India 8.2% Indonesia 4.1% Taiwan 6.0% Russia Emerging Markets Exposure Highlights from the Quarter ■■ During the third quarter of 2014, the Thornburg Developing World Fund returned negative 5.82% (for the A shares without sales charge) versus negative 3.50% for the MSCI Emerging Markets Index. For the 12-month period ended September 30, 2014, the fund returned positive 4.73% versus positive 4.30% for the index. ■■ While negative returns for the quarter suggest a difficult market environment, the MSCI Emerging Markets Index in fact rose 5.58% between June 30 and September 3, continuing its bounce from February 2014 lows. It proceeded to surrender these gains with an 8.51% decline in the final 27 days of the quarter, as renewed dollar strength returned investor attention to generally deteriorating emerging-market fundamentals and lingering imbalances. Over this same 27-day period, Brazil, Turkey, and South Africa declined 20.0%, 13.0%, and 10.7% in dollar terms, respectively. ■■ As we reflect on the 22.4% rise in emerging markets from the February lows to the September highs, it is hard to argue that emerging-markets (EM) fundamentals are markedly better today than they were then. While policy momentum (i.e., higher interest rates) from substantial but troubled EM constituents such as Brazil, Russia, and South Africa is encouraging in that it helps to address current imbalances, it must also be said that this momentum is very much anti-growth. ■■ While our upside participation in this particular updraft has been disappointing, it is worth noting that the Thornburg Developing World Fund outperformed substantially from the September highs on a relative basis as markets declined (negative 5.58%, versus negative 8.51% for the MSCI Emerging Markets Index). Moreover, while our one-year record reflects only modest outperformance in relative terms, it has come with substantially less volatility than index returns. We remain focused on delivering a portfolio that can create per-share value over a market cycle while mitigating volatility for shareholders. Glossary Betais a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. 4.0% 83.1% Indices do not take into account fees and expenses. Investors cannot make direct investments in an index. Please visit thornburg.com/funds for commentary on individual fund holdings. Thornburg Securities Corporation, Distributor 2300 North Ridgetop Road Santa Fe, New Mexico 87506 10/22/14 877.215.1330TH2146