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SECURITIES AND EXCHANGE COMMISSION
REGISTERED MANAGEMENT INVESTMENT COMPANIES
7337 E. Doubletree Ranch Rd., Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
(Name and address of agent for service)
Date of fiscal year end: | December 31 | |
Date of reporting period: | January 1, 2005 to December 31, 2005 |
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Funds |
Annual Report | |
December 31, 2005 | |
ING GET Fund | |
• Series L | |
• Series M | |
• Series N | |
• Series P | |
• Series Q | |
• Series R | |
• Series S | |
• Series T | |
• Series U | |
• Series V |
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
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Report of Independent Registered Public Accounting Firm | 22 | |||||||
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Trustee and Officer Information | 106 | |||||||
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EX-99.CODE ETH | ||||||||
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EX-99.906CERT |
PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available (1) without charge, upon request, by calling Shareholder Services toll-free at 1-800-992-0180; (2) on the ING Funds website at www.ingfunds.com and (3) on the Security and Exchange Commission’s (“SEC”) website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the ING Funds website at www.ingfunds.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Registrant files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Registrant’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Registrant’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330; and is available upon request from the Registrant by calling Shareholder Services toll-free at 1-800-992-0180.
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JAMES M. HENNESSY
Dear Shareholder,
As you may recall, in my last letter I described the enthusiasm that we were experiencing here at ING Funds as we worked to bring more of the world’s investment opportunities to you, the investor.
That enthusiasm, I am happy to report, is continuing to thrive. With the New Year, we have launched a series of new international mutual funds, each created to bring more of the world’s opportunities to you.
Meanwhile, we have also heard you loud and clear. Our research tells us that many investors report that they find investing an intimidating and overly-complex endeavor. That is why ING is committed to helping investors across the country cut through the confusion and clutter. “Your future. Made easier. SM” is more than words; they represent our promise to you.
Those two objectives — bringing you more of the world’s opportunities and doing it in a way that is easier for you — are behind the development of the new portfolios.
According to a recent finding, 58 percent of the world market capitalization now lies outside of the U.S.1 In other words, the majority of investment opportunities are now
Meanwhile, the ING VP Global Real Estate Portfolio was developed as an easy way to bring global — international and domestic — real estate opportunities to the variable portfolio investor. Real Estate Investment Trusts (REITs) are becoming more and more popular around the world, and this new portfolio seeks to capitalize on that popularity. But again, we’ve made it easy. With just one investment, investors bring the diversification of global real estate to their investment strategy.
One of our goals at ING Funds is to find tomorrow’s opportunities today, and we believe these two portfolios are just the latest examples of that plan in action.
On behalf of everyone at ING Funds, I thank you for your continued support and loyalty. We look forward to serving you in the future.
Sincerely,
International investing does pose special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic. Investments in issuers that are principally engaged in real estate, including REITs, may subject the Fund to risks similar to those associated with the direct ownership of real estate, including terrorist attacks, war or other acts that destroy real property (in addition to market risks). These companies are sensitive to factors such as changes in real estate values and property taxes, interest rates, cash flow of underlying real estate assets, supply and demand, and the management skill and creditworthiness of the issuer. REITs may also be affected by tax and regulatory requirements.
1 MSCI December, 2005
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In our semi-annual report, we referred to mixed markets in which the U.S. investor lost on both domestic and international stocks, with gains in the latter trumped by the rebounding U.S. dollar. In the second half, global equities registered solid gains, although foreign markets ended the 2005 year more convincingly. The Morgan Stanley Capital International (“MSCI”) World® Index(1) calculated in dollars, including net reinvested dividends rose 10.3% for the six months ended December 31, 2005, and 9.5% for the full year. As for currencies, the dollar extended its first half run for the six months ended December 31, 2005, rising 2.1% against the euro (12.6% for the full year), 6.2% against the yen (14.7% for the full year), and 3.8% against the pound (10.2% for the full year). Commentators explained the U.S. dollar’s unexpected strength by pointing to relatively high U.S. interest rates, the re-cycling of oil exporters’ burgeoning wealth into dollar securities, the tax-related “repatriation” into dollars of U.S. corporations’ foreign currency balances, and, regarding the yen’s particular weakness, non-Japanese investors pouring money into the stock market but hedging their currency risk. Each dynamic was losing steam by 2005 year-end.
For more than a year, the main issue for US fixed-income investors had been the unexpected flattening of the yield curve, i.e. the shrinking difference between short-term and long-term interest rates. From June 2004 through June 2005 the Federal Open Market Committee (“FOMC”) had raised the Federal Funds Rate by 25 basis points nine times, pulling other short-term rates up. However, the yield on the ten-year U.S. Treasury Note had actually fallen by 0.71% over the same thirteen months. This was put down to an apparently growing perception in the market that inflation was a problem solved, due to a vigilant Federal Reserve, cheap goods and labor abroad, consistent productivity growth at home and foreign investors’ hunger for U.S. investments. Occasionally in the second half, for example when Hurricane Katrina and Rita affected oil prices, having peaked near $70 per barrel at the end of August 2005, there looked to be filtering through to general prices, the trend seemed about to break. Nevertheless, in the end the forces of curve flattening prevailed. By December 31, 2005, the FOMC had raised rates four more times, oil prices and the inflation scare had subsided and foreigners were still buying record amounts of U.S. securities. For the six months ended December 31, 2005, the yield on the ten-year Treasury rose by 45 basis points to 4.39% (17 basis points for the full year), and on 13-week U.S. Treasury Bills by 93 basis points (180 basis points for the full year) to 3.98%. The returns on the broad Lehman Brothers Aggregate Bond Index(2) and the Lehman Brothers High Yield Bond Index(3) was -0.1% and 1.6% for the six months ended December 31, 2005, and 2.4% and 2.7% for the full year, respectively.
The U.S. equities market in the form of the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”)(4), added 5.8% including dividends in the latter half of 2005 and 4.9% for the full year, thanks to gains of 3.5% in July and November of 2005. Other months were flat to down and by 2005 year-end, the market, trading at a fairly undemanding price-to-earnings level of about 16 times earnings for the current fiscal year, was definitely struggling. Stock investors were initially encouraged by bullish economic reports and even more by second quarter company earnings figures which were, on average up more than 10% year over year. The optimistic mood lasted into early August of 2005, when the S&P 500 Index reached a four-year high, before drifting back as resurgent oil prices made records almost daily. In September and October of 2005 with Hurricanes Katrina and Rita seldom out of the news, two attempted rallies fizzled. High prices at the gas pump were already here. An expensive winter for heating fuel was certain. Sharply rising factory prices started to be found in local Federal Reserve and purchasing managers’ reports and, with consumer confidence slumping, the word “stagflation” was heard more than once. In spite of this, as November approached, an evidently swift recovery from the Hurricanes Katrina and Rita cheered investors and stock prices powered ahead through mid-December 2005, as oil prices fell back below $60 per barrel, inflation moderated, corporate profits remained buoyant and gross domestic product (“GDP”) growth, at 4.1% per annum, was the envy of the developed world. Yet the market gave back nearly 1.6% between Christmas and New Year, when new reports suggested that the end of the bubbling housing market might be at hand. Rising house prices had encouraged the consumer spending that was largely behind robust GDP growth; spending that is, by people who on average were saving little, if anything.
In international markets Japan was the shining star of the second half, soaring 33.3%, based on the MSCI Japan® Index(5) in dollars plus net dividends for the six months ended December 31, 2005, and 25.5% for the
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full year, as the market repeatedly broke five-year records amid new optimism. Investors, albeit mainly foreign ones, came to the belief that Japan is re-emerging as a balanced economy and less dependent on exports. Japanese corporations and banks have repaired their balance sheets at last. Rising wages are supporting domestic demand, in addition to an expected end to deflation, seems at hand. European ex UK markets leaped 11.8%, according to the MSCI Europe ex UK® Index(6) in dollars including net dividends for the six months ended December 31, 2005 (10.5% for the full year) and 14.7% in local currencies (27.7% for the full year) to the best levels in over four years, despite the first interest rate increase, to 2.5%, in over five years. Mounting evidence of a recovery in local demand, resilient profits and an upsurge of merger and acquisition activity boosted markets that are not particularly expensive. UK equities advanced 6.4% in the six months ended December 31, 2005 (7.4% for the full year) based on the MSCI UK® Index(7) in dollars including net dividends, concealing a more impressive 11.1% increase in pounds (20.1% for the full year), to the highest in four years. The period was dominated by the effect of five interest rate increases to restrain over-stretched consumers and soaring real estate prices. Yet, in the face of mostly miserable economic reports, and despite terrorist attacks in London over two days in July of 2005, investors, encouraged by merger and acquisition activity, supported an inexpensive market yielding over 3%.
(2) The Lehman Brothers Aggregate Bond Index is a widely recognized, unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities.
(3) The Lehman Brothers High Yield Bond Index is an unmanaged index that measures the performance of fixed-income securities generally representative of corporate bonds rated below investment-grade.
(4) The Standard & Poor’s 500 Composite Stock Price Index is an unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets.
(5) The MSCI Japan® Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan.
(6) The MSCI Europe ex UK® Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK.
(7) The MSCI UK® Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK.
All indices are unmanaged and investors cannot invest directly in an index.
Past performance does not guarantee future results. The performance quoted represents past performance. Investment return and principal value of an investment will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. The Funds’ performance is subject to change since the period’s end and may be lower or higher than the performance data shown. Please call (800) 992-0180 or log on to www.ingfunds.com to obtain performance data current to the most recent month end.
Market Perspective reflects the views of the Chief Investment Risk Officer only through the end of the period, and is subject to change based on market and other conditions.
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During the Guarantee Period, the ING GET Fund — Series L, M, N, P, Q, R, S, T, U and V (each a “Series”; collectively the “GET Series”) seek to achieve maximum total return and minimal exposure of each Series’ assets to a market value loss by participating, to the extent possible, in favorable equity market performance during the Guarantee Period. The Series are managed by the following Portfolio Management Team with ING Investment Management Co., the Sub-Adviser:
Asset Allocation: Mary Ann Fernandez, Senior Vice President, serves as strategist for the Series and is responsible for overseeing overall Series strategy and the allocation of Series Assets between the Equity and Fixed components.
Equity Component: Omar Aguilar,* Portfolio Manager and Douglas K. Coté, Portfolio Manager, co-manage the Equity Component.
Fixed Component: The Fixed Component is managed by James B. Kauffmann, Portfolio Manager.
Note: The Series are closed to new deposits.
Performance: Listed below are the total returns for each Series, the Standard & Poor’s 500 Composite Stock Price Index(1) (“S&P 500 Index”) and the Lehman Brothers 1-3 Year Government (“LBG 1-3”) Index(2) for the year ended December 31, 2005:
Series L | 2.43 | % | ||
Series M | 2.29 | % | ||
Series N | 2.10 | % | ||
Series P | 1.34 | % | ||
Series Q | 1.59 | % | ||
Series R | 1.66 | % | ||
Series S | 1.88 | % | ||
Series T | 1.58 | % | ||
Series U | 1.43 | % | ||
Series V | 0.88 | % | ||
S&P 500 Index | 4.91 | % | ||
LBG 1-3 Index | 1.73 | % |
(2) The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
An investor cannot invest directly in an index.
* | Effective December 2005, Omar Aguilar replaced Hugh Whelan as Portfolio Manager. |
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Portfolio Specifics: Series performance is driven by a combination of returns on the equity component, returns on the fixed-income component and the asset allocation between the two components. The asset allocation process seeks to participate in rising equity markets and protect principal on the downside. Stocks are more volatile than bonds, an important consideration in the asset allocation process. Other factors, such as the current level of interest rates, time remaining to the maturity date and the ratio of current assets to the underlying guarantee amount are also important. The Series’ allocation to equities and fixed-income is dependent on these factors and the path they take over the guarantee period. In general, when the time left to maturity is short, or the ratio of assets to the guarantee amount is low, asset allocation will tend to be conservative in order to protect principal from losses. All other factors being equal, the Series generally buys equities (and sells fixed-income securities) when the equity market rises and sells equities (and buys bonds) as the equity market declines. The use of fixed-income securities reduces the Series’ ability to participate as fully in upward moving equity markets.
The Series L-Q fixed-income component outperformed the Lehman Brothers 1-3 Year Government Index. Positive performance was attributed to the impact of duration, as these funds have shorter durations than the index, and shorter duration issues outperformed longer duration issues over the period. Get R’s duration is currently neutral to the Lehman Brothers 1-3 Government Index and its return was neutral to the Index.
The Series S-V fixed-income component underperformed the Lehman Brothers 1-3 Year Government Index.
The Series’ equity component performed approximately in line with the S&P 500 index. Positive security selection, especially in the health care, energy and consumer staples sectors added to performance. Stock selection in the telecommunication, information technology and materials sectors detracted from performance. Our overweight in Apple Computer was one of the largest positive contributors to performance, while our overweight in Dell was one of the largest detractors from performance. Individual security selection was helped by the effectiveness of factors historically successful at identifying outperforming stocks, especially free cash flow to price, price momentum and relative price-to-earnings. Changes in accruals, analyst estimate revisions and changes in capital expenditures to depreciation were not helpful in our stock selection process.
The GET Series of Funds are invested according to a model investment portfolio. Noteworthy features of the investment performance of the Funds are reported according to this model (gross of expenses) since that reflects the way in which the investment decisions are actually made. While we expect the statements to be accurate for each of the individual Funds within the Series, this may not always be the case due to cash flow differences from Fund to Fund.
Current Strategy and Outlook: As we move into 2006, momentum in the U.S. economy remains strong. Real gross domestic product (“GDP”) growth is likely to decelerate during the year, however, increases in net exports and capital spending may not fully offset a slowdown in residential investment. Falling gasoline prices have led to lower headline inflation rates, and are likely to take some pressure off core consumer price index (“CPI”) inflation. The risk that core inflation will rise as the expansion puts more pressure on resources, however, still exists. Given this scenario, we believe the Federal Open Market Committee (“FOMC”) will continue raising rates in early 2006. Whether it stops tightening will
Asset Allocation
Fixed | Common | Other Assets | |||||||||||
Income | Stock | and Liabilities | |||||||||||
GET L | 97.6 | % | 2.6 | % | (0.2 | )% | |||||||
GET M | 92.9 | % | 7.2 | % | (0.1 | )% | |||||||
GET N | 84.6 | % | 15.5 | % | (0.1 | )% | |||||||
GET P | 91.3 | % | 8.9 | % | (0.2 | )% | |||||||
GET Q | 81.9 | % | 18.2 | % | (0.1 | )% | |||||||
GET R | 71.7 | % | 28.4 | % | (0.1 | )% | |||||||
GET S | 64.9 | % | 35.2 | % | (0.1 | )% | |||||||
GET T | 67.7 | % | 32.4 | % | (0.1 | )% | |||||||
GET U | 63.9 | % | 36.3 | % | (0.2 | )% | |||||||
GET V | 84.4 | % | 15.7 | % | (0.1 | )% | |||||||
Portfolio holdings are subject to change daily. |
depend mainly on its assessment of inflation risk. A sustained expansion and benign wage and price inflation — the most likely scenario for 2006 in our view — should provide a good climate for equity market performance.
Our outlook for fixed-income securities is enthusiastic, as we expect bond yields will rise from current levels as the Federal Reserve continues to tighten the supply of credit. Allocation between equities and fixed-income is dependent on our quantitative asset allocation model, which uses the factors mentioned above, not on a qualitative evaluation of the bond versus the equity markets.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | March 15, 2001 | |||||||
ING GET Fund — Series L | 2.43 | % | 1.87 | % | ||||
S&P 500 Index(1) | 4.91 | % | 1.84 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 3.55 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series L against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0180 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from March 1, 2001.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | June 14, 2001 | |||||||
ING GET Fund — Series M | 2.29 | % | 2.01 | % | ||||
S&P 500 Index(1) | 4.91 | % | 1.58 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 3.37 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series M against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from June 1, 2001.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | September 18, 2001 | |||||||
ING GET Fund — Series N | 2.10 | % | 2.45 | % | ||||
S&P 500 Index(1) | 4.91 | % | 6.19 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 2.72 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series N against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from October 1, 2001.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | December 13, 2001 | |||||||
ING GET Fund — Series P | 1.34 | % | 2.03 | % | ||||
S&P 500 Index(1) | 4.91 | % | 4.06 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 2.65 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series P against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from December 1, 2001.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | March 15, 2002 | |||||||
ING GET Fund — Series Q | 1.59 | % | 2.83 | % | ||||
S&P 500 Index(1) | 4.91 | % | 5.02 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 2.61 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series Q against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from March 1, 2002.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | June 14, 2002 | |||||||
ING GET Fund — Series R | 1.66 | % | 3.55 | % | ||||
S&P 500 Index(1) | 4.91 | % | 6.36 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 2.54 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series R against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from June 1, 2002.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | September 12, 2002 | |||||||
ING GET Fund — Series S | 1.88 | % | 3.50 | % | ||||
S&P 500 Index(1) | 4.91 | % | 11.72 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 1.97 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series S against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from September 1, 2002.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | December 12, 2002 | |||||||
ING GET Fund — Series T | 1.58 | % | 3.62 | % | ||||
S&P 500 Index(1) | 4.91 | % | 11.76 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 1.88 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series T against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from December 1, 2002.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | March 13, 2003 | |||||||
ING GET Fund — Series U | 1.43 | % | 4.29 | % | ||||
S&P 500 Index(1) | 4.91 | % | 17.01 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 1.53 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series U against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from March 1, 2003.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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Average Annual Total Returns for the Periods Ended December 31, 2005 | ||||||||
Since Inception | ||||||||
of Guarantee Period | ||||||||
1 Year | June 13, 2003 | |||||||
ING GET Fund — Series V | 0.88 | % | 0.66 | % | ||||
S&P 500 Index(1) | 4.91 | % | 12.53 | %(2) | ||||
Lehman Brothers 1-3 Year Government Index(3) | 1.73 | % | 1.36 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING GET Fund — Series V against the S&P 500 Index and the Lehman Brothers 1-3 Year Government Index. The Indices are unmanaged and have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Series’ performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Fund distributions or the redemption of Fund shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Manager and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 922-0181 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the Portfolio managers, only through the end of the period as stated on the cover. The Portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)The S&P 500 Index is an unmanaged index that measures the performance of securities of approximately 500 of the largest companies in the U.S.
(2)Since inception performance for the index is shown from June 1, 2003.
(3)The Lehman Brothers 1-3 Year Government Index is an unmanaged index of securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years.
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What is the Investment Strategy during the Guarantee Period?
The ING GET Fund Series L through V, collectively the (“Fund”), separately the (“Series”) do not implement an “investment strategy” in any conventional sense. Rather, the Series’ asset allocation strategy seeks to optimize the exposure of the Series to the Equity Component while protecting Series assets. Assets allocated to the Equity Component may be reduced or eliminated in order to conserve assets at a level equal to or above the present value of the Guarantee. The Series allocate their assets among the following asset classes:
During the Guarantee Period, the Series’ assets will be allocated between the:
• | Equity Component, consisting of common stocks included in the S&P 500 Index, futures contracts on the S&P 500 Index, and when the Equity Component’s market value is $5 million or less, investments in exchange traded funds (“ETFs”) that can reasonably be expected to have at least a 95% correlation ratio with the S&P 500 Index, in S&P 500 Index futures, or in a combination of S&P 500 Index futures and ETFs, subject to any limitation on the Series’ investments in such securities (“Equity Component”); and the |
• | Fixed Component, consisting primarily of short-to intermediate-duration U.S. Government securities (“Fixed Component”). |
The Series’ asset allocation strategy is implemented by allocating assets appropriately to the Equity Component and to the Fixed Component to optimize exposure to the Equity Component while controlling the risk that an insurance company may be required to make payment under the Guarantee. Consequently, there can be no assurance as to the percentage of assets, if any, allocated to the Equity Component, or to any investment returns generated by the Series.
How does the Series’ Asset Allocation work?
ING Investment Management Co. (“ING IM”), Sub-Adviser to the Series, uses a proprietary computer model to determine on a daily basis the percentage of assets allocated to the Equity Component and to the Fixed Component. The model evaluates a number of factors, including the then current market value of the Series, the then prevailing level of interest rates, equity market volatility, the Series’ total annual expenses, insurance company separate account expenses, and the Maturity Date. The model determines the initial allocation between the Equity Component and the Fixed Component on the first day of the Guarantee Period and provides direction for any reallocations on a daily basis thereafter. Generally, as the value of the Equity Component rises, more assets are allocated to the Equity Component; as the value of the Equity Component declines, more assets are allocated to the Fixed Component. The amount directed to the Equity Component is always restricted so that even if it were to experience a “material decline” (at least a 30% decline) in value on a given day and before being redirected to the Fixed Component, the remaining assets would still be sufficient to meet the Guarantee. The allocation to the Equity Component or the Fixed Component may be zero under certain circumstances.
Equity Component: ING IM manages the Equity Component by overweighting those stocks in the S&P 500 Index that it believes will outperform the S&P 500 Index, and underweighting (or avoiding altogether) those stocks ING IM believes will underperform the S&P 500 Index (“Enhanced Index Strategy”). Stocks ING IM believes are likely to match the performance of the S&P 500 Index are invested in proportion to their representation in the Index. To determine which stocks to weight more or less heavily, ING IM uses internally developed quantitative computer models to evaluate various criteria, such as the financial strength of each company and its potential for strong, sustained earnings growth. ING IM expects that there will be a close correlation between the performance of the Equity Component and that of the S&P 500 Index in both rising and falling markets.
If the Equity Component’s market value is $5 million or less, in order to replicate an investment in stocks listed in the S&P 500 Index, ING IM may invest the entire amount of the Equity Component’s assets in S&P 500 Index futures, in exchange traded funds (“ETFs”), or in a combination of S&P 500 Index futures and ETFs, subject to any limitation on the Series’ investment in such securities (subject to restrictions imposed by the 1940 Act). ETFs are passively managed investment companies traded on a securities exchange whose goal is to track or replicate a desired index. ING IM will not employ an enhanced index
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strategy when it invests in S&P 500 Index futures and ETFs.
Fixed Component: ING IM seeks to select investments for the Fixed Component with financial characteristics that will, at any point in time, closely resemble those of a portfolio of zero coupon bonds which mature within three months of the Maturity Date. Generally, at least 55% of the Fixed Component will consist of securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities, including Separate Trading of Registered Interest and Principal of Securities (“STRIPS”). Although the Series invest in securities insured or guaranteed by the U.S. Government, the Series shares are not issued or guaranteed. STRIPS are created by the Federal Reserve Bank by separating the interest and principal components of an outstanding U.S. Treasury or agency bond and selling them as individual securities. The Fixed Component may also consist of mortgage backed securities (including commercial mortgage backed securities) which are rated AAA or Aaa at the time of purchase by Moody’s Investors Service, Inc. (“Moody’s”) or S&P, respectively, and corporate obligations which are rated at the time of purchase A- or higher by S&P and/or Aa3 or higher by Moody’s. The Fixed Component may also include U.S. Treasury futures and money market instruments.
What are the Principal Guarantee Period Risks?
Allocation Risk: If, at the inception of, or any time during, the Guarantee Period interest rates are low, the Series’ assets may be largely invested in the Fixed Component in order to decrease the likelihood that an insurance company would be required to make any payment under the Guarantee. The effect of low interest rates on the Series would likely be more pronounced at the inception of the Guarantee Period, as the initial allocation of assets would include more fixed-income securities. In addition, if during the Guarantee Period the equity markets experienced a material decline, the Series’ assets may become largely invested in the Fixed Component. In fact, if the value of the Equity Component were to decline by a significant amount, a complete reallocation to the Fixed Component would likely occur. In the event of a reallocation of 100% of the assets to the Fixed Component, the Series would not reallocate any assets into the Equity Component prior to the Maturity Date. Use of the Fixed Component reduces the Series’ ability to participate as fully in upward equity market movements, and therefore represents some loss of opportunity, or opportunity cost, compared to a portfolio that is fully invested in equities.
Active Asset Allocation May Underperform Static Strategies: The asset allocation process results in transaction costs. Volatile periods in the market may increase these costs. This process can have an adverse effect on the performance of the Series during periods of increased equity market volatility. In addition, a high portfolio turnover rate, which may also have an adverse effect on the performance of the Series, may increase the Series’ transaction costs.
Opportunity Costs: There are substantial opportunity costs associated with an investment in the Series. The Series may allocate a substantial portion, and under certain circumstances all, of the Series’ assets to the Fixed Component in order to conserve Series assets to a level equal to or above the present value of the Guarantee.
Initially, if interest rates are low, the allocation to the Fixed Component may be over 70% of the Series’ assets. If the market value of the Equity Component rises, the percentage of the Series’ assets allocated to the Equity Component generally will also rise. However, the relative volatility of these two Components as well as the past performance of the Series will affect these allocations. For example, if the Series incurs early losses, the Series may allocate 100% of the Series’ assets to the Fixed Component for the entire Guarantee Period, irrespective of the subsequent upward movements in the equity markets and/or the Equity Component.
The extent to which the Series participates in upward movements in the Equity Component during the Guarantee Period will depend on the performance of the Series, the performance and volatility of the Fixed and Equity Components, interest rates, expenses of the Series and of the underlying contract, and other factors. The Series might capture a material portion, very little or none of any Equity Component increase.
It is possible that on the Maturity Date, a Contract- holder or Participant could receive only the guaranteed amount even though the equity markets, as well as the Equity Component, has had significant positive performance during the Guarantee Period.
When you hold your investment until the end of the 5-year Guarantee Period, on the Guarantee Maturity Date your account will be worth no less than your investment at the inception of the Guarantee Period, less any redemptions and distributions you have
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received in cash, and certain Series expenses, such as interest, taxes and extraordinary expenses. If you sell shares during the Guarantee Period, shares are redeemed at the current net asset value (“NAV”) which may be worth more or less than your original investment and/or the NAV at the inception of the Guarantee Period. The guarantee is based on the beginning NAV on the first day of the Guarantee Period, not the Public Offering Price, and does not apply to any earnings realized during the Guarantee Period. The guarantee is backed by insurance companies offering the Series. As with the sale of any securities, a taxable event may occur if the Series liquidates fixed income securities at the end of the Guarantee Period.
Worst Case Scenarios for the Series’ Equity Participation: The opportunity cost of not allocating assets to the Equity Component will be particularly high if early in the Guarantee Period: (a) the Series’ NAV decreases; or (b) the value of the Equity Component declines. In either case, all or substantially all of the Series’ assets could be allocated to the Fixed Component for the remainder of the Guarantee Period.
Annuity Charges: Contract-holders and Participants with interests in the Series through separate accounts are not subject to identical separate account charges. In its proprietary computer model, ING IM uses an expense factor designed to have the Series produce a return which may cover some portion of these charges. The expense factor for the Series is determined at the inception of the Guarantee Period. If the expense factor is set to cover the higher charges, the initial asset allocation to the Equity Component will be lower. Accordingly, the level of the expense factor chosen by the Series may represent a greater opportunity cost to Contract-holders and Participants with lower separate account charges. Regardless of where the expense factor is set, it will not affect the Guarantee payable by the insurance company.
Stock and Bond Investments: The risks associated with investing in stocks include sudden and unpredictable drops in the value of the market as a whole and periods of lackluster or negative performance. The performance of the Equity Component also depends significantly on ING IM’s skill in determining which securities to overweight, underweight or avoid altogether.
The principal risk associated with investing in bonds is that interest rates may rise, which generally causes bond prices to fall. The market prices of STRIPS generally are more volatile than the market prices of other fixed income securities with similar maturities that pay interest periodically. With corporate bonds, there is a risk that the issuer will default on the payment of principal or interest.
With mortgage backed securities, there is a risk of prepayment of the underlying mortgage. Because prepayments of principal generally occur when interest rates are declining, it is likely that the Series may have to reinvest the proceeds of prepayments at lower yields. In addition, with credit risk, the Series could lose money if the issuer of a debt security is unable to meet its financial obligations or goes bankrupt. This Series is subject to less credit risk than other funds because it principally invests in debt securities issued or guaranteed by the U.S. Government or its agencies.
Declining Interest Rates: A decline in prevailing U.S. interest rates could materially increase the opportunity costs. Any such decline would increase the present value of the Guarantee, potentially causing the Series to allocate all or substantially all of the Series’ assets to the Fixed Component in order to assure that such assets do not fall below the Guarantee.
Futures Contracts: The Series may invest in futures contracts, which provide for the future sale by one party and purchase by another party of a specified amount of a financial instrument or a specific stock market index for a specified price on a designated date. The Series uses futures for hedging purposes or to temporarily increase or limit exposure to a particular asset class. The main risk with futures contracts is that they can amplify a gain or loss, potentially earning or losing substantially more money than the actual investment made in the futures contract.
Exchange Traded Funds: ETFs are passively managed investment companies traded on a securities exchange whose goal is to track or replicate a desired index. ETFs present risks similar to those of an investment in the underlying securities held by the ETF. Because ETFs trade on an exchange, they may not trade at NAV. Sometimes, the prices of ETFs may vary significantly from the NAVs of the ETFs underlying securities. Additionally, if the Fund elects to redeem its ETF shares rather than selling them on the
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secondary market, the Fund may receive the underlying securities which it must then sell in order to obtain cash. Additionally, you may pay a proportionate share of the expenses of the ETF in addition to the expenses of the Fund.
Risks of Using Derivatives: Certain securities in which the Series may invest, including futures contracts, are derivative instruments. In general terms, a derivative instrument is a financial contract whose value is derived, at least in part, from the performance of an underlying asset, interest rate, or index. If the issuer of a derivative does not pay the amount owed on the contract when due, the Series can lose money on the investment. The underlying investment on which the derivative is based, and the derivative itself, might not perform in the manner the Sub-Adviser expected, which could cause the Series’ share price to decline. Markets underlying securities may move in a direction not anticipated by the Sub-Adviser, which may result in the Series’ realizing a lower return than expected on an investment.
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As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution [and/or service] (12b–1) fees; and other Fund expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2005 to December 31, 2005.
Actual Expenses
The first section of the table shown, “Actual Fund Return,” provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the hypothetical lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||||||
Account | Account | Annualized | During the Six | |||||||||||||
Value | Value | Expense | Months Ended | |||||||||||||
July 1, 2005 | December 31, 2005 | Ratio | December 31, 2005* | |||||||||||||
Actual Fund Return | ||||||||||||||||
Series L | $ | 1,000.00 | $ | 1,014.90 | 0.55 | % | $ | 2.79 | ||||||||
Series M | 1,000.00 | 1,015.60 | 0.55 | 2.79 | ||||||||||||
Series N | 1,000.00 | 1,016.00 | 0.55 | 2.79 | ||||||||||||
Series P | 1,000.00 | 1,010.40 | 0.80 | 4.05 | ||||||||||||
Series Q | 1,000.00 | 1,012.90 | 0.80 | 4.06 | ||||||||||||
Series R | 1,000.00 | 1,014.70 | 0.80 | 4.06 | ||||||||||||
Series S | 1,000.00 | 1,016.80 | 0.80 | 4.07 | ||||||||||||
Series T | 1,000.00 | 1,013.90 | 0.80 | 4.06 | ||||||||||||
Series U | 1,000.00 | 1,015.30 | 0.80 | 4.06 | ||||||||||||
Series V | 1,000.00 | 1,004.80 | 0.80 | 4.04 | ||||||||||||
Hypothetical (5% return before expenses) |
* | Expenses are equal to each Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
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Beginning | Ending | Expenses Paid | ||||||||||||||
Account | Account | Annualized | During the Six | |||||||||||||
Value | Value | Expense | Months Ended | |||||||||||||
July 1, 2005 | December 31, 2005 | Ratio | December 31, 2005* | |||||||||||||
Series L | $ | 1,000.00 | $ | 1,022.43 | 0.55 | % | $ | 2.80 | ||||||||
Series M | 1,000.00 | 1,022.43 | 0.55 | 2.80 | ||||||||||||
Series N | 1,000.00 | 1,022.43 | 0.55 | 2.80 | ||||||||||||
Series P | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
Series Q | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
Series R | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
Series S | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
Series T | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
Series U | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
Series V | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||||||||||
* | Expenses are equal to each Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
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The Board of Trustees and Shareholders
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of ING GET Fund — Series L, Series M, Series N, Series P, Series Q, Series R, Series S, Series T, Series U, and Series V, each a series of ING GET Fund, as of December 31, 2005, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2005 by correspondence with the custodian and brokers, or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the aforementioned portfolios as of December 31, 2005, the results of their operations, the changes in their net assets, and the financial highlights for the periods specified in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
22
Table of Contents
ING | ING | ING | |||||||||||
GET Fund | GET Fund | GET Fund | |||||||||||
Series L | Series M | Series N | |||||||||||
ASSETS: | |||||||||||||
Investments in securities at value* | $ | 40,311,257 | $ | 60,422,386 | $ | 63,393,147 | |||||||
Repurchase agreement | 445,000 | 312,000 | 835,000 | ||||||||||
Cash | 294 | 80 | 859 | ||||||||||
Dividends and interest receivable | 1,395 | 5,432 | 21,662 | ||||||||||
Prepaid expenses | 8,530 | 10,687 | 2,462 | ||||||||||
Reimbursement due from manager | — | — | 9,509 | ||||||||||
Total assets | 40,766,476 | 60,750,585 | 64,262,639 | ||||||||||
LIABILITIES: | |||||||||||||
Payable to affiliates | 23,237 | 34,002 | 36,089 | ||||||||||
Payable for shares redeemed | 43,189 | 13,018 | 12,919 | ||||||||||
Payable for trustee fees | 4,288 | 3,772 | 5,349 | ||||||||||
Other accrued expenses and liabilities | 22,532 | 27,930 | 24,802 | ||||||||||
Total liabilities | 93,246 | 78,722 | 79,159 | ||||||||||
NET ASSETS | $ | 40,673,230 | $ | 60,671,863 | $ | 64,183,480 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||||
Paid-in capital | $ | 43,330,970 | $ | 64,580,114 | $ | 64,447,676 | |||||||
Undistributed net investment income | 1,551,083 | 2,585,213 | 2,271,480 | ||||||||||
Accumulated net realized loss on investments | (4,226,178 | ) | (6,849,310 | ) | (3,172,965 | ) | |||||||
Net unrealized appreciation on investments | 17,355 | 355,846 | 637,289 | ||||||||||
NET ASSETS | $ | 40,673,230 | $ | 60,671,863 | $ | 64,183,480 | |||||||
* Cost of investments in securities | $ | 40,293,902 | $ | 60,066,540 | $ | 62,755,858 | |||||||
Net assets | $ | 40,673,230 | $ | 60,671,863 | $ | 64,183,480 | |||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||
Par value | n/a | n/a | n/a | ||||||||||
Shares outstanding | 4,243,198 | 6,339,898 | 6,476,079 | ||||||||||
Net asset value and redemption price per share | $ | 9.59 | $ | 9.57 | $ | 9.91 |
23
Table of Contents
ING | ING | ING | |||||||||||
GET Fund | GET Fund | GET Fund | |||||||||||
Series P | Series Q | Series R | |||||||||||
ASSETS: | |||||||||||||
Investments in securities at value* | $ | 102,156,113 | $ | 115,055,157 | $ | 108,144,778 | |||||||
Repurchase agreement | 397,000 | 882,000 | 994,000 | ||||||||||
Cash | 273 | 203 | 214 | ||||||||||
Dividends and interest receivable | 11,182 | 39,984 | 38,111 | ||||||||||
Prepaid expenses | 4,032 | 4,500 | 4,379 | ||||||||||
Reimbursement due from manager | 14,920 | 17,855 | 16,591 | ||||||||||
Total assets | 102,583,520 | 115,999,699 | 109,198,073 | ||||||||||
LIABILITIES: | |||||||||||||
Payable to affiliates | 79,741 | 89,833 | 84,825 | ||||||||||
Payable for shares redeemed | 77,290 | 5,250 | 6,072 | ||||||||||
Payable for trustee fees | 7,705 | 6,060 | 5,029 | ||||||||||
Other accrued expenses and liabilities | 38,485 | 45,265 | 37,639 | ||||||||||
Total liabilities | 203,221 | 146,408 | 133,565 | ||||||||||
NET ASSETS | $ | 102,380,299 | $ | 115,853,291 | $ | 109,064,508 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||||
Paid-in capital | $ | 102,997,163 | $ | 110,849,835 | $ | 102,075,707 | |||||||
Undistributed net investment income | 3,537,139 | 4,135,601 | 3,446,516 | ||||||||||
Accumulated net realized gain (loss) on investments | (4,308,093 | ) | (430,411 | ) | 1,818,552 | ||||||||
Net unrealized appreciation on investments | 154,090 | 1,298,266 | 1,723,733 | ||||||||||
NET ASSETS | $ | 102,380,299 | $ | 115,853,291 | $ | 109,064,508 | |||||||
* Cost of investments in securities | $ | 102,002,023 | $ | 113,756,891 | $ | 106,421,045 | |||||||
Net assets | $ | 102,380,299 | $ | 115,853,291 | $ | 109,064,508 | |||||||
Shares authorized | unlimited | unlimited | unlimited | ||||||||||
Par value | n/a | n/a | n/a | ||||||||||
Shares outstanding | 10,427,674 | 11,453,206 | 10,688,563 | ||||||||||
Net asset value and redemption price per share | $ | 9.82 | $ | 10.12 | $ | 10.20 |
24
Table of Contents
ING | ING | ING | ING | ||||||||||||||
GET Fund | GET Fund | GET Fund | GET Fund | ||||||||||||||
Series S | Series T | Series U | Series V | ||||||||||||||
ASSETS: | |||||||||||||||||
Investments in securities at value* | $ | 148,527,252 | $ | 127,730,869 | $ | 140,215,004 | $ | 220,227,540 | |||||||||
Repurchase agreement | 1,446,000 | 876,000 | 1,400,000 | 2,027,000 | |||||||||||||
Cash | 564 | 416 | 419 | 698 | |||||||||||||
Dividends and interest receivable | 64,478 | 51,018 | 259,440 | 43,140 | |||||||||||||
Prepaid expenses | 6,141 | 5,313 | 5,438 | 8,838 | |||||||||||||
Reimbursement due from manager | 21,944 | 20,083 | 29,959 | 33,264 | |||||||||||||
Total assets | 150,066,379 | 128,683,699 | 141,910,260 | 222,340,480 | |||||||||||||
LIABILITIES: | |||||||||||||||||
Payable to affiliates | 117,255 | 101,028 | 110,431 | 172,221 | |||||||||||||
Payable for shares redeemed | 7,722 | 39,599 | 414,578 | 114,812 | |||||||||||||
Payable for trustee fees | 9,069 | 6,547 | 3,787 | 4,073 | |||||||||||||
Other accrued expenses and liabilities | 53,094 | 42,978 | 43,016 | 65,747 | |||||||||||||
Total liabilities | 187,140 | 190,152 | 571,812 | 356,853 | |||||||||||||
NET ASSETS | $ | 149,879,239 | $ | 128,493,547 | $ | 141,338,448 | $ | 221,983,627 | |||||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||||||||
Paid-in capital | $ | 142,022,112 | $ | 122,394,901 | $ | 136,542,719 | $ | 228,105,376 | |||||||||
Undistributed net investment income | 3,997,218 | 3,430,033 | 3,017,180 | 4,208,821 | |||||||||||||
Accumulated net realized gain (loss) on investments | 895,489 | 1,458,562 | 932,606 | (2,198,201 | ) | ||||||||||||
Net unrealized appreciation or depreciation on investments | 2,964,420 | 1,210,051 | 845,943 | (8,132,369 | ) | ||||||||||||
NET ASSETS | $ | 149,879,239 | $ | 128,493,547 | $ | 141,338,448 | $ | 221,983,627 | |||||||||
* Cost of investments in securities | $ | 145,562,832 | $ | 126,520,818 | $ | 139,369,061 | $ | 228,359,909 | |||||||||
Net assets | $ | 149,879,239 | $ | 128,493,547 | $ | 141,338,448 | $ | 221,983,627 | |||||||||
Shares authorized | unlimited | unlimited | unlimited | unlimited | |||||||||||||
Par value | n/a | n/a | n/a | n/a | |||||||||||||
Shares outstanding | 14,854,249 | 12,836,517 | 14,467,830 | 22,468,781 | |||||||||||||
Net asset value and redemption price per share | $ | 10.09 | $ | 10.01 | $ | 9.77 | $ | 9.88 |
25
Table of Contents
ING | ING | ING | |||||||||||
GET Fund | GET Fund | GET Fund | |||||||||||
Series L | Series M | Series N | |||||||||||
INVESTMENT INCOME: | |||||||||||||
Dividends | $ | 19,000 | $ | 76,865 | $ | 174,032 | |||||||
Interest | 1,788,652 | 2,885,338 | 2,494,199 | ||||||||||
Total investment income | 1,807,652 | 2,962,203 | 2,668,231 | ||||||||||
EXPENSES: | |||||||||||||
Investment management fees | 277,204 | 407,682 | 428,555 | ||||||||||
Transfer agent fees | 110 | 110 | 117 | ||||||||||
Administrative service fees | 25,409 | 37,369 | 39,283 | ||||||||||
Shareholder reporting expense | 7,165 | 7,140 | 7,047 | ||||||||||
Registration fees | 2,097 | 3,044 | 3,219 | ||||||||||
Professional fees | 9,404 | 11,284 | 8,375 | ||||||||||
Custody and accounting expense | 14,180 | 14,549 | 16,275 | ||||||||||
Trustee fees | 3,780 | 3,320 | 6,850 | ||||||||||
Miscellaneous expense | 2,272 | 4,922 | 3,413 | ||||||||||
Total expenses | 341,621 | 489,420 | 513,134 | ||||||||||
Net waived and reimbursed fees | (86,986 | ) | (114,944 | ) | (119,460 | ) | |||||||
Net expenses | 254,635 | 374,476 | 393,674 | ||||||||||
Net investment income | 1,553,017 | 2,587,727 | 2,274,557 | ||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | |||||||||||||
Net realized gain on investments | 26,205 | 264,032 | 497,994 | ||||||||||
Net change in unrealized appreciation on investments | (545,119 | ) | (1,388,744 | ) | (1,354,941 | ) | |||||||
Net realized and unrealized loss on investments | (518,914 | ) | (1,124,712 | ) | (856,947 | ) | |||||||
Net increase in net assets resulting from operations | $ | 1,034,103 | $ | 1,463,015 | $ | 1,417,610 | |||||||
26
Table of Contents
ING | ING | ING | |||||||||||
GET Fund | GET Fund | GET Fund | |||||||||||
Series P | Series Q | Series R | |||||||||||
INVESTMENT INCOME: | |||||||||||||
Dividends | $ | 184,086 | $ | 435,401 | $ | 602,375 | |||||||
Interest | 4,286,508 | 4,746,606 | 3,885,588 | ||||||||||
Total investment income | 4,470,594 | 5,182,007 | 4,487,963 | ||||||||||
EXPENSES: | |||||||||||||
Investment management fees | 696,888 | 780,820 | 773,017 | ||||||||||
Distribution and service fees | 290,369 | 325,340 | 322,089 | ||||||||||
Transfer agent fees | 128 | 117 | 117 | ||||||||||
Administrative service fees | 63,879 | 71,573 | 70,857 | ||||||||||
Shareholder reporting expense | 15,168 | 17,980 | 14,384 | ||||||||||
Registration fees | 5,276 | 5,838 | 5,657 | ||||||||||
Professional fees | 20,400 | 24,828 | 22,432 | ||||||||||
Custody and accounting expense | 19,085 | 22,788 | 23,425 | ||||||||||
Trustee fees | 8,675 | 10,545 | 8,990 | ||||||||||
Miscellaneous expense | 4,084 | 7,513 | 4,619 | ||||||||||
Total expenses | 1,123,952 | 1,267,342 | 1,245,587 | ||||||||||
Net waived and reimbursed fees | (193,400 | ) | (224,802 | ) | (213,350 | ) | |||||||
Net expenses | 930,552 | 1,042,540 | 1,032,237 | ||||||||||
Net investment income | 3,540,042 | 4,139,467 | 3,455,726 | ||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | |||||||||||||
Net realized gain on investments | 617,405 | 2,470,497 | 2,558,913 | ||||||||||
Net change in unrealized appreciation on investments | (2,800,265 | ) | (4,844,480 | ) | (4,042,895 | ) | |||||||
Net realized and unrealized loss on investments | (2,182,860 | ) | (2,373,983 | ) | (1,483,982 | ) | |||||||
Net increase in net assets resulting from operations | $ | 1,357,182 | $ | 1,765,484 | $ | 1,971,744 | |||||||
27
Table of Contents
ING | ING | ING | ING | ||||||||||||||
GET Fund | GET Fund | GET Fund | GET Fund | ||||||||||||||
Series S | Series T | Series U | Series V | ||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||
Dividends | $ | 912,454 | $ | 727,358 | $ | 926,375 | $ | 659,793 | |||||||||
Interest | 4,530,612 | 3,910,833 | 3,341,911 | 5,575,646 | |||||||||||||
Total investment income | 5,443,066 | 4,638,191 | 4,268,286 | 6,235,439 | |||||||||||||
EXPENSES: | |||||||||||||||||
Investment management fees | 1,074,397 | 896,858 | 927,901 | 1,512,910 | |||||||||||||
Distribution and service fees | 447,663 | 373,689 | 386,623 | 630,376 | |||||||||||||
Transfer agent fees | 117 | 117 | 117 | 128 | |||||||||||||
Administrative service fees | 98,483 | 82,209 | 85,055 | 138,679 | |||||||||||||
Shareholder reporting expense | 21,900 | 17,841 | 21,686 | 25,265 | |||||||||||||
Registration fees | 7,948 | 6,407 | 6,543 | 11,519 | |||||||||||||
Professional fees | 32,005 | 26,993 | 31,368 | 48,149 | |||||||||||||
Custody and accounting expense | 26,045 | 29,200 | 26,220 | 36,875 | |||||||||||||
Trustee fees | 15,312 | 12,228 | 12,369 | 17,960 | |||||||||||||
Miscellaneous expense | 6,253 | 4,709 | 5,162 | 7,894 | |||||||||||||
Total expenses | 1,730,123 | 1,450,251 | 1,503,044 | 2,429,755 | |||||||||||||
Net waived and reimbursed fees | (295,606 | ) | (252,957 | ) | (263,470 | ) | (409,697 | ) | |||||||||
Net expenses | 1,434,517 | 1,197,294 | 1,239,574 | 2,020,058 | |||||||||||||
Net investment income | 4,008,549 | 3,440,897 | 3,028,712 | 4,215,381 | |||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY RELATED TRANSACTIONS: | |||||||||||||||||
Net realized gain on investments | 1,473,943 | 1,775,153 | 1,585,227 | 95,367 | |||||||||||||
Net change in unrealized appreciation on investments | (2,507,629 | ) | (3,156,320 | ) | (2,597,198 | ) | (2,508,343 | ) | |||||||||
Net realized and unrealized loss on investments | (1,033,686 | ) | (1,381,167 | ) | (1,011,971 | ) | (2,412,976 | ) | |||||||||
Net increase in net assets resulting from operations | $ | 2,974,863 | $ | 2,059,730 | $ | 2,016,741 | $ | 1,802,405 | |||||||||
28
Table of Contents
ING GET Fund Series L | ING GET Fund Series M | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 1,553,017 | $ | 1,758,988 | $ | 2,587,727 | $ | 3,162,219 | ||||||||
Net realized gain on investments | 26,205 | 1,374,615 | 264,032 | 1,856,222 | ||||||||||||
Net change in unrealized appreciation on investments | (545,119 | ) | (2,711,700 | ) | (1,388,744 | ) | (4,247,118 | ) | ||||||||
Net increase in net assets resulting from operations | 1,034,103 | 421,903 | 1,463,015 | 771,323 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | (1,759,054 | ) | (2,405,744 | ) | (3,162,615 | ) | (3,723,446 | ) | ||||||||
Total distributions | (1,759,054 | ) | (2,405,744 | ) | (3,162,615 | ) | (3,723,446 | ) | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Dividends reinvested | 1,759,054 | 2,405,744 | 3,162,615 | 3,723,446 | ||||||||||||
Cost of shares redeemed | (12,989,445 | ) | (15,696,441 | ) | (17,622,134 | ) | (18,774,905 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (11,230,391 | ) | (13,290,697 | ) | (14,459,519 | ) | (15,051,459 | ) | ||||||||
Net decrease in net assets | (11,955,342 | ) | (15,274,538 | ) | (16,159,119 | ) | (18,003,582 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 52,628,572 | 67,903,110 | 76,830,982 | 94,834,564 | ||||||||||||
End of year | $ | 40,673,230 | $ | 52,628,572 | $ | 60,671,863 | $ | 76,830,982 | ||||||||
Undistributed net investment income at end of year | $ | 1,551,083 | $ | 1,757,240 | $ | 2,585,213 | $ | 3,160,504 | ||||||||
29
Table of Contents
ING GET Fund Series N | ING GET Fund Series P | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 2,274,557 | $ | 2,741,348 | $ | 3,540,042 | $ | 4,390,002 | ||||||||
Net realized gain on investments | 497,994 | 1,915,022 | 617,405 | 3,548,291 | ||||||||||||
Net change in unrealized appreciation on investments | (1,354,941 | ) | (3,193,310 | ) | (2,800,265 | ) | (5,728,395 | ) | ||||||||
Net increase in net assets resulting from operations | 1,417,610 | 1,463,060 | 1,357,182 | 2,209,898 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | (2,741,129 | ) | (3,108,483 | ) | (4,389,931 | ) | (5,406,227 | ) | ||||||||
Total distributions | (2,741,129 | ) | (3,108,483 | ) | (4,389,931 | ) | (5,406,227 | ) | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Dividends reinvested | 2,741,129 | 3,108,483 | 4,389,931 | 5,406,227 | ||||||||||||
Cost of shares redeemed | (18,222,831 | ) | (20,658,266 | ) | (31,900,754 | ) | (37,526,523 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (15,481,702 | ) | (17,549,783 | ) | (27,510,823 | ) | (32,120,296 | ) | ||||||||
Net decrease in net assets | (16,805,221 | ) | (19,195,206 | ) | (30,543,572 | ) | (35,316,625 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 80,988,701 | 100,183,907 | 132,923,871 | 168,240,496 | ||||||||||||
End of year | $ | 64,183,480 | $ | 80,988,701 | $ | 102,380,299 | $ | 132,923,871 | ||||||||
Undistributed net investment income at end of year | $ | 2,271,480 | $ | 2,739,100 | $ | 3,537,139 | $ | 4,388,248 | ||||||||
30
Table of Contents
ING GET Fund Series Q | ING GET Fund Series R | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 4,139,467 | $ | 5,101,215 | $ | 3,455,726 | $ | 4,298,655 | ||||||||
Net realized gain on investments | 2,470,497 | 4,174,953 | 2,558,913 | 4,346,271 | ||||||||||||
Net change in unrealized appreciation on investments | (4,844,480 | ) | (6,245,109 | ) | (4,042,895 | ) | (4,455,894 | ) | ||||||||
Net increase in net assets resulting from operations | 1,765,484 | 3,031,059 | 1,971,744 | 4,189,032 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | (5,100,348 | ) | (5,804,349 | ) | (4,294,908 | ) | (5,052,323 | ) | ||||||||
Net realized gains | — | — | (3,191,195 | ) | — | |||||||||||
Total distributions | (5,100,348 | ) | (5,804,349 | ) | (7,486,103 | ) | (5,052,323 | ) | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Dividends reinvested | 5,100,348 | 5,804,349 | 7,486,103 | 5,052,323 | ||||||||||||
Cost of shares redeemed | (34,867,951 | ) | (34,099,980 | ) | (39,672,821 | ) | (30,479,231 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (29,767,603 | ) | (28,295,631 | ) | (32,186,718 | ) | (25,426,908 | ) | ||||||||
Net decrease in net assets | (33,102,467 | ) | (31,068,921 | ) | (37,701,077 | ) | (26,290,199 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 148,955,758 | 180,024,679 | 146,765,585 | 173,055,784 | ||||||||||||
End of year | $ | 115,853,291 | $ | 148,955,758 | $ | 109,064,508 | $ | 146,765,585 | ||||||||
Undistributed net investment income at end of year | $ | 4,135,601 | $ | 5,098,936 | $ | 3,446,516 | $ | 4,289,267 | ||||||||
31
Table of Contents
ING GET Fund Series S | ING GET Fund Series T | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 4,008,549 | $ | 4,615,232 | $ | 3,440,897 | $ | 3,995,554 | ||||||||
Net realized gain on investments | 1,473,943 | 5,630,946 | 1,775,153 | 4,977,076 | ||||||||||||
Net change in unrealized appreciation on investments | (2,507,629 | ) | (4,322,190 | ) | (3,156,320 | ) | (4,372,106 | ) | ||||||||
Net increase in net assets resulting from operations | 2,974,863 | 5,923,988 | 2,059,730 | 4,600,524 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | (4,612,157 | ) | (5,950,093 | ) | (3,991,444 | ) | (4,981,310 | ) | ||||||||
Net realized gains | (5,243,459 | ) | (3,429,111 | ) | (5,001,863 | ) | (2,938,404 | ) | ||||||||
Total distributions | (9,855,616 | ) | (9,379,204 | ) | (8,993,307 | ) | (7,919,714 | ) | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Dividends reinvested | 9,855,616 | 9,379,204 | 8,993,307 | 7,919,714 | ||||||||||||
Cost of shares redeemed | (57,187,372 | ) | (52,124,639 | ) | (38,650,737 | ) | (34,479,696 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (47,331,756 | ) | (42,745,435 | ) | (29,657,430 | ) | (26,559,982 | ) | ||||||||
Net decrease in net assets | (54,212,509 | ) | (46,200,651 | ) | (36,591,007 | ) | (29,879,172 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 204,091,748 | 250,292,399 | 165,084,554 | 194,963,726 | ||||||||||||
End of year | $ | 149,879,239 | $ | 204,091,748 | $ | 128,493,547 | $ | 165,084,554 | ||||||||
Undistributed net investment income at end of year | $ | 3,997,218 | $ | 4,605,686 | $ | 3,430,033 | $ | 3,984,944 | ||||||||
32
Table of Contents
ING GET Fund Series U | ING GET Fund Series V | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,028,712 | $ | 3,414,681 | $ | 4,215,381 | $ | 4,947,575 | ||||||||
Net realized gain on investments | 1,585,227 | 7,604,280 | 95,367 | 1,975,911 | ||||||||||||
Net change in unrealized appreciation on investments | (2,597,198 | ) | (5,106,221 | ) | (2,508,343 | ) | 1,396,393 | |||||||||
Net increase in net assets resulting from operations | 2,016,741 | 5,912,740 | 1,802,405 | 8,319,879 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income | (3,412,563 | ) | (3,520,352 | ) | (4,945,298 | ) | (3,464,926 | ) | ||||||||
Net realized gains | (8,182,479 | ) | (7,666,840 | ) | — | — | ||||||||||
Total distributions | (11,595,042 | ) | (11,187,192 | ) | (4,945,298 | ) | (3,464,926 | ) | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Dividends reinvested | 11,595,042 | 11,187,192 | 4,945,298 | 3,464,926 | ||||||||||||
Cost of shares redeemed | (31,422,493 | ) | (34,267,953 | ) | (66,524,803 | ) | (122,698,741 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (19,827,451 | ) | (23,080,761 | ) | (61,579,505 | ) | (119,233,815 | ) | ||||||||
Net decrease in net assets | (29,405,752 | ) | (28,355,213 | ) | (64,722,398 | ) | (114,378,862 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 170,744,200 | 199,099,413 | 286,706,025 | 401,084,887 | ||||||||||||
End of year | $ | 141,338,448 | $ | 170,744,200 | $ | 221,983,627 | $ | 286,706,025 | ||||||||
Undistributed net investment income at end of period | $ | 3,017,180 | $ | 3,406,372 | $ | 4,208,821 | $ | 4,943,082 | ||||||||
33
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
Year Ended December 31, | ||||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.74 | 10.11 | 10.12 | 9.86 | 10.01 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income | $ | 0.32 | ** | 0.39 | 0.39 | 0.33 | 0.24 | |||||||||||||||
Net realized and unrealized loss on investments | $ | (0.09 | ) | (0.33 | ) | (0.04 | ) | (0.07 | ) | (0.15 | ) | |||||||||||
Total from investment operations | $ | 0.23 | 0.06 | 0.35 | 0.26 | 0.09 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | $ | 0.38 | 0.43 | 0.36 | 0.00 | (3) | 0.24 | |||||||||||||||
Total distributions | $ | 0.38 | 0.43 | 0.36 | 0.00 | (3) | 0.24 | |||||||||||||||
Net asset value, end of year | $ | 9.59 | 9.74 | 10.11 | 10.12 | 9.86 | ||||||||||||||||
Total Return(1) | % | 2.43 | 0.56 | 3.47 | 2.69 | (0.14 | )* | |||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||
Net assets, end of year (000’s) | $ | 40,673 | 52,629 | 67,903 | 76,433 | 81,636 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net expenses after expense reimbursement(2) | % | 0.55 | 0.75 | 0.75 | 0.75 | 0.74 | ||||||||||||||||
Gross expenses prior to expense reimbursement | % | 0.74 | 0.70 | 0.76 | 0.81 | 0.76 | ||||||||||||||||
Net investment income after expense reimbursement(2) | % | 3.36 | 2.99 | 3.32 | 3.20 | 2.80 | ||||||||||||||||
Portfolio turnover rate | % | 2 | 25 | 13 | 91 | 126 | ||||||||||||||||
(1) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(2) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
(3) Amount is less than $0.01 per share.
* Total return calculation began on March 15, 2001, the first day of the Guarantee Period. Total return for year ended December 31, 2001 was 0.86%.
** Per share data calculated using average number of shares outstanding throughout the period.
34
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
March 15, | ||||||||||||||||||||||
Year Ended December 31, | 2001(1) to | |||||||||||||||||||||
December 31, | ||||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.81 | 10.18 | 10.16 | 9.81 | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income | $ | 0.37 | * | 0.45 | 0.44 | 0.33 | 0.16 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.15 | ) | (0.37 | ) | (0.05 | ) | 0.02 | (0.19 | ) | ||||||||||||
Total from investment operations | $ | 0.22 | 0.08 | 0.39 | 0.35 | (0.03 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | $ | 0.46 | 0.45 | 0.37 | 0.00 | (5) | 0.16 | |||||||||||||||
Total distributions | $ | 0.46 | 0.45 | 0.37 | 0.00 | (5) | 0.16 | |||||||||||||||
Net asset value, end of period | $ | 9.57 | 9.81 | 10.18 | 10.16 | 9.81 | ||||||||||||||||
Total Return(2) | % | 2.29 | 0.83 | 3.85 | 3.60 | (1.24 | )** | |||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 60,672 | 76,831 | 94,835 | 115,427 | 123,103 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net expenses after expense reimbursement/recoupment (3)(4) | % | 0.55 | 0.75 | 0.74 | 0.74 | 0.72 | ||||||||||||||||
Gross expenses prior to expense reimbursement/recoupment(3) | % | 0.72 | 0.71 | 0.74 | 0.77 | 0.73 | ||||||||||||||||
Net investment income after expense reimbursement/recoupment(3)(4) | % | 3.81 | 3.74 | 3.51 | 3.14 | 2.95 | ||||||||||||||||
Portfolio turnover rate | % | 5 | 19 | 5 | 65 | 55 | ||||||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
(5) Amount is less than $0.01 per share.
* Per share data calculated using average number of shares outstanding throughout the period.
** Total return calculation began on June 14, 2001, the first day of the Guarantee Period. Total return from commencement of operations was (0.25%).
35
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
June 14, | ||||||||||||||||||||||
Year Ended December 31, | 2001(1) to | |||||||||||||||||||||
December 31, | ||||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.09 | 10.28 | 10.12 | 10.30 | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income | $ | 0.32 | * | 0.38 | 0.34 | 0.25 | 0.07 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.11 | ) | (0.21 | ) | 0.09 | (0.29 | ) | 0.31 | |||||||||||||
Total from investment operations | $ | 0.21 | 0.17 | 0.43 | (0.04 | ) | 0.38 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | $ | 0.39 | 0.36 | 0.27 | 0.00 | (5) | 0.07 | |||||||||||||||
Net realized gains on investments | $ | — | — | — | 0.14 | 0.01 | ||||||||||||||||
Total distributions | $ | 0.39 | 0.36 | 0.27 | 0.14 | 0.08 | ||||||||||||||||
Net asset value, end of period | $ | 9.91 | 10.09 | 10.28 | 10.12 | 10.30 | ||||||||||||||||
Total Return(2) | % | 2.10 | 1.70 | 4.30 | (0.37 | ) | 2.82 | ** | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 64,183 | 80,989 | 100,184 | 118,815 | 135,532 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net expenses after expense reimbursement/recoupment (3)(4) | % | 0.55 | 0.74 | 0.74 | 0.75 | 0.72 | ||||||||||||||||
Gross expenses prior to expense reimbursement/recoupment(3) | % | 0.72 | 0.71 | 0.74 | 0.77 | 0.73 | ||||||||||||||||
Net investment income after expense reimbursement/recoupment(3)(4) | % | 3.18 | 3.05 | 2.80 | 2.36 | 2.11 | ||||||||||||||||
Portfolio turnover rate | % | 28 | 22 | 12 | 124 | 48 | ||||||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
(5) Amount is less than $0.01 per share.
* Per share data calculated using average number of shares outstanding throughout the period.
** Total return calculation began on September 18, 2001, the first day of the Guarantee Period. Total return from commencement of operations was 3.75%.
36
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
September 18, | ||||||||||||||||||||||
Year Ended December 31, | 2001(1) to | |||||||||||||||||||||
December 31, | ||||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.07 | 10.31 | 10.18 | 10.06 | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income | $ | 0.30 | * | 0.39 | 0.37 | 0.23 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.17 | ) | (0.24 | ) | 0.03 | (0.10 | ) | 0.06 | |||||||||||||
Total from investment operations | $ | 0.13 | 0.15 | 0.40 | 0.13 | 0.07 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | $ | 0.38 | 0.39 | 0.27 | 0.00 | (5) | 0.01 | |||||||||||||||
Net realized gains on investments | $ | — | — | — | 0.00 | (5) | — | |||||||||||||||
Total distributions | $ | 0.38 | 0.39 | 0.27 | 0.01 | 0.01 | ||||||||||||||||
Net asset value, end of period | $ | 9.82 | 10.07 | 10.31 | 10.18 | 10.06 | ||||||||||||||||
Total Return(2) | % | 1.34 | 1.48 | 3.91 | 1.27 | 0.26 | ** | |||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 102,380 | 132,924 | 168,240 | 218,665 | 236,096 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net expenses after expense reimbursement (3)(4) | % | 0.80 | 0.96 | 0.97 | 0.98 | 0.88 | ||||||||||||||||
Gross expenses prior to expense reimbursement (3) | % | 0.97 | 0.96 | 0.97 | 0.98 | 0.98 | ||||||||||||||||
Net investment income after expense reimbursement(3)(4) | % | 3.05 | 2.97 | 2.75 | 2.21 | 1.51 | ||||||||||||||||
Portfolio turnover rate | % | 22 | 40 | 25 | 123 | 2 | ||||||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
(5) Amount is less than $0.01 per share.
* Per share data calculated using average number of shares outstanding throughout the period.
** Total return calculation began on December 13, 2001, the first day of the Guarantee Period. Total return from commencement of operations was 0.66%.
37
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
December 13, | ||||||||||||||||||||||
Year Ended December 31, | 2001(1) to | |||||||||||||||||||||
December 31, | ||||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.37 | 10.56 | 10.04 | 10.01 | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income | $ | 0.32 | * | 0.40 | 0.34 | 0.20 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.16 | ) | (0.21 | ) | 0.18 | 0.03 | — | ||||||||||||||
Total from investment operations | $ | 0.16 | 0.19 | 0.52 | 0.23 | 0.01 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | $ | 0.41 | 0.38 | — | 0.20 | — | ||||||||||||||||
Total distributions | $ | 0.41 | 0.38 | — | 0.20 | — | ||||||||||||||||
Net asset value, end of period | $ | 10.12 | 10.37 | 10.56 | 10.04 | 10.01 | ||||||||||||||||
Total Return(2) | % | 1.59 | 1.89 | 5.18 | 2.11 | ** | — | † | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 115,853 | 148,956 | 180,025 | 228,920 | 7,767 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net expenses after expense reimbursement(3)(4) | % | 0.80 | 0.96 | 0.97 | 0.97 | 0.82 | ||||||||||||||||
Gross expenses prior to expense reimbursement(3) | % | 0.97 | 0.96 | 0.97 | 0.98 | 7.74 | ||||||||||||||||
Net investment income after expense reimbursement (3)(4) | % | 3.18 | 3.15 | 2.82 | 2.37 | 0.90 | ||||||||||||||||
Portfolio turnover rate | % | 37 | 26 | 15 | 95 | — | ||||||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary
expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
† As of December 31, 2001, the Series was in its Offering Period. Total return from commencement of operations was 0.10%.
* Per share data calculated using average number of shares outstanding throughout the period.
** Total return calculation began on March 15, 2002, the first day of the Guarantee Period. Total return for year ended December 31, 2002 was 2.31%.
38
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
March 15, | ||||||||||||||||||
Year Ended December 31, | 2002(1) to | |||||||||||||||||
December 31, | ||||||||||||||||||
2005 | 2004 | 2003 | 2002 | |||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.65 | 10.71 | 10.10 | 10.00 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income | $ | 0.28 | * | 0.35 | 0.31 | 0.15 | ||||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.11 | ) | (0.06 | ) | 0.30 | 0.10 | |||||||||||
Total from investment operations | $ | 0.17 | 0.29 | 0.61 | 0.25 | |||||||||||||
Less distributions from: | ||||||||||||||||||
Net investment income | $ | 0.36 | 0.35 | — | 0.15 | |||||||||||||
Net realized gains on investments | $ | 0.26 | — | — | — | |||||||||||||
Total distributions | $ | 0.62 | 0.35 | — | 0.15 | |||||||||||||
Net asset value, end of period | $ | 10.20 | 10.65 | 10.71 | 10.10 | |||||||||||||
Total Return(2) | % | 1.66 | 2.77 | 6.05 | 2.17 | ** | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||
Net assets, end of period (000’s) | $ | 109,065 | 146,766 | 173,056 | 214,078 | |||||||||||||
Ratios to average net assets: | ||||||||||||||||||
Net expenses after expense reimbursement/recoupment(3)(4) | % | 0.80 | 0.94 | 1.00 | 0.99 | |||||||||||||
Gross expenses prior to expense reimbursement/recoupment(3) | % | 0.97 | 0.94 | 0.98 | 1.02 | |||||||||||||
Net investment income after expense reimbursement/recoupment (3)(4) | % | 2.68 | 2.72 | 2.59 | 2.57 | |||||||||||||
Portfolio turnover rate | % | 37 | 45 | 17 | 76 | |||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
* Per share data calculated using average number of shares outstanding throughout the period.
** Total return calculation began on June 14, 2002, the first day of the Guarantee Period. Total return from commencement of operations was 2.47%.
39
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
June 17, | ||||||||||||||||||
Year Ended December 31, | 2002(1) to | |||||||||||||||||
December 31, | ||||||||||||||||||
2005 | 2004 | 2003 | 2002 | |||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.47 | 10.65 | 10.07 | 10.00 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income | $ | 0.23 | * | 0.22 | * | 0.25 | 0.07 | |||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.04 | ) | 0.06 | 0.34 | 0.06 | ||||||||||||
Total from investment operations | $ | 0.19 | 0.28 | 0.59 | 0.13 | |||||||||||||
Less distributions from: | ||||||||||||||||||
Net investment income | $ | 0.27 | 0.29 | 0.01 | 0.06 | |||||||||||||
Net realized gains from investments | $ | 0.30 | 0.17 | — | — | |||||||||||||
Total distributions | $ | 0.57 | 0.46 | 0.01 | 0.06 | |||||||||||||
Net asset value, end of period | $ | 10.09 | 10.47 | 10.65 | 10.07 | |||||||||||||
Total Return(2) | % | 1.88 | 2.71 | 5.86 | 1.15 | ** | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||
Net assets, end of period (000’s) | $ | 149,879 | 204,092 | 250,292 | 325,041 | |||||||||||||
Ratios to average net assets: | ||||||||||||||||||
Net expenses after expense reimbursement(3)(4) | % | 0.80 | 0.96 | 0.97 | 0.97 | |||||||||||||
Gross expenses prior to expense reimbursement(3) | % | 0.97 | 0.96 | 0.97 | 0.97 | |||||||||||||
Net investment income after expense reimbursement(3)(4) | % | 2.24 | 2.07 | 2.04 | 2.01 | |||||||||||||
Portfolio turnover rate | % | 67 | 18 | 13 | 60 | |||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerages and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
* Per share data calculated using weighted average number of shares outstanding throughout the period.
** Total return calculation began on September 12, 2002, the first day of the Guarantee Period. Total return from commencement of operations was 1.35%.
40
Table of Contents
Selected data for a share of beneficial interest outstanding throughout each period.
September 12, | ||||||||||||||||||
Year Ended December 31, | 2002(1) to | |||||||||||||||||
December 31, | ||||||||||||||||||
2005 | 2004 | 2003 | 2002 | |||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.48 | 10.70 | 10.12 | 10.00 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income | $ | 0.23 | * | 0.24 | * | 0.28 | 0.01 | |||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.07 | ) | 0.03 | 0.32 | 0.11 | ||||||||||||
Total from investment operations | $ | 0.16 | 0.27 | 0.60 | 0.12 | |||||||||||||
Less distributions from: | ||||||||||||||||||
Net investment income | $ | 0.28 | 0.31 | 0.02 | 0.00(5 | ) | ||||||||||||
Net realized gains from investments | $ | 0.35 | 0.18 | — | — | |||||||||||||
Total distributions | $ | 0.63 | 0.49 | 0.02 | 0.00(5 | ) | ||||||||||||
Net asset value, end of period | $ | 10.01 | 10.48 | 10.70 | 10.12 | |||||||||||||
Total Return(2) | % | 1.58 | 2.62 | 5.88 | 1.21 | ** | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||
Net assets, end of period (000’s) | $ | 128,494 | 165,085 | 194,964 | 277,434 | |||||||||||||
Ratios to average net assets: | ||||||||||||||||||
Net expenses after expense reimbursement/recoupment(3)(4) | % | 0.80 | 0.96 | 0.98 | 0.96 | |||||||||||||
Gross expenses prior to expense reimbursement/recoupment(3) | % | 0.97 | 0.96 | 0.98 | 1.07 | |||||||||||||
Net investment income after expense reimbursement/recoupment (3)(4) | % | 2.30 | 2.26 | 2.14 | 1.91 | |||||||||||||
Portfolio turnover rate | % | 53 | 36 | 24 | 4 | |||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years of being incurred.
(5) Amount is less than $0.01 per share.
* Per share data calculated using weighted average number of shares outstanding throughout the period.
** Total return calculation began on December 12, 2002, the first day of the Guarantee Period. Total return from commencement of operations was 1.21%.
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Selected data for a share of beneficial interest outstanding throughout each period.
December 12, | ||||||||||||||||||
Year Ended December 31, | 2002(1) to | |||||||||||||||||
December 31, | ||||||||||||||||||
2005 | 2004 | 2003 | 2002 | |||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.42 | 10.75 | 10.00 | 10.00 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income | $ | 0.20 | * | 0.23 | 0.18 | 0.00 | ** | |||||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.07 | ) | 0.11 | 0.57 | 0.00 | ** | |||||||||||
Total from investment operations | $ | 0.13 | 0.34 | 0.75 | 0.00 | ** | ||||||||||||
Less distributions from: | ||||||||||||||||||
Net investment income | $ | 0.23 | 0.21 | — | — | |||||||||||||
Net realized gains from investments | $ | 0.55 | 0.46 | — | — | |||||||||||||
Total distributions | $ | 0.78 | 0.67 | — | — | |||||||||||||
Net asset value, end of period | $ | 9.77 | 10.42 | 10.75 | 10.00 | |||||||||||||
Total Return(2) | % | 1.43 | 3.40 | 7.29 | †† | — | † | |||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||
Net assets, end of period (000’s) | $ | 141,338 | 170,744 | 199,099 | 1,550 | |||||||||||||
Ratios to average net assets: | ||||||||||||||||||
Net expenses after expense reimbursement(3)(4) | % | 0.80 | 0.95 | 0.98 | 0.65 | |||||||||||||
Gross expenses prior to expense reimbursement(3) | % | 0.97 | 0.95 | 0.98 | 17.95 | |||||||||||||
Net investment income after expense reimbursement(3)(4) | % | 1.96 | 1.88 | 1.78 | 0.66 | |||||||||||||
Portfolio turnover rate | % | 42 | 59 | 74 | — | |||||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years.
* Per share data calculated using average number of shares outstanding throughout the period of being incurred.
** Amount represents less than $0.01 per share.
† As of December 31, 2002, the Series was in its Offering Period. Total return from commencement of operations was 0.00%.
†† Total return calculation began on March 13, 2003, the first day of the Guarantee Period. Total return for the entire calendar year was 7.50%.
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Selected data for a share of beneficial interest outstanding throughout each period.
Year Ended | March 13, | |||||||||||||
December 31, | 2003(1) to | |||||||||||||
December 31, | ||||||||||||||
2005 | 2004 | 2003 | ||||||||||||
Per Share Operating Performance: | ||||||||||||||
Net asset value, beginning of period | $ | 9.99 | 9.87 | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||
Net investment income | $ | 0.17 | * | 0.19 | 0.08 | |||||||||
Net realized and unrealized gain (loss) on investments | $ | (0.08 | ) | 0.04 | (0.21 | ) | ||||||||
Total from investment operations | $ | 0.09 | 0.23 | (0.13 | ) | |||||||||
Less distributions from: | ||||||||||||||
Net investment income | $ | 0.20 | 0.11 | — | ||||||||||
Total distributions | $ | 0.20 | 0.11 | — | ||||||||||
Net asset value, end of period | $ | 9.88 | 9.99 | 9.87 | ||||||||||
Total Return(2) | % | 0.88 | 2.34 | (1.50 | )** | |||||||||
Ratios and Supplemental Data: | ||||||||||||||
Net assets, end of period (000’s) | $ | 221,984 | 286,706 | 401,085 | ||||||||||
Ratios to average net assets: | ||||||||||||||
Net expenses after expense reimbursement(3)(4) | % | 0.80 | 0.96 | 0.94 | ||||||||||
Gross expenses prior to expense reimbursement(3) | % | 0.96 | 0.96 | 0.94 | ||||||||||
Net investment income after expense reimbursement(3)(4) | % | 1.67 | 1.50 | 1.39 | ||||||||||
Portfolio turnover rate | % | 32 | 37 | 29 | ||||||||||
(1) Commencement of operations.
(2) Total return is calculated assuming reinvestment of all dividends and capital gain distribution at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(3) Annualized for periods less than one year.
(4) The Investment Manager has agreed to limit expenses (excluding interest, taxes, brokerage and extraordinary expenses) subject to possible recoupment by ING Investments, LLC within three years.
* Per share data calculated using average number of shares outstanding throughout the period of being incurred.
** Total return calculation began on June 13, 2003, the first day of the Guarantee Period. Total return from commencement of operations was -1.30%.
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NOTE 1 — ORGANIZATION
Organization. The ING GET Fund (the “Fund”) is registered under the Investment Company Act of 1940 as an open-end management investment company. It was organized under the laws of Massachusetts as a business trust on March 9, 1987. Currently there are ten diversified Series of the Fund, ING GET Fund-Series L (“GET L”), ING GET Fund-Series M (“GET M”), ING GET Fund-Series N (“GET N”), ING GET Fund-Series P (“GET P”), ING GET Fund-Series Q (“GET Q”), ING GET Fund-Series R (“GET R”), ING GET Fund-Series S (“GET S”), ING GET Fund-Series T (“GET T”), ING GET Fund-Series U (“GET U”) and ING GET Fund-Series V (“GET V”), each a Series.
Each Series seeks to achieve maximum total return and minimal exposure of Series Assets to a market value loss, by participating, to the extent possible, in favorable equity market performance without compromising a minimum targeted rate of return (Targeted Return) during a specified five year period (Guarantee Period). If during the Guarantee Period the equity markets experience a major decline, the Series’ assets may become largely or entirely invested in the Fixed Component. Use of the Fixed Component reduces the Series’ ability to participate as fully in upward equity market movements, and therefore represents some loss of opportunity, or opportunity cost, compared to a portfolio that is more heavily invested in equities. The minimum Targeted Return for each Series is 1.5% per year over the Guarantee Period (except for GET U and GET V, which do not have a Targeted Return) before asset based contract charges and each Series’ cost of operations. Investors are guaranteed by ING Life Insurance & Annuity Company (“ILIAC”) their initial investment less certain maintenance charges only if an investor had remained in the Series from the beginning of the Guarantee Period to the end of the Guarantee Period. Investors receive a guarantee from ILIAC that on the maturity date they will receive no less than the value of their investment in a GET Series Fund as of the last day of the offering period, adjusted for certain charges. The value of dividends and distributions made by each GET Series Fund throughout the Guarantee Period is taken into account in determining whether, for purposes of the Guarantee, the value of a Shareholder’s investment on the Maturity Date is no less than the value of their investment as of the last day of the Offering Period. Amounts withdrawn prior to the Maturity Date do not get the benefit of the Guarantee. ILIAC does not guarantee that investors will earn the minimum target return.
Offering | Guarantee | Maturity | ||||||||||
Period | Period | Date | ||||||||||
GET L* | 12/14/00 – 03/14/01 | 03/15/01 – 03/14/06 | 03/14/06 | |||||||||
GET M* | 03/15/01 – 06/13/01 | 06/14/01 – 06/13/06 | 06/13/06 | |||||||||
GET N* | 06/14/01 – 09/17/01 | 09/18/01 – 09/15/06 | 09/15/06 | |||||||||
GET P* | 09/18/01 – 12/12/01 | 12/13/01 – 12/15/06 | 12/15/06 | |||||||||
GET Q* | 12/13/01 – 03/14/02 | 03/15/02 – 03/16/07 | 03/16/07 | |||||||||
GET R* | 03/15/02 – 06/13/02 | 06/14/02 – 06/15/07 | 06/15/07 | |||||||||
GET S* | 06/14/02 – 09/11/02 | 09/12/02 – 09/14/07 | 09/14/07 | |||||||||
GET T* | 09/12/02 – 12/11/02 | 12/12/02 – 12/14/07 | 12/14/07 | |||||||||
GET U* | 12/12/02 – 03/12/03 | 03/13/03 – 03/14/08 | 03/14/08 | |||||||||
GET V* | 03/13/03 – 06/12/03 | 06/13/03 – 06/13/08 | 06/13/08 |
* | Closed to new investors. |
Shares of the Series are offered to insurance company separate accounts that fund both annuity and life insurance contracts and certain tax-qualified retirement plans. At December 31, 2005, separate accounts of ILIAC and its affiliates held all the shares outstanding of each Series.
In accordance with the original fund prospectuses, GET L, GET M, GET N and GET P will liquidate on the Maturity Dates listed above. Accounting rules require that financial statements for entities in liquidation, or for which liquidation appears imminent, be prepared on a liquidation basis of accounting. As the U.S. generally accepted accounting principles for investment companies are materially consistent with the liquidation basis of accounting, the financial statements for GET L, GET M, GET N and GET P have been prepared in conformity with both accounting methods.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Series in the preparation of their financial statements, and such policies are in conformity with U.S. generally accepted accounting principles for investment companies.
A. | Security Valuation. Investments in equity securities traded on a national securities exchange are valued at the last reported sale price. Securities reported by NASDAQ are valued at the NASDAQ official closing prices. Securities traded on an exchange or NASDAQ for which there has been no sale and equity securities traded in the over-the-counter-market are valued at the mean between the last reported bid and ask prices. All investments quoted in foreign currencies will be valued daily in U.S. dollars on the basis of the foreign currency exchange rates prevailing at that time. Debt |
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securities are valued at prices obtained from independent services or from one or more dealers making markets in the securities and may be adjusted based on the Fund’s valuation procedures. U.S. Government obligations are valued by using market quotations or independent pricing services that use prices provided by market-makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. | |
Securities and assets for which market quotations are not readily available (which may include certain restricted securities which are subject to limitations as to their sale) are valued at their fair values as determined in good faith by or under the supervision of the Series’s Board of Trustees (“Board”), in accordance with methods that are specifically authorized by the Board. Securities traded on exchanges, including foreign exchanges, which close earlier than the time that a Series calculates its net asset value may also be valued at their fair values as determined in good faith by or under the supervision of the Series’ Board, in accordance with methods that are specifically authorized by the Board. The value of a foreign security traded on an exchange outside the United States is generally based on its price on the principal foreign exchange where it trades as of the time the Portfolio determines its NAV or if the foreign exchange closes prior to the time the Portfolio determines its NAV, the most recent closing price of the foreign security on its principal exchange. Trading in certain non-U.S. securities may not take place on all days on which the New York Stock Exchange (“NYSE”) is open. Further, trading takes place in various foreign markets on days on which the NYSE is not open. Consequently, the calculation of the Portfolio’s NAV may not take place contemporaneously with the determination of the prices of securities held by the Portfolio in foreign securities markets. Further, the value of the Portfolio’s assets may be significantly affected by foreign trading on days when a shareholder cannot purchase or redeem shares of the Portfolio. In calculating the Portfolio’s NAV, foreign securities denominated in foreign currency are converted to U.S. dollar equivalents. If an event occurs after the time at which the market for foreign securities held by the Series closes but before the time that the Series’ NAV is calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time the Series determines its NAV. In such a case, the Series will use the fair value of such securities as determined under the Series’ valuation procedures. Events after the close of trading on a foreign market that could require the Series to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security’s fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time a Series calculates its NAV. There can be no assurance that such models accurately reflect the behavior of the applicable markets or the effect of the behavior of such markets on the fair value of securities, or that such markets will continue to behave in a fashion that is consistent with such models. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment. Consequently, the fair value assigned to a security may not represent the actual value that the Series could obtain if it were to sell the security at the time of the close of the NYSE. Pursuant to procedures adopted by the Board, the Series is not obligated to use the fair valuations suggested by any research service, and valuation recommendations provided by such research services may be overridden if other events have occurred or if other fair valuations are determined in good faith to be more accurate. Unless an event is such that it causes the Series to determine that the closing prices for one or more securities do not represent readily available reliable market value quotations at the time the Series determines its NAV, events that occur between the time of the close of the foreign market on which they are traded and the close of regular trading on the NYSE will not be reflected in the Series’ NAV. Investments in securities maturing in 60 days or less from the date of valuation are valued at amortized cost, |
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which, when combined with accrued interest, approximates market value. | |
B. | Security Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Realized gains and losses are reported on the basis of identified cost of securities sold. Interest income is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date, or for certain foreign securities, when the information becomes available to the Series. Premium amortization and discount accretion are determined by the effective yield method. Dividend income is recorded on the ex-dividend date. |
C. | Foreign Currency Translation. The books and records of the Series are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis: |
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day. | |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
Although the net assets and the market values are presented at the foreign exchange rates at the end of the day, the Series do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the statement of assets and liabilities for the estimated tax withholding based on the securities current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax. | |
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Series’ books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. Government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. Government securities. | |
D. | Foreign Currency Transactions and Futures Contracts. Each Series may enter into foreign currency exchange transactions to convert to and from different foreign currencies and to and from the U.S. dollar in connection with the planned purchases or sales of securities. The Series either enter into these transactions on a spot basis at the spot rate prevailing in the foreign currency exchange market or use forward foreign currency contracts to purchase or sell foreign currencies. When the contract is fulfilled or closed, gains or losses are realized. Until then, the gain or loss is included in unrealized appreciation or depreciation. Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their forward contracts and from the potential inability of counterparties to meet the terms of their forward contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar. |
Each Series may enter into futures contracts involving foreign currency, interest rates, securities and securities indices. A futures contract obligates the seller of the contract to deliver and the purchaser of the contract to take delivery of the type of foreign currency, financial instrument or security called for in the contract at a specified future time for a specified price. Upon entering into such a contract, a Series is required to deposit and maintain as collateral |
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such initial margin as required by the exchange on which the contract is traded. Pursuant to the contract, a Series agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margins and are recorded as unrealized gains or losses by the Series. When the contract is closed, the Series records a realized gain or loss 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. For the year ended December 31, 2005, the Series did not invest in foreign currency transactions or futures. | |
E. | Distributions to Shareholders. The Series records distributions to their shareholders on ex-dividend date. Dividends from net investment income and capital gains, if any, are declared and paid annually by the Series. The Series may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principals for investment companies. |
F. | Federal Income Taxes. It is the policy of the Series to comply with subchapter M of the Internal Revenue Code and related excise tax provisions applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. No federal income tax provision is required. No capital gain distributions shall be made until any capital loss carryforwards have been fully utilized or expired. |
G. | Use of Estimates. Management of the Series has made certain estimates and assumptions relating to the reporting of assets, liabilities, income, and expenses to prepare these financial statements in conformity with U.S. generally accepted accounting principles. Actual results could differ from these estimates. |
H. | Repurchase Agreements. Each Series may invest in repurchase agreements only with government securities dealers recognized by the Board of Governors of the Federal Reserve System. Under such agreements, the seller of the security agrees to repurchase it at a mutually agreed upon time and price. The resale price is in excess of the purchase price and reflects an agreed upon interest rate for the period of time the agreement is outstanding. The period of the repurchase agreements is usually short, from overnight to one week, while the underlying securities generally have longer maturities. Each Series will receive as collateral cash or securities acceptable to it whose market value is equal to at least 100% of the carrying amount of the repurchase agreements, plus accrued interest, being invested by the Series. The underlying collateral is valued daily on a mark to market basis to assure that the value, including accrued interest is at least equal to the repurchase price. There would be potential loss to the Series in the event the Series is delayed or prevented from exercising its right to dispose of the collateral, and it might incur disposition costs in liquidating the collateral. |
I. | Illiquid and Restricted Securities. Each Series may not invest more than 15% of its net assets in illiquid securities. Illiquid securities are not readily marketable. Disposing of illiquid investments may involve time-consuming negotiation and legal expenses, and it may be difficult or impossible for the Series to sell them promptly at an acceptable price. Restricted securities are those sold under Rule 144A of the Securities Act of 1933 (“1933 Act”) or are securities offered pursuant to Section 4(2) of the 1933 Act, and are subject to legal or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Certain restricted securities may be considered liquid pursuant to guidelines approved by the Board or may be deemed to be illiquid because they may not be readily marketable. Illiquid and restricted securities are valued using market quotations when readily available. |
J. | Delayed Delivery Transactions. A Series may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The market value of such is identified in the Series’ Portfolio of Investments. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such |
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purchases, the Series are required to hold liquid assets as collateral with the Series’ custodian sufficient to cover the purchase price. |
NOTE 3 — INVESTMENT TRANSACTIONS
For the year ended December 31, 2005, the cost of purchases and proceeds from sales of securities, excluding U.S. Government and short-term securities, were as follows:
Purchases | Sales | |||||||
GET L | $ | 784,727 | $ | 935,511 | ||||
GET M | 3,090,704 | 3,241,999 | ||||||
GET N | 7,064,766 | 7,428,359 | ||||||
GET P | 6,801,633 | 12,219,296 | ||||||
GET Q | 18,587,482 | 24,157,241 | ||||||
GET R | 25,642,341 | 31,198,459 | ||||||
GET S | 38,039,474 | 38,865,262 | ||||||
GET T | 37,307,108 | 38,455,002 | ||||||
GET U | 35,571,510 | 44,238,702 | ||||||
GET V | 27,200,869 | 39,639,245 |
U.S. Government securities not included above were as follows:
Purchases | Sales | |||||||
GET L | $ | — | $ | 20,948,265 | ||||
GET M | — | 18,799,141 | ||||||
GET N | 12,213,159 | 32,974,723 | ||||||
GET P | 18,511,178 | 44,764,346 | ||||||
GET Q | 29,818,653 | 58,813,933 | ||||||
GET R | 22,101,531 | 56,426,585 | ||||||
GET S | 81,352,306 | 138,137,156 | ||||||
GET T | 41,804,284 | 79,340,875 | ||||||
GET U | 29,115,700 | 51,249,363 | ||||||
GET V | 53,556,000 | 109,031,159 |
NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
Each of the Series has entered into an Investment Management Agreement with ING Investments, LLC (the “Investment Manager”). The Investment Management Agreement compensates the Investment Manager with a fee, computed daily and payable monthly, based on the average daily net assets of each Series. The fee for each Series is 0.25% during its Offering Period and 0.60% during its Guarantee Period.
The Investment Manager has engaged ING Investment Management Co. (“ING IM”), an indirect, wholly-owned subsidiary of ING Groep, N.V., to serve as Sub-Adviser to the Series. ING IM is responsible for managing the assets of the Series in accordance with their investment objective and policies, subject to oversight by the Investment Manager. ING Groep is one of the largest financial services organizations in the world, and offers an array of banking, insurance and asset management services to both individual and institutional investors.
ING Funds Services, LLC (“IFS”) acts as administrator and provides certain administrative and shareholder services necessary for Series’ operations and is responsible for the supervision of other service providers. For its services, IFS is entitled to receive from each Series a fee at an annual rate of 0.055% on the first $5 billion of average daily net assets and 0.030% thereafter.
NOTE 5 — DISTRIBUTION AND SERVICE FEES
GET P, GET Q, GET R, GET S, GET T, GET U and GET V have adopted a distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the “12b-1 Plan”), whereby ING Funds Distributor, LLC (the “Distributor”) is reimbursed or compensated by the Series for expenses incurred in the distribution of each Series’ shares (“Distribution Fees”). Pursuant to the 12b-1 Plan, the Distributor is entitled to a payment each month to reimburse or compensate expenses for the distribution and promotion of each Series’ shares, including expenses incurred in printing prospectuses and reports used for sales purposes, expenses incurred in preparing and printing sales literature and other such distribution related expenses, including any distribution or shareholder servicing fees (“Service Fees”) paid to securities dealers who have executed a distribution agreement with the Distributor. Under the 12b-1 Plan, each Series pays the Distributor a Distribution Fee based on average daily net assets at the following rates:
GET P | 0.25 | % | ||
GET Q | 0.25 | % | ||
GET R | 0.25 | % | ||
GET S | 0.25 | % | ||
GET T | 0.25 | % | ||
GET U | 0.25 | % | ||
GET V | 0.25 | % |
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES
At December 31, 2005, the Series had the following amounts recorded in payable to affiliates on the
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accompanying Statements of Assets and Liabilities (see Notes 4 and 5):
Shareholder | ||||||||||||||||
Accrued | Accrued | Accrued | ||||||||||||||
Investment | Administrative | Services and | ||||||||||||||
Management | Service | Distribution | ||||||||||||||
Fees | Fees | Fees | Total | |||||||||||||
GET L | $ | 21,286 | $ | 1,951 | $ | — | $ | 23,237 | ||||||||
GET M | 31,147 | 2,855 | — | 34,002 | ||||||||||||
GET N | 33,059 | 3,030 | — | 36,089 | ||||||||||||
GET P | 52,867 | 4,846 | 22,028 | 79,741 | ||||||||||||
GET Q | 59,558 | 5,459 | 24,816 | 89,833 | ||||||||||||
GET R | 56,238 | 5,155 | 23,432 | 84,825 | ||||||||||||
GET S | 77,738 | 7,126 | 32,391 | 117,255 | ||||||||||||
GET T | 66,980 | 6,140 | 27,908 | 101,028 | ||||||||||||
GET U | 73,214 | 6,711 | 30,506 | 110,431 | ||||||||||||
GET V | 114,180 | 10,466 | 47,575 | 172,221 |
The Series have adopted a Deferred Compensation Plan (the “Plan”) which allows eligible non-affiliated Trustees as described in the Plan to defer the receipt of all or a portion of the trustees’ fees payable. The deferred fees are invested in various funds advised by ING Investments, LLC until distribution in accordance with the Plan.
At December 31, 2005, the following indirect, wholly owned subsidiaries of ING Groep owned the following Series:
ING Life Insurance and Annuity Company — Series L (100.00%); Series M (100.00%); Series N (77.50%); Series P (34.98%); Series Q (30.33%); Series R (23.46%); Series S (35.45%); Series T (18.72%); Series U (16.58%); and Series V (19.84%).
ING USA Annuity and Life Insurance Company — Series N (22.50%); Series P (65.02%); Series Q (69.67%); Series R (76.54%); Series S (64.55%); Series T (81.28%); Series U (83.42%); and Series V (80.16%).
NOTE 7 — OTHER ACCRUED EXPENSES AND LIABILITIES
At December 31, 2005, the Series had the following payables included in Other Accrued Expenses and Liabilities on the Statements of Assets and Liabilities that exceeded 5% of total liabilities.
Payable for | ||||||||||||
Payable for | Payable for | Shareholder | ||||||||||
Custody | Professional | Reporting | ||||||||||
Fees | Fees | Expense | ||||||||||
GET L | $ | 5,295 | $ | 7,191 | $ | 9,109 | ||||||
GET M | 5,120 | 10,723 | 10,163 | |||||||||
GET N | 4,341 | 10,223 | 7,654 | |||||||||
GET P | 6,809 | 12,606 | 17,112 | |||||||||
GET Q | 6,870 | 14,748 | 19,756 | |||||||||
GET R | 8,492 | 13,322 | 13,762 | |||||||||
GET S | 10,903 | 23,185 | 17,869 | |||||||||
GET T | 11,785 | 20,271 | 10,299 | |||||||||
GET U | 10,428 | 20,376 | 11,329 | |||||||||
GET V | 12,430 | 31,684 | 20,732 |
NOTE 8 — EXPENSE LIMITATIONS
ING Investments, LLC entered into written Expense Limitation Agreements with each Series whereby, the Investment Manager has agreed to limit expenses, excluding interest, taxes, brokerage and extraordinary expenses during the Guarantee Period to the levels listed below:
Maximum Operating Expense Limit | ||||
(as a percentage of average net assets) | ||||
GET L | 0.55 | % | ||
GET M | 0.55 | |||
GET N | 0.55 | |||
GET P | 0.80 | |||
GET Q | 0.80 | |||
GET R | 0.80 | |||
GET S | 0.80 | |||
GET T | 0.80 | |||
GET U | 0.80 | |||
GET V | 0.80 |
The Investment Manager may at a later date recoup from a Series for management fees waived and other expenses assumed by the Investment Manager during the previous 36 months, but only if, after such reimbursement, the Series’ expense ratio does not exceed the percentage described above. Pursuant to a voluntary agreement effective January 1, 2005, amounts waived will not be recouped. Waived and reimbursed fees, net of any recoupment by the Investment Manager of such waived and reimbursed fees, are reflected on the accompanying Statements of Operations for each Series. Amounts payable by the Investment Manager are reflected in the Statements of Assets and Liabilities for each Series.
As of December 31, 2005, GET L had $9,711 available for possible recoupment, respectively. The amount of possible recoupment will expire on the Series’ maturity date of March 14, 2006.
The Expense Limitation Agreements are contractual and shall renew automatically for one-year terms unless ING Investments, LLC provides written notice of the termination of the Expense Limitation Agreements within 90 days of the end of the then current term.
NOTE 9 — LINE OF CREDIT
The Series in addition to certain other funds managed by the Investment Manager, have entered into an unsecured committed revolving line of credit agreement (the “Credit Agreement“) with Citibank, N.A. for an aggregate amount of $100,000,000. The proceeds may be used to: (1) temporarily finance the purchase and sale of securities; (2) finance the redemption of shares of an investor in the funds; and
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(3) enable the funds to meet other emergency expenses as defined in the Credit Agreement. The funds to which the line of credit is available pay a commitment fee equal to 0.09% per annum on the daily unused portion of the committed line amount. Each of the Series will pay its pro rata share of both the agent and commitment fee. Generally, borrowings under the Credit Agreement accrue interest at the Federal Funds Rate plus a specified margin. Repayments generally must be made within 30 days after the date of a revolving credit advance. For the year ended December 31, 2005, the Series did not utilize the line of credit.
NOTE 10 — | CAPITAL SHARES |
Transactions in capital shares and dollars were as follows:
GET Fund — Series L | GET Fund — Series M | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
(Number of Shares) | ||||||||||||||||
Dividends reinvested | 186,143 | 248,015 | 335,734 | 382,677 | ||||||||||||
Shares redeemed | (1,344,190 | ) | (1,565,026 | ) | (1,826,516 | ) | (1,871,956 | ) | ||||||||
Net decrease in shares outstanding | (1,158,047 | ) | (1,317,011 | ) | (1,490,782 | ) | (1,489,279 | ) | ||||||||
($) | ||||||||||||||||
Dividends reinvested | $ | 1,759,054 | $ | 2,405,744 | $ | 3,162,615 | $ | 3,723,446 | ||||||||
Shares redeemed | (12,989,445 | ) | (15,696,441 | ) | (17,622,134 | ) | (18,774,905 | ) | ||||||||
Net decrease | $ | (11,230,391 | ) | $ | (13,290,697 | ) | $ | (14,459,519 | ) | $ | (15,051,459 | ) | ||||
GET Fund — Series N | GET Fund — Series P | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
(Number of Shares) | ||||||||||||||||
Dividends reinvested | 281,141 | 313,040 | 452,104 | 545,533 | ||||||||||||
Shares redeemed | (1,832,312 | ) | (2,028,424 | ) | (3,220,615 | ) | (3,666,906 | ) | ||||||||
Net decrease in shares outstanding | (1,551,171 | ) | (1,715,384 | ) | (2,768,511 | ) | (3,121,373 | ) | ||||||||
($) | ||||||||||||||||
Dividends reinvested | $ | 2,741,129 | $ | 3,108,483 | $ | 4,389,931 | $ | 5,406,227 | ||||||||
Shares redeemed | (18,222,831 | ) | (20,658,266 | ) | (31,900,754 | ) | (37,526,523 | ) | ||||||||
Net decrease | $ | (15,481,702 | ) | $ | (17,549,783 | ) | $ | (27,510,823 | ) | $ | (32,120,296 | ) | ||||
GET Fund — Series Q | GET Fund — Series R | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
(Number of Shares) | ||||||||||||||||
Dividends reinvested | 510,545 | 570,172 | 744,886 | 487,206 | ||||||||||||
Shares redeemed | (3,414,565 | ) | (3,253,745 | ) | (3,838,118 | ) | (2,865,529 | ) | ||||||||
Net decrease in shares outstanding | (2,904,020 | ) | (2,683,573 | ) | (3,093,232 | ) | (2,378,323 | ) | ||||||||
($) | ||||||||||||||||
Dividends reinvested | $ | 5,100,348 | $ | 5,804,349 | $ | 7,486,103 | $ | 5,052,323 | ||||||||
Shares redeemed | (34,867,951 | ) | (34,099,980 | ) | (39,672,821 | ) | (30,479,231 | ) | ||||||||
Net decrease | $ | (29,767,603 | ) | $ | (28,295,631 | ) | $ | (32,186,718 | ) | $ | (25,426,908 | ) | ||||
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NOTE 10 — | CAPITAL SHARES (continued) |
GET Fund — Series S | GET Fund — Series T | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
(Number of Shares) | ||||||||||||||||
Dividends reinvested | 993,510 | 920,432 | 911,176 | 775,682 | ||||||||||||
Shares redeemed | (5,630,605 | ) | (4,937,729 | ) | (3,820,599 | ) | (3,246,974 | ) | ||||||||
Net decrease in shares outstanding | (4,637,095 | ) | (4,017,297 | ) | (2,909,423 | ) | (2,471,292 | ) | ||||||||
($) | ||||||||||||||||
Dividends reinvested | $ | 9,855,616 | $ | 9,379,204 | $ | 8,993,307 | $ | 7,919,714 | ||||||||
Shares redeemed | (57,187,372 | ) | (52,124,639 | ) | (38,650,737 | ) | (34,479,696 | ) | ||||||||
Net decrease | $ | (47,331,756 | ) | $ | (42,745,435 | ) | $ | (29,657,430 | ) | $ | (26,559,982 | ) | ||||
GET Fund — Series U | GET Fund — Series V | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
(Number of Shares) | ||||||||||||||||
Dividends reinvested | 1,206,560 | 1,110,943 | 503,594 | 356,108 | ||||||||||||
Shares redeemed | (3,131,266 | ) | (3,240,723 | ) | (6,727,708 | ) | (12,315,461 | ) | ||||||||
Net decrease in shares outstanding | (1,924,706 | ) | (2,129,780 | ) | (6,224,114 | ) | (11,959,353 | ) | ||||||||
($) | ||||||||||||||||
Dividends reinvested | $ | 11,595,042 | $ | 11,187,192 | $ | 4,945,298 | $ | 3,464,926 | ||||||||
Shares redeemed | (31,422,493 | ) | (34,267,953 | ) | (66,524,803 | ) | (122,698,741 | ) | ||||||||
Net decrease | $ | (19,827,451 | ) | $ | (23,080,761 | ) | $ | (61,579,505 | ) | $ | (119,233,815 | ) | ||||
NOTE 11 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as distributions of paid-in capital.
The following permanent tax differences have been reclassified as of December 31, 2005:
Undistributed | ||||||||
Net Investment | Accumulated | |||||||
Income on | Net Realized | |||||||
Investments | Gains/(Losses) | |||||||
GET L | $ | (120 | ) | $ | 120 | |||
GET M | (403 | ) | 403 | |||||
GET N | (1,048 | ) | 1,048 | |||||
GET P | (1,220 | ) | 1,220 | |||||
GET Q | (2,454 | ) | 2,454 | |||||
GET R | (3,569 | ) | 3,569 | |||||
GET S | (4,860 | ) | 4,860 | |||||
GET T | (4,364 | ) | 4,364 | |||||
GET U | (5,341 | ) | 5,341 | |||||
GET V | (4,344 | ) | 4,344 |
Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
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The tax composition of dividends and distributions to shareholders was as follows:
Year Ended | Year Ended | |||||||||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Ordinary | Long-Term | Ordinary | Long-Term | |||||||||||||
Income | Capital Gains | Income | Capital Gains | |||||||||||||
GET L | $ | 1,759,054 | $ | — | $ | 2,405,744 | $ | — | ||||||||
GET M | 3,162,615 | — | 3,723,446 | — | ||||||||||||
GET N | 2,741,129 | — | 3,108,483 | — | ||||||||||||
GET P | 4,389,931 | — | 5,406,227 | — | ||||||||||||
GET Q | 5,100,348 | — | 5,804,349 | — | ||||||||||||
GET R | 4,566,293 | 2,919,810 | 5,052,323 | — | ||||||||||||
GET S | 4,986,069 | 4,869,547 | 8,495,730 | 883,474 | ||||||||||||
GET T | 4,657,402 | 4,335,905 | 7,887,210 | 32,504 | ||||||||||||
GET U | 6,288,086 | 5,306,956 | 11,163,878 | 23,314 | ||||||||||||
GET V | 4,945,298 | — | 3,464,926 | — |
The tax-basis components of distributable earnings and the expiration dates of the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2005 were:
Post-October | ||||||||||||||||||||||||
Undistributed | Undistributed | Unrealized | Capital | |||||||||||||||||||||
Ordinary | Long-Term | Appreciation/ | Losses | Capital Loss | Expiration | |||||||||||||||||||
Income | Capital Gain | (Depreciation) | Deferred | Carryforwards | Dates | |||||||||||||||||||
GET L | $ | 1,551,071 | $ | — | $ | (31,226 | ) | $ | — | $ | (4,177,585 | ) | 2010 | |||||||||||
GET M | 2,585,156 | — | 173,561 | — | $ | (1,041,200 | ) | 2009 | ||||||||||||||||
(5,625,768 | ) | 2010 | ||||||||||||||||||||||
$ | (6,666,968 | ) | ||||||||||||||||||||||
GET N | 2,271,339 | — | 413,513 | — | $ | (2,459,648 | ) | 2010 | ||||||||||||||||
(489,400 | ) | 2011 | ||||||||||||||||||||||
$ | (2,949,048 | ) | ||||||||||||||||||||||
GET P | 3,536,994 | — | 31,810 | — | $ | (4,185,668 | ) | 2010 | ||||||||||||||||
GET Q | 4,135,343 | 133,398 | 734,715 | — | — | — | ||||||||||||||||||
GET R | 3,527,858 | 2,349,898 | 1,113,378 | — | — | — | ||||||||||||||||||
GET S | 4,365,507 | 1,126,569 | 2,367,884 | — | — | — | ||||||||||||||||||
GET T | 3,792,465 | 2,017,020 | 475,677 | (183,184 | ) | — | — | |||||||||||||||||
GET U | 3,473,307 | 1,289,490 | 36,765 | — | — | — | ||||||||||||||||||
GET V | 4,208,340 | — | (8,650,998 | ) | — | $ | (944,787 | ) | 2011 | |||||||||||||||
(135,661 | ) | 2012 | ||||||||||||||||||||||
(598,643 | ) | 2013 | ||||||||||||||||||||||
$ | (1,679,091 | ) | ||||||||||||||||||||||
NOTE 12 — INFORMATION REGARDING TRADING OF ING’S U.S. MUTUAL FUNDS
In 2004 ING Investments has reported to the Boards of Directors/ Trustees (the “Boards”) of the ING Funds that, like many U.S. financial services companies, ING Investments and certain of its U.S. affiliates have received informal and formal requests for information since September 2003 from various governmental and self-regulatory agencies in connection with investigations related to mutual funds and variable insurance products. ING Investments has advised the Boards that it and its affiliates have cooperated fully with each request.
In addition to responding to regulatory and governmental requests, ING Investments reported that management of U.S. affiliates of ING Groep N.V., including ING Investments (collectively, “ING”), on their own initiative, have conducted, through independent special counsel and a national accounting firm, an extensive internal review of trading in ING insurance, retirement, and mutual fund products. The goal of this review was to identify any instances of inappropriate trading in those products by third parties or by ING investment professionals and other ING personnel. ING’s internal review related to mutual fund trading is now substantially completed. ING has reported that, of the millions of customer relationships that ING maintains, the internal review identified several isolated arrangements allowing third parties to engage in frequent trading of mutual funds within ING’s
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variable insurance and mutual fund products, and identified other circumstances where frequent trading occurred, despite measures taken by ING intended to combat market timing. ING further reported that each of these arrangements has been terminated and fully disclosed to regulators. The results of the internal review were also reported to the independent members of the Board.
ING Investments has advised the Board that most of the identified arrangements were initiated prior to ING’s acquisition of the businesses in question in the U.S. ING Investments further reported that the companies in question did not receive special benefits in return for any of these arrangements, which have all been terminated.
Based on the internal review, ING Investments has advised the Board that the identified arrangements do not represent a systemic problem in any of the companies that were involved.
In September 2005, ING Funds Distributor, LLC (“IFD”), the distributor of certain ING Funds, settled an administrative proceeding with the NASD regarding three arrangements, dating from 1995, 1996 and 1998, under which the administrator to the then-Pilgrim Funds, which subsequently became part of the ING Funds, entered into formal and informal arrangements that permitted frequent trading. Under the terms of the Letter of Acceptance, Waiver and Consent (“AWC”) with the NASD, under which IFD neither admitted nor denied the allegations or findings, IFD consented to the following sanctions: (i) a censure; (ii) a fine of $1.5 million; (iii) restitution of approximately $1.44 million to certain ING Funds for losses attributable to excessive trading described in the AWC; and (iv) agreement to make certification to NASD regarding the review and establishment of certain procedures.
In addition to the arrangements discussed above, in 2004 ING Investments reported to the Board that, at that time, these instances include the following, in addition to the arrangements subject to the AWC discussed above:
• | Aeltus Investment Management, Inc. (a predecessor entity to ING Investment Management Co.) has identified two investment professionals who engaged in extensive frequent trading in certain ING Funds. One was subsequently terminated for cause and incurred substantial financial penalties in connection with this conduct and the second has been disciplined. |
• | ReliaStar Life Insurance Company (“ReliaStar”) entered into agreements seven years ago permitting the owner of policies issued by the insurer to engage in frequent trading and to submit orders until 4pm Central Time. In 2001 ReliaStar also entered into a selling agreement with a broker-dealer that engaged in frequent trading. Employees of ING affiliates were terminated and/or disciplined in connection with these matters. |
• | In 1998, Golden American Life Insurance Company entered into arrangements permitting a broker-dealer to frequently trade up to certain specific limits in a fund available in an ING variable annuity product. No employee responsible for this arrangement remains at the company. |
For additional information regarding these matters, you may consult the Form 8-K and Form 8-K/ A for each of four life insurance companies, ING USA Annuity and Life Insurance Company, ING Life Insurance and Annuity Company, ING Insurance Company of America, and ReliaStar Life Insurance Company of New York, each filed with the Securities and Exchange Commission (the “SEC”) on October 29, 2004 and September 8, 2004. These Forms 8-K and Forms 8-K/ A can be accessed through the SEC’s Web site at http://www.sec.gov. Despite the extensive internal review conducted through independent special counsel and a national accounting firm, there can be no assurance that the instances of inappropriate trading reported to the Board are the only instances of such trading respecting the ING Funds.
ING Investments reported to the Board that ING is committed to conducting its business with the highest standards of ethical conduct with zero tolerance for noncompliance. Accordingly, ING Investments advised the Board that ING management was disappointed that its voluntary internal review identified these situations. Viewed in the context of the breadth and magnitude of its U.S. business as a whole, ING management does not believe that ING’s acquired companies had systemic ethical or compliance issues in these areas. Nonetheless, ING Investments reported that given ING’s refusal to tolerate any lapses, it has taken the steps noted below, and will continue to seek opportunities to further strengthen the internal controls of its affiliates.
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• | ING has agreed with the ING Funds to indemnify and hold harmless the ING Funds from all damages resulting from wrongful conduct by ING or its employees or from ING’s internal investigation, any investigations conducted by any governmental or self-regulatory agencies, litigation or other formal proceedings, including any proceedings by the Securities and Exchange Commission. ING Investments reported to the Board that ING management believes that the total amount of any indemnification obligations will not be material to ING or its U.S. business. |
• | ING updated its Code of Conduct for employees reinforcing its employees’ obligation to conduct personal trading activity consistent with the law, disclosed limits, and other requirements. |
• | The ING Funds, upon a recommendation from ING, updated their respective Codes of Ethics applicable to investment professionals with ING entities and certain other fund personnel, requiring such personnel to pre-clear any purchases or sales of ING Funds that are not systematic in nature (i.e., dividend reinvestment), and imposing minimum holding periods for shares of ING Funds. |
• | ING instituted excessive trading policies for all customers in its variable insurance and retirement products and for shareholders of the ING Funds sold to the public through financial intermediaries. ING does not make exceptions to these policies. |
• | ING reorganized and expanded its U.S. Compliance Department, and created an Enterprise Compliance team to enhance controls and consistency in regulatory compliance. |
As has been widely reported in the media, the New York Attorney General’s office (“NYAG”) is conducting broad investigations regarding insurance quoting and brokerage practices. ING U.S. has been subpoenaed in this regard, and is cooperating fully with these NYAG requests for information.
ING U.S. believes that its practices are consistent with our business principles and our commitment to our customers.
At this time, in light of the current regulatory factors, ING U.S. is actively engaged in reviewing whether any modifications in our practices are appropriate for the future.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased fund redemptions, reduced sale of fund shares, or other adverse consequences to ING Funds.
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Shares | ||||||||||
Value | ||||||||||
COMMON STOCK: 2.6% | ||||||||||
Advertising: 0.0% | ||||||||||
40 | @ | Interpublic Group of Cos., Inc. | $ | 386 | ||||||
18 | Omnicom Group | 1,532 | ||||||||
1,918 | ||||||||||
Aerospace/ Defense: 0.1% | ||||||||||
98 | Boeing Co. | 6,884 | ||||||||
25 | General Dynamics Corp. | 2,851 | ||||||||
10 | Goodrich Corp. | 411 | ||||||||
10 | L-3 Communications Holdings, Inc. | 744 | ||||||||
57 | Lockheed Martin Corp. | 3,627 | ||||||||
33 | Northrop Grumman Corp. | 1,984 | ||||||||
54 | Raytheon Co. | 2,168 | ||||||||
25 | Rockwell Collins, Inc. | 1,162 | ||||||||
95 | United Technologies Corp. | 5,311 | ||||||||
25,142 | ||||||||||
Agriculture: 0.1% | ||||||||||
184 | Altria Group, Inc. | 13,748 | ||||||||
102 | Archer-Daniels-Midland Co. | 2,515 | ||||||||
27 | Monsanto Co. | 2,093 | ||||||||
11 | Reynolds America, Inc. | 1,049 | ||||||||
20 | UST, Inc. | 817 | ||||||||
20,222 | ||||||||||
Airlines: 0.0% | ||||||||||
62 | Southwest Airlines Co. | 1,019 | ||||||||
1,019 | ||||||||||
Apparel: 0.0% | ||||||||||
60 | @ | Coach, Inc. | 2,000 | |||||||
10 | Jones Apparel Group, Inc. | 307 | ||||||||
10 | Liz Claiborne, Inc. | 358 | ||||||||
24 | Nike, Inc. | 2,083 | ||||||||
4 | Reebok International Ltd. | 233 | ||||||||
16 | VF Corp. | 885 | ||||||||
5,866 | ||||||||||
Auto Manufacturers: 0.0% | ||||||||||
285 | Ford Motor Co. | 2,200 | ||||||||
10 | @ | Navistar International Corp. | 286 | |||||||
2,486 | ||||||||||
Auto Parts & Equipment: 0.0% | ||||||||||
20 | @ | Goodyear Tire & Rubber Co. | 348 | |||||||
20 | Johnson Controls, Inc. | 1,458 | ||||||||
1,806 | ||||||||||
Banks: 0.2% | ||||||||||
40 | AmSouth Bancorp | 1,048 | ||||||||
481 | Bank of America Corp. | 22,198 | ||||||||
73 | Bank of New York | 2,325 | ||||||||
65 | BB&T Corp. | 2,724 | ||||||||
16 | Comerica, Inc. | 908 | ||||||||
10 | Compass Bancshares, Inc. | 483 | ||||||||
10 | First Horizon National Corp. | 384 | ||||||||
19 | Huntington Bancshares, Inc. | 451 | ||||||||
37 | Keycorp | 1,218 | ||||||||
10 | M&T Bank Corp. | 1,091 | ||||||||
20 | Marshall & Ilsley Corp. | 861 | ||||||||
39 | Mellon Financial Corp. | 1,336 | ||||||||
52 | National City Corp. | 1,746 | ||||||||
20 | Northern Trust Corp. | 1,036 | ||||||||
30 | PNC Financial Services Group, Inc. | 1,855 | ||||||||
41 | Regions Financial Corp. | 1,401 | ||||||||
30 | State Street Corp. | 1,663 | ||||||||
34 | SunTrust Banks, Inc. | 2,474 | ||||||||
26 | Synovus Financial Corp. | 702 | ||||||||
172 | US BanCorp. | 5,141 | ||||||||
147 | Wachovia Corp. | 7,770 | ||||||||
152 | Wells Fargo & Co. | 9,550 | ||||||||
10 | Zions Bancorporation | 756 | ||||||||
69,121 | ||||||||||
Beverages: 0.1% | ||||||||||
69 | Anheuser-Busch Cos., Inc. | 2,964 | ||||||||
9 | Brown-Forman Corp. | 624 | ||||||||
259 | Coca-Cola Co. | 10,440 | ||||||||
30 | Coca-Cola Enterprises, Inc. | 575 | ||||||||
20 | @ | Constellation Brands, Inc. | 525 | |||||||
20 | Pepsi Bottling Group, Inc. | 572 | ||||||||
256 | PepsiCo, Inc. | 15,124 | ||||||||
30,824 | ||||||||||
Biotechnology: 0.0% | ||||||||||
114 | @ | Amgen, Inc. | 8,990 | |||||||
6 | @ | Biogen Idec, Inc. | 272 | |||||||
10 | @ | Chiron Corp. | 445 | |||||||
21 | @ | Genzyme Corp. | 1,486 | |||||||
4 | @ | Millipore Corp. | 264 | |||||||
11,457 | ||||||||||
Building Materials: 0.0% | ||||||||||
20 | American Standard Cos, Inc. | 799 | ||||||||
39 | Masco Corp. | 1,177 | ||||||||
10 | Vulcan Materials Co. | 678 | ||||||||
2,654 | ||||||||||
Chemicals: 0.0% | ||||||||||
20 | Air Products & Chemicals, Inc. | 1,184 | ||||||||
95 | Dow Chemical Co. | 4,163 | ||||||||
10 | Eastman Chemical Co. | 516 | ||||||||
20 | Ecolab, Inc. | 725 | ||||||||
85 | EI Du Pont de Nemours & Co. | 3,613 | ||||||||
10 | Engelhard Corp. | 302 | ||||||||
10 | International Flavors & Fragrances, Inc. | 335 | ||||||||
29 | PPG Industries, Inc. | 1,679 | ||||||||
30 | Praxair, Inc. | 1,589 | ||||||||
20 | Rohm & Haas Co. | 968 | ||||||||
10 | Sherwin-Williams Co. | 454 | ||||||||
10 | Sigma-Aldrich Corp. | 633 | ||||||||
16,161 | ||||||||||
Commercial Services: 0.0% | ||||||||||
93 | Cendant Corp. | 1,604 | ||||||||
20 | Equifax, Inc. | 760 | ||||||||
49 | H&R Block, Inc. | 1,203 | ||||||||
49 | McKesson Corp. | 2,528 | ||||||||
22 | Moody’s Corp. | 1,351 | ||||||||
33 | Paychex, Inc. | 1,258 | ||||||||
20 | Robert Half International, Inc. | 758 | ||||||||
20 | RR Donnelley & Sons Co. | 684 | ||||||||
10,146 | ||||||||||
Computers: 0.1% | ||||||||||
11 | @ | Affiliated Computer Services, Inc. | 651 | |||||||
130 | @ | Apple Computer, Inc. | 9,346 | |||||||
4 | @ | Computer Sciences Corp. | 203 | |||||||
361 | @ | Dell, Inc. | 10,826 | |||||||
10 | Electronic Data Systems Corp. | 240 | ||||||||
300 | EMC Corp. | 4,086 | ||||||||
263 | Hewlett-Packard Co. | 7,530 | ||||||||
146 | International Business Machines Corp. | 12,001 | ||||||||
10 | @ | Lexmark International, Inc. | 448 | |||||||
17 | @ | NCR Corp. | 577 | |||||||
31 | @ | Network Appliance, Inc. | 837 |
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Shares | ||||||||||
Value | ||||||||||
Computers: (continued) | ||||||||||
61 | @ | Sun Microsystems, Inc. | $ | 256 | ||||||
40 | @ | Unisys Corp. | 233 | |||||||
47,234 | ||||||||||
Cosmetics/ Personal Care: 0.1% | ||||||||||
63 | Colgate-Palmolive Co. | 3,456 | ||||||||
307 | Procter & Gamble Co. | 17,769 | ||||||||
21,225 | ||||||||||
Distribution/ Wholesale: 0.0% | ||||||||||
23 | Genuine Parts Co. | 1,010 | ||||||||
10 | WW Grainger, Inc. | 711 | ||||||||
1,721 | ||||||||||
Diversified Financial Services: 0.2% | ||||||||||
117 | American Express Co. | 6,021 | ||||||||
23 | Ameriprise Financial, Inc. | 943 | ||||||||
10 | Bear Stearns Cos, Inc. | 1,155 | ||||||||
27 | Capital One Financial Corp. | 2,333 | ||||||||
94 | Charles Schwab Corp. | 1,379 | ||||||||
18 | CIT Group, Inc. | 932 | ||||||||
458 | Citigroup, Inc. | 22,227 | ||||||||
11 | Countrywide Financial Corp. | 376 | ||||||||
30 | @ | E*Trade Financial Corp. | 626 | |||||||
91 | Fannie Mae | 4,442 | ||||||||
7 | Federated Investors, Inc. | 259 | ||||||||
15 | Franklin Resources, Inc. | 1,410 | ||||||||
56 | Goldman Sachs Group, Inc. | 7,152 | ||||||||
310 | JPMorgan Chase & Co. | 12,304 | ||||||||
35 | Lehman Brothers Holdings, Inc. | 4,486 | ||||||||
118 | MBNA Corp. | 3,205 | ||||||||
110 | Merrill Lynch & Co., Inc. | 7,450 | ||||||||
97 | Morgan Stanley | 5,504 | ||||||||
40 | SLM Corp. | 2,204 | ||||||||
10 | T. Rowe Price Group, Inc. | 720 | ||||||||
85,128 | ||||||||||
Electric: 0.1% | ||||||||||
61 | @ | AES Corp. | 966 | |||||||
20 | @ | Allegheny Energy, Inc. | 633 | |||||||
4 | Ameren Corp. | 205 | ||||||||
40 | American Electric Power Co., Inc. | 1,484 | ||||||||
30 | CenterPoint Energy Resources Corp. | 386 | ||||||||
18 | Cinergy Corp. | 764 | ||||||||
30 | @ | CMS Energy Corp. | 435 | |||||||
20 | Consolidated Edison, Inc. | 927 | ||||||||
20 | Constellation Energy Group, Inc. | 1,152 | ||||||||
31 | Dominion Resources, Inc. | 2,393 | ||||||||
15 | DTE Energy Co. | 648 | ||||||||
90 | Duke Energy Corp. | 2,471 | ||||||||
41 | Edison International | 1,788 | ||||||||
35 | FirstEnergy Corp. | 1,715 | ||||||||
36 | FPL Group, Inc. | 1,496 | ||||||||
25 | NiSource, Inc. | 522 | ||||||||
40 | Pacific Gas & Electric Co. | 1,485 | ||||||||
10 | Pinnacle West Capital Corp. | 414 | ||||||||
40 | PPL Corp. | 1,176 | ||||||||
22 | Progress Energy, Inc. | 966 | ||||||||
20 | Public Service Enterprise Group, Inc. | 1,299 | ||||||||
67 | Southern Co. | 2,314 | ||||||||
33 | TECO Energy, Inc. | 567 | ||||||||
80 | TXU Corp. | 4,015 | ||||||||
37 | Xcel Energy, Inc. | 683 | ||||||||
30,904 | ||||||||||
Electrical Components & Equipment: 0.0% | ||||||||||
15 | American Power Conversion | 330 | ||||||||
49 | Emerson Electric Co. | 3,660 | ||||||||
3,990 | ||||||||||
Electronics: 0.0% | ||||||||||
61 | @ | Agilent Technologies, Inc. | 2,031 | |||||||
20 | Applera Corp. — Applied Biosystems Group | 531 | ||||||||
20 | @ | Jabil Circuit, Inc. | 742 | |||||||
20 | PerkinElmer, Inc. | 471 | ||||||||
44 | @ | Sanmina-SCI Corp. | 187 | |||||||
163 | @ | Solectron Corp. | 597 | |||||||
20 | @ | Thermo Electron Corp. | 603 | |||||||
10 | @ | Waters Corp. | 378 | |||||||
5,540 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
2 | Fluor Corp. | 155 | ||||||||
155 | ||||||||||
Entertainment: 0.0% | ||||||||||
31 | International Game Technology | 954 | ||||||||
954 | ||||||||||
Environmental Control: 0.0% | ||||||||||
50 | Waste Management, Inc. | 1,518 | ||||||||
1,518 | ||||||||||
Food: 0.0% | ||||||||||
17 | Campbell Soup Co. | 506 | ||||||||
46 | ConAgra Foods, Inc. | 933 | ||||||||
43 | General Mills, Inc. | 2,121 | ||||||||
20 | Hershey Foods Corp. | 1,105 | ||||||||
30 | HJ Heinz Co. | 1,012 | ||||||||
30 | Kellogg Co. | 1,297 | ||||||||
60 | @ | Kroger Co. | 1,133 | |||||||
10 | McCormick & Co., Inc. | 309 | ||||||||
50 | Safeway, Inc. | 1,183 | ||||||||
69 | Sara Lee Corp. | 1,304 | ||||||||
20 | Supervalu, Inc. | 650 | ||||||||
23 | Tyson Foods, Inc. | 393 | ||||||||
19 | WM Wrigley Jr. Co. | 1,263 | ||||||||
13,209 | ||||||||||
Forest Products & Paper: 0.0% | ||||||||||
10 | Louisiana-Pacific Corp. | 275 | ||||||||
20 | MeadWestvaco Corp. | 561 | ||||||||
16 | Plum Creek Timber Co., Inc. | 577 | ||||||||
10 | Temple-Inland, Inc. | 449 | ||||||||
23 | Weyerhaeuser Co. | 1,526 | ||||||||
3,388 | ||||||||||
Gas: 0.0% | ||||||||||
31 | Sempra Energy | 1,390 | ||||||||
1,390 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
8 | Black & Decker Corp. | 696 | ||||||||
10 | Stanley Works | 480 | ||||||||
1,176 | ||||||||||
Healthcare — Products: 0.1% | ||||||||||
4 | Bausch & Lomb, Inc. | 272 | ||||||||
57 | Baxter International, Inc. | 2,146 | ||||||||
24 | Becton Dickinson & Co. | 1,442 | ||||||||
54 | @ | Boston Scientific Corp. | 1,322 | |||||||
10 | CR Bard, Inc. | 659 | ||||||||
31 | Guidant Corp. | 2,007 | ||||||||
264 | Johnson & Johnson | 15,866 | ||||||||
111 | Medtronic, Inc. | 6,390 |
56
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Healthcare — Products: (continued) | ||||||||||
30 | St. Jude Medical, Inc. | $ | 1,506 | |||||||
25 | Stryker Corp. | 1,111 | ||||||||
32,721 | ||||||||||
Healthcare — Services: 0.1% | ||||||||||
45 | Aetna, Inc. | 4,244 | ||||||||
27 | @ | Coventry Health Care, Inc. | 1,538 | |||||||
27 | @ | Humana, Inc. | 1,467 | |||||||
10 | @ | Laboratory Corp. of America Holdings | 539 | |||||||
151 | UnitedHealth Group, Inc. | 9,383 | ||||||||
97 | @ | WellPoint, Inc. | 7,740 | |||||||
24,911 | ||||||||||
Home Builders: 0.0% | ||||||||||
12 | Lennar Corp. | 732 | ||||||||
732 | ||||||||||
Household Products/ Wares: 0.0% | ||||||||||
14 | Clorox Co. | 796 | ||||||||
13 | Fortune Brands, Inc. | 1,014 | ||||||||
45 | Kimberly-Clark Corp. | 2,684 | ||||||||
4,494 | ||||||||||
Housewares: 0.0% | ||||||||||
30 | Newell Rubbermaid, Inc. | 713 | ||||||||
713 | ||||||||||
Insurance: 0.2% | ||||||||||
28 | @@ | ACE Ltd | 1,496 | |||||||
47 | Aflac, Inc. | 2,182 | ||||||||
60 | Allstate Corp. | 3,244 | ||||||||
10 | AMBAC Financial Group, Inc. | 771 | ||||||||
236 | American International Group, Inc. | 16,102 | ||||||||
30 | AON Corp. | 1,079 | ||||||||
30 | Chubb Corp. | 2,930 | ||||||||
12 | Cigna Corp. | 1,340 | ||||||||
13 | Cincinnati Financial Corp. | 581 | ||||||||
33 | Genworth Financial, Inc. | 1,141 | ||||||||
29 | Hartford Financial Services Group, Inc. | 2,491 | ||||||||
11 | Jefferson-Pilot Corp. | 626 | ||||||||
20 | Lincoln National Corp. | 1,061 | ||||||||
12 | Loews Corp. | 1,138 | ||||||||
35 | Marsh & McLennan Cos., Inc. | 1,112 | ||||||||
15 | MBIA, Inc. | 902 | ||||||||
115 | Metlife, Inc. | 5,635 | ||||||||
10 | MGIC Investment Corp. | 658 | ||||||||
34 | Principal Financial Group | 1,613 | ||||||||
19 | Progressive Corp. | 2,219 | ||||||||
62 | Prudential Financial, Inc. | 4,538 | ||||||||
12 | Safeco Corp. | 678 | ||||||||
61 | St. Paul Cos. | 2,725 | ||||||||
10 | Torchmark Corp. | 556 | ||||||||
30 | UnumProvident Corp. | 683 | ||||||||
3 | @@ | XL Capital Ltd | 202 | |||||||
57,703 | ||||||||||
Internet: 0.0% | ||||||||||
36 | @ | Amazon.com, Inc. | 1,697 | |||||||
102 | @ | eBay, Inc. | 4,412 | |||||||
10 | @ | Monster Worldwide, Inc. | 408 | |||||||
96 | @ | Symantec Corp. | 1,680 | |||||||
24 | @ | Yahoo!, Inc. | 940 | |||||||
9,137 | ||||||||||
Iron/ Steel: 0.0% | ||||||||||
28 | Nucor Corp. | 1,868 | ||||||||
11 | United States Steel Corp. | 529 | ||||||||
2,397 | ||||||||||
Leisure Time: 0.0% | ||||||||||
10 | Brunswick Corp. | 407 | ||||||||
40 | Carnival Corp. | 2,139 | ||||||||
30 | Harley-Davidson, Inc. | 1,545 | ||||||||
10 | Sabre Holdings Corp. | 241 | ||||||||
4,332 | ||||||||||
Lodging: 0.0% | ||||||||||
40 | Hilton Hotels Corp. | 964 | ||||||||
20 | Marriott International, Inc. | 1,339 | ||||||||
20 | Starwood Hotels & Resorts Worldwide, Inc. | 1,277 | ||||||||
3,580 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
4 | Cummins, Inc. | 359 | ||||||||
20 | Rockwell Automation, Inc. | 1,183 | ||||||||
1,542 | ||||||||||
Media: 0.1% | ||||||||||
49 | Clear Channel Communications, Inc. | 1,541 | ||||||||
202 | @ | Comcast Corp. | 5,244 | |||||||
10 | Dow Jones & Co., Inc. | 355 | ||||||||
5 | Gannett Co., Inc. | 303 | ||||||||
60 | McGraw-Hill Cos, Inc. | 3,098 | ||||||||
10 | New York Times Co. | 265 | ||||||||
240 | News Corp., Inc. | 3,732 | ||||||||
432 | Time Warner, Inc. | 7,534 | ||||||||
5 | Tribune Co. | 151 | ||||||||
20 | @ | Univision Communications, Inc. | 588 | |||||||
145 | Viacom, Inc. | 4,727 | ||||||||
37 | Walt Disney Co. | 887 | ||||||||
28,425 | ||||||||||
Mining: 0.0% | ||||||||||
29 | Freeport-McMoRan Copper & Gold, Inc. | 1,560 | ||||||||
10 | Phelps Dodge Corp. | 1,439 | ||||||||
2,999 | ||||||||||
Miscellaneous Manufacturing: 0.1% | ||||||||||
91 | 3M Co. | 7,053 | ||||||||
10 | @ | Cooper Industries Ltd. | 730 | |||||||
26 | Danaher Corp. | 1,450 | ||||||||
17 | Dover Corp. | 688 | ||||||||
10 | Eaton Corp. | 671 | ||||||||
939 | General Electric Co. | 32,912 | ||||||||
79 | Honeywell International, Inc. | 2,943 | ||||||||
19 | Illinois Tool Works, Inc. | 1,672 | ||||||||
30 | @@ | Ingersoll-Rand Co. | 1,211 | |||||||
10 | ITT Industries, Inc. | 1,028 | ||||||||
11 | Parker Hannifin Corp. | 726 | ||||||||
13 | Textron, Inc. | 1,001 | ||||||||
52,085 | ||||||||||
Office/ Business Equipment: 0.0% | ||||||||||
20 | Pitney Bowes, Inc. | 845 | ||||||||
100 | @ | Xerox Corp. | 1,465 | |||||||
2,310 | ||||||||||
Oil & Gas: 0.2% | ||||||||||
6 | Amerada Hess Corp. | 761 | ||||||||
18 | Anadarko Petroleum Corp. | 1,706 | ||||||||
25 | Apache Corp. | 1,713 | ||||||||
53 | Burlington Resources, Inc. | 4,569 | ||||||||
183 | ChevronTexaco Corp. | 10,389 |
57
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Oil & Gas: (continued) | ||||||||||
150 | ConocoPhillips | $ | 8,727 | |||||||
60 | Devon Energy Corp. | 3,752 | ||||||||
26 | EOG Resources, Inc. | 1,908 | ||||||||
870 | Exxon Mobil Corp. | 48,863 | ||||||||
10 | Kerr-McGee Corp. | 909 | ||||||||
30 | Marathon Oil Corp. | 1,829 | ||||||||
13 | Murphy Oil Corp. | 702 | ||||||||
12 | @,@@ | Nabors Industries Ltd. | 909 | |||||||
4 | @ | Noble Corp. | 282 | |||||||
33 | Occidental Petroleum Corp. | 2,636 | ||||||||
10 | Rowan Cos., Inc. | 356 | ||||||||
20 | Sunoco, Inc. | 1,568 | ||||||||
25 | @ | Transocean, Inc. | 1,742 | |||||||
80 | Valero Energy Corp. | 4,128 | ||||||||
97,449 | ||||||||||
Oil & Gas Services: 0.0% | ||||||||||
6 | Baker Hughes, Inc. | 365 | ||||||||
41 | Halliburton Co. | 2,540 | ||||||||
46 | Schlumberger Ltd. | 4,469 | ||||||||
7,374 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
10 | Ball Corp. | 397 | ||||||||
1 | Bemis Co. | 28 | ||||||||
10 | @ | Sealed Air Corp. | 562 | |||||||
987 | ||||||||||
Pharmaceuticals: 0.1% | ||||||||||
143 | Abbott Laboratories | 5,632 | ||||||||
10 | Allergan, Inc. | 1,080 | ||||||||
34 | AmerisourceBergen Corp. | 1,408 | ||||||||
35 | Bristol-Myers Squibb Co. | 804 | ||||||||
38 | Cardinal Health, Inc. | 2,613 | ||||||||
41 | @ | Caremark Rx, Inc. | 2,123 | |||||||
22 | @ | Express Scripts, Inc. | 1,844 | |||||||
30 | @ | Forest Laboratories, Inc. | 1,220 | |||||||
41 | @ | Gilead Sciences, Inc. | 2,158 | |||||||
26 | @ | Hospira, Inc. | 1,112 | |||||||
40 | @ | King Pharmaceuticals, Inc. | 677 | |||||||
29 | @ | Medco Health Solutions, Inc. | 1,618 | |||||||
262 | Merck & Co., Inc. | 8,334 | ||||||||
19 | Mylan Laboratories | 379 | ||||||||
663 | Pfizer, Inc. | 15,461 | ||||||||
140 | Schering-Plough Corp. | 2,919 | ||||||||
10 | @ | Watson Pharmaceuticals, Inc. | 325 | |||||||
123 | Wyeth | 5,667 | ||||||||
55,374 | ||||||||||
Pipelines: 0.0% | ||||||||||
11 | El Paso Corp. | 134 | ||||||||
7 | Kinder Morgan, Inc. | 644 | ||||||||
50 | Williams Cos., Inc. | 1,159 | ||||||||
1,937 | ||||||||||
Real Estate Investment Trust: 0.0% | ||||||||||
10 | Apartment Investment & Management Co. | 379 | ||||||||
19 | Archstone-Smith Trust | 796 | ||||||||
36 | Equity Office Properties Trust | 1,092 | ||||||||
5 | Prologis | 234 | ||||||||
8 | Public Storage, Inc. | 542 | ||||||||
20 | Simon Property Group LP | 1,533 | ||||||||
3 | Vornado Realty Trust | 250 | ||||||||
4,826 | ||||||||||
Retail: 0.2% | ||||||||||
16 | @ | Autonation, Inc. | 348 | |||||||
5 | @ | Autozone, Inc. | 459 | |||||||
30 | @ | Bed Bath & Beyond, Inc. | 1,085 | |||||||
50 | Best Buy Co., Inc. | 2,174 | ||||||||
20 | Circuit City Stores, Inc. | 452 | ||||||||
40 | Costco Wholesale Corp. | 1,979 | ||||||||
20 | Darden Restaurants, Inc. | 778 | ||||||||
25 | Dollar General Corp. | 477 | ||||||||
10 | Family Dollar Stores, Inc. | 248 | ||||||||
37 | Federated Department Stores | 2,454 | ||||||||
70 | Gap, Inc./ The | 1,235 | ||||||||
198 | Home Depot, Inc. | 8,015 | ||||||||
31 | JC Penney Co., Inc. | 1,724 | ||||||||
7 | @ | Kohl’s Corp. | 340 | |||||||
7 | Limited Brands | 156 | ||||||||
71 | Lowe’s Cos., Inc. | 4,733 | ||||||||
149 | McDonald’s Corp. | 5,024 | ||||||||
35 | Nordstrom, Inc. | 1,309 | ||||||||
26 | @ | Office Depot, Inc. | 816 | |||||||
10 | @ | Sears Holding Corp. | 1,155 | |||||||
90 | Staples, Inc. | 2,044 | ||||||||
60 | @ | Starbucks Corp. | 1,801 | |||||||
80 | Target Corp. | 4,398 | ||||||||
6 | Tiffany & Co. | 230 | ||||||||
50 | TJX Cos., Inc. | 1,162 | ||||||||
230 | Wal-Mart Stores, Inc. | 10,764 | ||||||||
91 | Walgreen Co. | 4,028 | ||||||||
10 | Wendy’s International, Inc. | 553 | ||||||||
34 | Yum! Brands, Inc. | 1,594 | ||||||||
61,535 | ||||||||||
Savings & Loans: 0.0% | ||||||||||
23 | Golden West Financial Corp. | 1,518 | ||||||||
90 | Washington Mutual, Inc. | 3,915 | ||||||||
5,433 | ||||||||||
Semiconductors: 0.1% | ||||||||||
33 | @ | Altera Corp. | 611 | |||||||
40 | Analog Devices, Inc. | 1,435 | ||||||||
140 | Applied Materials, Inc. | 2,512 | ||||||||
30 | @ | Broadcom Corp. | 1,415 | |||||||
36 | @ | Freescale Semiconductor, Inc. | 906 | |||||||
789 | Intel Corp. | 19,693 | ||||||||
20 | Kla-Tencor Corp. | 987 | ||||||||
25 | Linear Technology Corp. | 902 | ||||||||
31 | @ | LSI Logic Corp. | 248 | |||||||
30 | Maxim Integrated Products | 1,087 | ||||||||
54 | Micron Technology, Inc. | 719 | ||||||||
50 | National Semiconductor Corp. | 1,299 | ||||||||
10 | @ | Novellus Systems, Inc. | 241 | |||||||
20 | @ | Nvidia Corp. | 731 | |||||||
10 | @ | QLogic Corp. | 325 | |||||||
202 | Texas Instruments, Inc. | 6,478 | ||||||||
39,589 | ||||||||||
Software: 0.1% | ||||||||||
46 | Adobe Systems, Inc. | 1,700 | ||||||||
28 | Autodesk, Inc. | 1,203 | ||||||||
69 | Automatic Data Processing, Inc. | 3,166 | ||||||||
30 | @ | BMC Software, Inc. | 615 | |||||||
20 | @ | Citrix Systems, Inc. | 576 | |||||||
46 | Computer Associates International, Inc. | 1,297 | ||||||||
50 | @ | Compuware Corp. | 449 | |||||||
26 | @ | Electronic Arts, Inc. | 1,360 | |||||||
66 | First Data Corp. | 2,839 | ||||||||
15 | @ | Fiserv, Inc. | 649 | |||||||
20 | IMS Health, Inc. | 498 | ||||||||
23 | @ | Intuit, Inc. | 1,226 | |||||||
10 | @ | Mercury Interactive Corp. | 278 | |||||||
816 | Microsoft Corp. | 21,338 | ||||||||
30 | @ | Novell, Inc. | 265 | |||||||
342 | @ | Oracle Corp. | 4,176 | |||||||
30 | @ | Parametric Technology Corp. | 183 | |||||||
60 | Siebel Systems, Inc. | 635 | ||||||||
42,453 | ||||||||||
58
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Telecommunications: 0.2% | ||||||||||
34 | Alltel Corp. | $ | 2,145 | |||||||
469 | AT&T, Inc. | 11,486 | ||||||||
8 | @ | Avaya, Inc. | 85 | |||||||
168 | BellSouth Corp. | 4,553 | ||||||||
20 | CenturyTel, Inc. | 663 | ||||||||
588 | @ | Cisco Systems, Inc. | 10,061 | |||||||
20 | @ | Comverse Technology, Inc. | 532 | |||||||
135 | @ | Corning, Inc. | 2,654 | |||||||
371 | Motorola, Inc. | 8,381 | ||||||||
150 | Qualcomm, Inc. | 6,462 | ||||||||
20 | Scientific-Atlanta, Inc. | 861 | ||||||||
271 | Sprint Corp. — FON Group | 6,331 | ||||||||
50 | @ | Tellabs, Inc. | 545 | |||||||
255 | Verizon Communications, Inc. | 7,681 | ||||||||
62,440 | ||||||||||
Textiles: 0.0% | ||||||||||
10 | Cintas Corp. | 412 | ||||||||
412 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
20 | Hasbro, Inc. | 404 | ||||||||
8 | Mattel, Inc. | 127 | ||||||||
531 | ||||||||||
Transportation: 0.1% | ||||||||||
35 | Burlington Northern Santa Fe Corp. | 2,479 | ||||||||
20 | CSX Corp. | 1,015 | ||||||||
30 | FedEx Corp. | 3,102 | ||||||||
50 | Norfolk Southern Corp. | 2,242 | ||||||||
5 | Union Pacific Corp. | 403 | ||||||||
101 | United Parcel Service, Inc. | 7,590 | ||||||||
16,831 | ||||||||||
Total Common Stock (Cost $966,122) | 1,041,607 | |||||||||
Principal | ||||||||||
Amount | Value | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 57.7% | ||||||||||
Federal Home Loan Mortgage Corporation: 24.4% | ||||||||||
$ | 10,000,000 | 4.170%, due 03/14/06 | $ | 9,916,080 | ||||||
9,916,080 | ||||||||||
Federal National Mortgage Association: 12.1% | ||||||||||
5,000,000 | 4.560%, due 05/15/06 | 4,918,235 | ||||||||
4,918,235 | ||||||||||
Other U.S. Agency Obligations: 21.2% | ||||||||||
4,608,000 | FICO STRIP, 4.100%, due 03/07/06 | 4,573,656 | ||||||||
4,126,000 | FICO STRIP, 4.220%, due 04/06/06 | 4,080,115 | ||||||||
8,653,771 | ||||||||||
Total U.S. Government Agency Obligations (Cost $23,490,879) | 23,488,086 | |||||||||
U.S. TREASURY OBLIGATIONS: 7.1% | ||||||||||
U.S. Treasury STRIP: 7.1% | ||||||||||
2,890,000 | STRIP | 6.520%, due 02/15/06 | 2,877,427 | |||||||
Total U.S. Treasury Obligations (Cost $2,876,756) | 2,877,427 | |||||||||
OTHER BONDS: 31.7% | ||||||||||
Sovereign: 31.7% | ||||||||||
3,115,000 | Israel Trust, 4.360%, due 05/15/06 | 3,064,917 | ||||||||
10,000,000 | Turkey Trust, 4.360%, due 05/15/06 | 9,839,220 | ||||||||
Total Other Bonds (Cost $12,960,145) | 12,904,137 | |||||||||
Total Long-Term Investments | ||||||||||
(Cost $40,293,902) | 40,311,257 | |||||||||
SHORT-TERM INVESTMENTS: 1.1% | ||||||||||
Repurchase Agreement: 1.1% | ||||||||||
445,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $445,210 to be received upon repurchase (Collateralized by $462,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $454,323, due 09/15/08) | 445,000 | ||||||||
Total Short-Term Investments (Cost $445,000) | 445,000 | |||||||||
Total Investments in Securities (Cost $40,738,902)* | 100.2 | % | $ | 40,756,257 | ||||||||
Other Assets and Liabilities-Net | (0.2 | ) | (83,027 | ) | ||||||||
Net Assets | 100.0 | % | $ | 40,673,230 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $40,787,483. | |||||
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 72,415 | ||||
Gross Unrealized Depreciation | (103,641 | ) | ||||
Net Unrealized Depreciation | $ | (31,226 | ) | |||
59
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COMMON STOCK: 7.2% | ||||||||||
Advertising: 0.0% | ||||||||||
160 | @ | Interpublic Group of Cos., Inc. | $ | 1,544 | ||||||
70 | Omnicom Group | 5,959 | ||||||||
7,503 | ||||||||||
Aerospace/ Defense: 0.2% | ||||||||||
410 | Boeing Co. | 28,798 | ||||||||
100 | General Dynamics Corp. | 11,405 | ||||||||
40 | Goodrich Corp. | 1,644 | ||||||||
40 | L-3 Communications Holdings, Inc. | 2,974 | ||||||||
240 | Lockheed Martin Corp. | 15,271 | ||||||||
144 | Northrop Grumman Corp. | 8,656 | ||||||||
233 | Raytheon Co. | 9,355 | ||||||||
110 | Rockwell Collins, Inc. | 5,112 | ||||||||
400 | United Technologies Corp. | 22,364 | ||||||||
105,579 | ||||||||||
Agriculture: 0.2% | ||||||||||
770 | Altria Group, Inc. | 57,534 | ||||||||
415 | Archer-Daniels-Midland Co. | 10,234 | ||||||||
110 | Monsanto Co. | 8,528 | ||||||||
50 | Reynolds America, Inc. | 4,767 | ||||||||
60 | UST, Inc. | 2,450 | ||||||||
83,513 | ||||||||||
Airlines: 0.0% | ||||||||||
260 | Southwest Airlines Co. | 4,272 | ||||||||
4,272 | ||||||||||
Apparel: 0.1% | ||||||||||
260 | @ | Coach, Inc. | 8,668 | |||||||
70 | Jones Apparel Group, Inc. | 2,150 | ||||||||
70 | Liz Claiborne, Inc. | 2,507 | ||||||||
100 | Nike, Inc. | 8,679 | ||||||||
20 | Reebok International Ltd. | 1,165 | ||||||||
60 | VF Corp. | 3,320 | ||||||||
26,489 | ||||||||||
Auto Manufacturers: 0.0% | ||||||||||
1,020 | Ford Motor Co. | 7,874 | ||||||||
30 | @ | Navistar International Corp. | 859 | |||||||
8,733 | ||||||||||
Auto Parts & Equipment: 0.0% | ||||||||||
80 | @ | Goodyear Tire & Rubber Co. | 1,390 | |||||||
70 | Johnson Controls, Inc. | 5,104 | ||||||||
6,494 | ||||||||||
Banks: 0.5% | ||||||||||
140 | AmSouth Bancorp | 3,669 | ||||||||
2,026 | Bank of America Corp. | 93,500 | ||||||||
310 | Bank of New York | 9,874 | ||||||||
271 | BB&T Corp. | 11,358 | ||||||||
70 | Comerica, Inc. | 3,973 | ||||||||
40 | Compass Bancshares, Inc. | 1,932 | ||||||||
40 | First Horizon National Corp. | 1,538 | ||||||||
80 | Huntington Bancshares, Inc. | 1,900 | ||||||||
160 | Keycorp | 5,269 | ||||||||
40 | M&T Bank Corp. | 4,362 | ||||||||
90 | Marshall & Ilsley Corp. | 3,874 | ||||||||
170 | Mellon Financial Corp. | 5,823 | ||||||||
220 | National City Corp. | 7,385 | ||||||||
70 | Northern Trust Corp. | 3,627 | ||||||||
150 | PNC Financial Services Group, Inc. | 9,275 | ||||||||
170 | Regions Financial Corp. | 5,807 | ||||||||
120 | State Street Corp. | 6,653 | ||||||||
130 | SunTrust Banks, Inc. | 9,459 | ||||||||
91 | Synovus Financial Corp. | 2,458 | ||||||||
730 | US BanCorp. | 21,820 | ||||||||
616 | Wachovia Corp. | 32,562 | ||||||||
640 | Wells Fargo & Co. | 40,211 | ||||||||
30 | Zions Bancorporation | 2,267 | ||||||||
288,596 | ||||||||||
Beverages: 0.2% | ||||||||||
290 | Anheuser-Busch Cos., Inc. | 12,458 | ||||||||
50 | Brown-Forman Corp. | 3,466 | ||||||||
1,240 | Coca-Cola Co. | 49,984 | ||||||||
120 | Coca-Cola Enterprises, Inc. | 2,300 | ||||||||
70 | @ | Constellation Brands, Inc. | 1,836 | |||||||
50 | Pepsi Bottling Group, Inc. | 1,431 | ||||||||
1,060 | PepsiCo, Inc. | 62,625 | ||||||||
134,100 | ||||||||||
Biotechnology: 0.1% | ||||||||||
481 | @ | Amgen, Inc. | 37,932 | |||||||
30 | @ | Biogen Idec, Inc. | 1,360 | |||||||
40 | @ | Chiron Corp. | 1,778 | |||||||
90 | @ | Genzyme Corp. | 6,370 | |||||||
20 | @ | Millipore Corp. | 1,321 | |||||||
48,761 | ||||||||||
Building Materials: 0.0% | ||||||||||
70 | American Standard Cos, Inc. | 2,797 | ||||||||
170 | Masco Corp. | 5,132 | ||||||||
40 | Vulcan Materials Co. | 2,710 | ||||||||
10,639 | ||||||||||
Chemicals: 0.1% | ||||||||||
80 | Air Products & Chemicals, Inc. | 4,735 | ||||||||
380 | Dow Chemical Co. | 16,652 | ||||||||
50 | Eastman Chemical Co. | 2,580 | ||||||||
90 | Ecolab, Inc. | 3,264 | ||||||||
360 | EI Du Pont de Nemours & Co. | 15,300 | ||||||||
20 | Engelhard Corp. | 603 | ||||||||
30 | International Flavors & Fragrances, Inc. | 1,005 | ||||||||
110 | PPG Industries, Inc. | 6,369 | ||||||||
140 | Praxair, Inc. | 7,414 | ||||||||
60 | Rohm & Haas Co. | 2,905 | ||||||||
50 | Sherwin-Williams Co. | 2,271 | ||||||||
30 | Sigma-Aldrich Corp. | 1,899 | ||||||||
64,997 | ||||||||||
Commercial Services: 0.1% | ||||||||||
— | @ | CCE Spinco, Inc. | 3 | |||||||
390 | Cendant Corp. | 6,728 | ||||||||
90 | Equifax, Inc. | 3,422 | ||||||||
210 | H&R Block, Inc. | 5,156 | ||||||||
200 | McKesson Corp. | 10,318 | ||||||||
90 | Moody’s Corp. | 5,528 | ||||||||
140 | Paychex, Inc. | 5,337 | ||||||||
80 | Robert Half International, Inc. | 3,031 | ||||||||
80 | RR Donnelley & Sons Co. | 2,737 | ||||||||
42,260 | ||||||||||
Computers: 0.3% | ||||||||||
40 | @ | Affiliated Computer Services, Inc. | 2,367 | |||||||
540 | @ | Apple Computer, Inc. | 38,821 | |||||||
10 | @ | Computer Sciences Corp. | 506 | |||||||
1,520 | @ | Dell, Inc. | 45,585 | |||||||
40 | Electronic Data Systems Corp. | 962 | ||||||||
1,260 | EMC Corp. | 17,161 | ||||||||
1,358 | Hewlett-Packard Co. | 38,880 | ||||||||
600 | International Business Machines Corp. | 49,320 | ||||||||
40 | @ | Lexmark International, Inc. | 1,793 | |||||||
80 | @ | NCR Corp. | 2,715 | |||||||
130 | @ | Network Appliance, Inc. | 3,510 |
60
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Shares | Value | |||||||||
Computers: (continued) | ||||||||||
260 | @ | Sun Microsystems, Inc. | $ | 1,089 | ||||||
150 | @ | Unisys Corp. | 875 | |||||||
203,584 | ||||||||||
Cosmetics/ Personal Care: 0.2% | ||||||||||
30 | Alberto-Culver Co. | 1,372 | ||||||||
260 | Colgate-Palmolive Co. | 14,261 | ||||||||
1,280 | Procter & Gamble Co. | 74,086 | ||||||||
89,719 | ||||||||||
Distribution/ Wholesale: 0.0% | ||||||||||
93 | Genuine Parts Co. | 4,085 | ||||||||
30 | WW Grainger, Inc. | 2,133 | ||||||||
6,218 | ||||||||||
Diversified Financial Services: 0.6% | ||||||||||
490 | American Express Co. | 25,215 | ||||||||
98 | Ameriprise Financial, Inc. | 4,018 | ||||||||
40 | Bear Stearns Cos, Inc. | 4,621 | ||||||||
110 | Capital One Financial Corp. | 9,504 | ||||||||
390 | Charles Schwab Corp. | 5,721 | ||||||||
100 | CIT Group, Inc. | 5,178 | ||||||||
1,930 | Citigroup, Inc. | 93,663 | ||||||||
48 | Countrywide Financial Corp. | 1,641 | ||||||||
130 | @ | E*Trade Financial Corp. | 2,712 | |||||||
380 | Fannie Mae | 18,548 | ||||||||
20 | Federated Investors, Inc. | 741 | ||||||||
70 | Franklin Resources, Inc. | 6,581 | ||||||||
240 | Goldman Sachs Group, Inc. | 30,650 | ||||||||
1,310 | JPMorgan Chase & Co. | 51,994 | ||||||||
150 | Lehman Brothers Holdings, Inc. | 19,226 | ||||||||
500 | MBNA Corp. | 13,575 | ||||||||
470 | Merrill Lynch & Co., Inc. | 31,833 | ||||||||
410 | Morgan Stanley | 23,263 | ||||||||
170 | SLM Corp. | 9,365 | ||||||||
40 | T. Rowe Price Group, Inc. | 2,881 | ||||||||
360,930 | ||||||||||
Electric: 0.2% | ||||||||||
260 | @ | AES Corp. | 4,116 | |||||||
60 | @ | Allegheny Energy, Inc. | 1,898 | |||||||
20 | Ameren Corp. | 1,025 | ||||||||
150 | American Electric Power Co., Inc. | 5,564 | ||||||||
110 | CenterPoint Energy Resources Corp. | 1,414 | ||||||||
80 | Cinergy Corp. | 3,397 | ||||||||
150 | @ | CMS Energy Corp. | 2,177 | |||||||
90 | Consolidated Edison, Inc. | 4,170 | ||||||||
70 | Constellation Energy Group, Inc. | 4,032 | ||||||||
130 | Dominion Resources, Inc. | 10,036 | ||||||||
70 | DTE Energy Co. | 3,023 | ||||||||
360 | Duke Energy Corp. | 9,882 | ||||||||
170 | Edison International | 7,414 | ||||||||
130 | FirstEnergy Corp. | 6,369 | ||||||||
150 | FPL Group, Inc. | 6,234 | ||||||||
110 | NiSource, Inc. | 2,295 | ||||||||
160 | Pacific Gas & Electric Co. | 5,939 | ||||||||
40 | Pinnacle West Capital Corp. | 1,654 | ||||||||
180 | PPL Corp. | 5,292 | ||||||||
100 | Progress Energy, Inc. | 4,392 | ||||||||
90 | Public Service Enterprise Group, Inc. | 5,847 | ||||||||
280 | Southern Co. | 9,668 | ||||||||
150 | TECO Energy, Inc. | 2,577 | ||||||||
320 | TXU Corp. | 16,061 | ||||||||
160 | Xcel Energy, Inc. | 2,954 | ||||||||
127,430 | ||||||||||
Electrical Components & Equipment: 0.0% | ||||||||||
70 | American Power Conversion | 1,540 | ||||||||
210 | Emerson Electric Co. | 15,687 | ||||||||
17,227 | ||||||||||
Electronics: 0.0% | ||||||||||
260 | @ | Agilent Technologies, Inc. | 8,655 | |||||||
80 | Applera Corp. — Applied Biosystems Group | 2,125 | ||||||||
80 | @ | Jabil Circuit, Inc. | 2,967 | |||||||
50 | PerkinElmer, Inc. | 1,178 | ||||||||
190 | @ | Sanmina-SCI Corp. | 809 | |||||||
680 | @ | Solectron Corp. | 2,489 | |||||||
60 | @ | Thermo Electron Corp. | 1,808 | |||||||
50 | @ | Waters Corp. | 1,890 | |||||||
21,921 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
10 | Fluor Corp. | 773 | ||||||||
773 | ||||||||||
Entertainment: 0.0% | ||||||||||
130 | International Game Technology | 4,001 | ||||||||
4,001 | ||||||||||
Environmental Control: 0.0% | ||||||||||
200 | Waste Management, Inc. | 6,070 | ||||||||
6,070 | ||||||||||
Food: 0.1% | ||||||||||
70 | Campbell Soup Co. | 2,084 | ||||||||
200 | ConAgra Foods, Inc. | 4,056 | ||||||||
180 | General Mills, Inc. | 8,878 | ||||||||
80 | Hershey Foods Corp. | 4,420 | ||||||||
130 | HJ Heinz Co. | 4,384 | ||||||||
120 | Kellogg Co. | 5,186 | ||||||||
250 | @ | Kroger Co. | 4,720 | |||||||
60 | McCormick & Co., Inc. | 1,855 | ||||||||
170 | Safeway, Inc. | 4,022 | ||||||||
291 | Sara Lee Corp. | 5,500 | ||||||||
80 | Supervalu, Inc. | 2,598 | ||||||||
100 | Tyson Foods, Inc. | 1,710 | ||||||||
80 | WM Wrigley Jr. Co. | 5,319 | ||||||||
54,732 | ||||||||||
Forest Products & Paper: 0.0% | ||||||||||
60 | Louisiana-Pacific Corp. | 1,648 | ||||||||
80 | MeadWestvaco Corp. | 2,242 | ||||||||
70 | Plum Creek Timber Co., Inc. | 2,524 | ||||||||
60 | Temple-Inland, Inc. | 2,691 | ||||||||
100 | Weyerhaeuser Co. | 6,634 | ||||||||
15,739 | ||||||||||
Gas: 0.0% | ||||||||||
110 | Sempra Energy | 4,932 | ||||||||
4,932 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
30 | Black & Decker Corp. | 2,609 | ||||||||
20 | Snap-On, Inc. | 751 | ||||||||
40 | Stanley Works | 1,922 | ||||||||
5,282 | ||||||||||
Healthcare — Products: 0.2% | ||||||||||
30 | Bausch & Lomb, Inc. | 2,037 | ||||||||
220 | Baxter International, Inc. | 8,283 | ||||||||
100 | Becton Dickinson & Co. | 6,008 | ||||||||
230 | @ | Boston Scientific Corp. | 5,633 | |||||||
50 | CR Bard, Inc. | 3,296 | ||||||||
130 | Guidant Corp. | 8,418 | ||||||||
1,110 | Johnson & Johnson | 66,711 |
61
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Shares | Value | |||||||||
Healthcare — Products: (continued) | ||||||||||
470 | Medtronic, Inc. | $ | 27,058 | |||||||
140 | @ | St. Jude Medical, Inc. | 7,028 | |||||||
110 | Stryker Corp. | 4,887 | ||||||||
139,359 | ||||||||||
Healthcare — Services: 0.2% | ||||||||||
180 | Aetna, Inc. | 16,976 | ||||||||
120 | @ | Coventry Health Care, Inc. | 6,835 | |||||||
100 | @ | Humana, Inc. | 5,433 | |||||||
10 | @ | Laboratory Corp. of America Holdings | 539 | |||||||
10 | Quest Diagnostics | 515 | ||||||||
640 | UnitedHealth Group, Inc. | 39,770 | ||||||||
400 | @ | WellPoint, Inc. | 31,916 | |||||||
101,984 | ||||||||||
Home Builders: 0.0% | ||||||||||
50 | Lennar Corp. | 3,051 | ||||||||
3,051 | ||||||||||
Household Products/ Wares: 0.0% | ||||||||||
60 | Clorox Co. | 3,413 | ||||||||
50 | Fortune Brands, Inc. | 3,901 | ||||||||
190 | Kimberly-Clark Corp. | 11,334 | ||||||||
18,648 | ||||||||||
Housewares: 0.0% | ||||||||||
100 | Newell Rubbermaid, Inc. | 2,378 | ||||||||
2,378 | ||||||||||
Insurance: 0.4% | ||||||||||
120 | @@ | ACE Ltd | 6,413 | |||||||
190 | Aflac, Inc. | 8,820 | ||||||||
250 | Allstate Corp. | 13,517 | ||||||||
40 | AMBAC Financial Group, Inc. | 3,082 | ||||||||
990 | American International Group, Inc. | 67,532 | ||||||||
120 | AON Corp. | 4,314 | ||||||||
130 | Chubb Corp. | 12,695 | ||||||||
50 | Cigna Corp. | 5,585 | ||||||||
69 | Cincinnati Financial Corp. | 3,083 | ||||||||
140 | Genworth Financial, Inc. | 4,841 | ||||||||
120 | Hartford Financial Services Group, Inc. | 10,307 | ||||||||
50 | Jefferson-Pilot Corp. | 2,847 | ||||||||
90 | Lincoln National Corp. | 4,773 | ||||||||
50 | Loews Corp. | 4,743 | ||||||||
149 | Marsh & McLennan Cos., Inc. | 4,732 | ||||||||
60 | MBIA, Inc. | 3,610 | ||||||||
410 | Metlife, Inc. | 20,090 | ||||||||
50 | MGIC Investment Corp. | 3,291 | ||||||||
150 | Principal Financial Group | 7,115 | ||||||||
80 | Progressive Corp. | 9,342 | ||||||||
260 | Prudential Financial, Inc. | 19,029 | ||||||||
50 | Safeco Corp. | 2,825 | ||||||||
260 | St. Paul Cos | 11,614 | ||||||||
50 | Torchmark Corp. | 2,780 | ||||||||
120 | UnumProvident Corp. | 2,730 | ||||||||
10 | @@ | XL Capital Ltd | 674 | |||||||
240,384 | ||||||||||
Internet: 0.1% | ||||||||||
150 | @ | Amazon.com, Inc. | 7,073 | |||||||
430 | @ | eBay, Inc. | 18,598 | |||||||
50 | @ | Monster Worldwide, Inc. | 2,041 | |||||||
401 | @ | Symantec Corp. | 7,018 | |||||||
100 | @ | Yahoo!, Inc. | 3,918 | |||||||
38,648 | ||||||||||
Iron/ Steel: 0.0% | ||||||||||
100 | Nucor Corp. | 6,672 | ||||||||
70 | United States Steel Corp. | 3,365 | ||||||||
10,037 | ||||||||||
Leisure Time: 0.0% | ||||||||||
40 | Brunswick Corp. | 1,626 | ||||||||
170 | Carnival Corp. | 9,090 | ||||||||
110 | Harley-Davidson, Inc. | 5,664 | ||||||||
50 | Sabre Holdings Corp. | 1,206 | ||||||||
17,586 | ||||||||||
Lodging: 0.0% | ||||||||||
140 | Hilton Hotels Corp. | 3,375 | ||||||||
80 | Marriott International, Inc. | 5,358 | ||||||||
70 | Starwood Hotels & Resorts Worldwide, Inc. | 4,470 | ||||||||
13,203 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
20 | Cummins, Inc. | 1,795 | ||||||||
60 | Rockwell Automation, Inc. | 3,550 | ||||||||
5,345 | ||||||||||
Media: 0.2% | ||||||||||
210 | Clear Channel Communications, Inc. | 6,605 | ||||||||
850 | @ | Comcast Corp. | 22,066 | |||||||
30 | Dow Jones & Co., Inc. | 1,065 | ||||||||
20 | Gannett Co., Inc. | 1,211 | ||||||||
260 | McGraw-Hill Cos, Inc. | 13,424 | ||||||||
20 | Meredith Corp. | 1,047 | ||||||||
50 | New York Times Co. | 1,323 | ||||||||
1,020 | News Corp., Inc. | 15,861 | ||||||||
1,820 | Time Warner, Inc. | 31,741 | ||||||||
20 | Tribune Co. | 605 | ||||||||
80 | @ | Univision Communications, Inc. | 2,351 | |||||||
610 | Viacom, Inc. | 19,886 | ||||||||
150 | Walt Disney Co. | 3,596 | ||||||||
120,781 | ||||||||||
Mining: 0.0% | ||||||||||
120 | Freeport-McMoRan Copper & Gold, Inc. | 6,456 | ||||||||
40 | Phelps Dodge Corp. | 5,755 | ||||||||
12,211 | ||||||||||
Miscellaneous Manufacturing: 0.4% | ||||||||||
380 | 3M Co. | 29,450 | ||||||||
30 | @ | Cooper Industries Ltd. | 2,190 | |||||||
110 | Danaher Corp. | 6,136 | ||||||||
70 | Dover Corp. | 2,834 | ||||||||
60 | Eaton Corp. | 4,025 | ||||||||
3,950 | General Electric Co. | 138,448 | ||||||||
330 | Honeywell International, Inc. | 12,293 | ||||||||
80 | Illinois Tool Works, Inc. | 7,039 | ||||||||
130 | @@ | Ingersoll-Rand Co. | 5,248 | |||||||
40 | ITT Industries, Inc. | 4,113 | ||||||||
50 | Parker Hannifin Corp. | 3,298 | ||||||||
50 | Textron, Inc. | 3,849 | ||||||||
218,923 | ||||||||||
Office/ Business Equipment: 0.0% | ||||||||||
90 | Pitney Bowes, Inc. | 3,803 | ||||||||
370 | @ | Xerox Corp. | 5,421 | |||||||
9,224 | ||||||||||
Oil & Gas: 0.7% | ||||||||||
30 | Amerada Hess Corp. | 3,805 | ||||||||
80 | Anadarko Petroleum Corp. | 7,580 | ||||||||
108 | Apache Corp. | 7,400 | ||||||||
220 | Burlington Resources, Inc. | 18,964 |
62
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Shares | Value | |||||||||
Oil & Gas: (continued) | ||||||||||
773 | ChevronTexaco Corp. | $ | 43,883 | |||||||
638 | ConocoPhillips | 37,119 | ||||||||
250 | Devon Energy Corp. | 15,635 | ||||||||
110 | EOG Resources, Inc. | 8,071 | ||||||||
3,670 | Exxon Mobil Corp. | 206,144 | ||||||||
40 | Kerr-McGee Corp. | 3,634 | ||||||||
130 | Marathon Oil Corp. | 7,926 | ||||||||
60 | Murphy Oil Corp. | 3,239 | ||||||||
40 | @,@@ | Nabors Industries Ltd. | 3,030 | |||||||
10 | @ | Noble Corp. | 705 | |||||||
140 | Occidental Petroleum Corp. | 11,183 | ||||||||
30 | Rowan Cos., Inc. | 1,069 | ||||||||
80 | Sunoco, Inc. | 6,270 | ||||||||
100 | @ | Transocean, Inc. | 6,969 | |||||||
340 | Valero Energy Corp. | 17,544 | ||||||||
410,170 | ||||||||||
Oil & Gas Services: 0.1% | ||||||||||
20 | Baker Hughes, Inc. | 1,216 | ||||||||
170 | Halliburton Co. | 10,533 | ||||||||
190 | Schlumberger Ltd. | 18,458 | ||||||||
30,207 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
70 | Ball Corp. | 2,780 | ||||||||
40 | @ | Sealed Air Corp. | 2,247 | |||||||
5,027 | ||||||||||
Pharmaceuticals: 0.4% | ||||||||||
600 | Abbott Laboratories | 23,658 | ||||||||
50 | Allergan, Inc. | 5,398 | ||||||||
140 | AmerisourceBergen Corp. | 5,796 | ||||||||
150 | Bristol-Myers Squibb Co. | 3,447 | ||||||||
160 | Cardinal Health, Inc. | 11,000 | ||||||||
180 | @ | Caremark Rx, Inc. | 9,322 | |||||||
60 | @ | Express Scripts, Inc. | 5,028 | |||||||
120 | @ | Forest Laboratories, Inc. | 4,882 | |||||||
170 | @ | Gilead Sciences, Inc. | 8,947 | |||||||
90 | @ | Hospira, Inc. | 3,850 | |||||||
163 | @ | King Pharmaceuticals, Inc. | 2,758 | |||||||
120 | @ | Medco Health Solutions, Inc. | 6,696 | |||||||
1,100 | Merck & Co., Inc. | 34,991 | ||||||||
80 | Mylan Laboratories | 1,597 | ||||||||
2,792 | Pfizer, Inc. | 65,109 | ||||||||
570 | Schering-Plough Corp. | 11,885 | ||||||||
70 | @ | Watson Pharmaceuticals, Inc. | 2,276 | |||||||
520 | Wyeth | 23,956 | ||||||||
230,596 | ||||||||||
Pipelines: 0.0% | ||||||||||
50 | El Paso Corp. | 608 | ||||||||
30 | Kinder Morgan, Inc. | 2,759 | ||||||||
170 | Williams Cos., Inc. | 3,939 | ||||||||
7,306 | ||||||||||
Real Estate Investment Trust: 0.0% | ||||||||||
30 | Apartment Investment & Management Co. | 1,136 | ||||||||
80 | Archstone-Smith Trust | 3,351 | ||||||||
150 | Equity Office Properties Trust | 4,550 | ||||||||
20 | Prologis | 934 | ||||||||
40 | Public Storage, Inc. | 2,709 | ||||||||
80 | Simon Property Group LP | 6,130 | ||||||||
10 | Vornado Realty Trust | 835 | ||||||||
19,645 | ||||||||||
Retail: 0.4% | ||||||||||
70 | @ | Autonation, Inc. | 1,521 | |||||||
20 | @ | Autozone, Inc. | 1,835 | |||||||
110 | @ | Bed Bath & Beyond, Inc. | 3,977 | |||||||
205 | Best Buy Co., Inc. | 8,913 | ||||||||
100 | Circuit City Stores, Inc. | 2,259 | ||||||||
180 | Costco Wholesale Corp. | 8,905 | ||||||||
100 | Darden Restaurants, Inc. | 3,888 | ||||||||
110 | Dollar General Corp. | 2,098 | ||||||||
30 | Family Dollar Stores, Inc. | 744 | ||||||||
134 | Federated Department Stores | 8,888 | ||||||||
220 | Gap, Inc. | 3,881 | ||||||||
830 | Home Depot, Inc. | 33,598 | ||||||||
130 | JC Penney Co., Inc. | 7,228 | ||||||||
30 | @ | Kohl’s Corp. | 1,458 | |||||||
30 | Limited Brands | 671 | ||||||||
300 | Lowe’s Cos., Inc. | 19,998 | ||||||||
630 | McDonald’s Corp. | 21,244 | ||||||||
150 | Nordstrom, Inc. | 5,610 | ||||||||
110 | @ | Office Depot, Inc. | 3,454 | |||||||
40 | @ | Sears Holding Corp. | 4,621 | |||||||
380 | Staples, Inc. | 8,630 | ||||||||
320 | @ | Starbucks Corp. | 9,603 | |||||||
340 | Target Corp. | 18,690 | ||||||||
50 | Tiffany & Co. | 1,915 | ||||||||
190 | TJX Cos., Inc. | 4,414 | ||||||||
930 | Wal-Mart Stores, Inc. | 43,524 | ||||||||
380 | Walgreen Co. | 16,819 | ||||||||
40 | Wendy’s International, Inc. | 2,210 | ||||||||
150 | Yum! Brands, Inc. | 7,032 | ||||||||
257,628 | ||||||||||
Savings & Loans: 0.1% | ||||||||||
120 | Golden West Financial Corp. | 7,920 | ||||||||
380 | Washington Mutual, Inc. | 16,530 | ||||||||
24,450 | ||||||||||
Semiconductors: 0.3% | ||||||||||
140 | @ | Altera Corp. | 2,594 | |||||||
140 | Analog Devices, Inc. | 5,022 | ||||||||
620 | Applied Materials, Inc. | 11,123 | ||||||||
110 | @ | Broadcom Corp. | 5,187 | |||||||
153 | @ | Freescale Semiconductor, Inc. | 3,851 | |||||||
3,860 | Intel Corp. | 96,346 | ||||||||
70 | Kla-Tencor Corp. | 3,453 | ||||||||
110 | Linear Technology Corp. | 3,968 | ||||||||
130 | @ | LSI Logic Corp. | 1,040 | |||||||
110 | Maxim Integrated Products | 3,986 | ||||||||
230 | @ | Micron Technology, Inc. | 3,061 | |||||||
210 | National Semiconductor Corp. | 5,456 | ||||||||
50 | @ | Novellus Systems, Inc. | 1,206 | |||||||
60 | @ | Nvidia Corp. | 2,194 | |||||||
40 | @ | QLogic Corp. | 1,300 | |||||||
950 | Texas Instruments, Inc. | 30,467 | ||||||||
180,254 | ||||||||||
Software: 0.3% | ||||||||||
190 | Adobe Systems, Inc. | 7,022 | ||||||||
120 | Autodesk, Inc. | 5,154 | ||||||||
290 | Automatic Data Processing, Inc. | 13,308 | ||||||||
140 | @ | BMC Software, Inc. | 2,869 | |||||||
70 | @ | Citrix Systems, Inc. | 2,015 | |||||||
181 | Computer Associates International, Inc. | 5,102 | ||||||||
230 | @ | Compuware Corp. | 2,063 | |||||||
110 | @ | Electronic Arts, Inc. | 5,754 | |||||||
297 | First Data Corp. | 12,774 | ||||||||
80 | @ | Fiserv, Inc. | 3,462 | |||||||
80 | IMS Health, Inc. | 1,994 | ||||||||
110 | @ | Intuit, Inc. | 5,863 | |||||||
30 | @ | Mercury Interactive Corp. | 834 | |||||||
3,490 | Microsoft Corp. | 91,264 | ||||||||
120 | @ | Novell, Inc. | 1,060 | |||||||
1,440 | @ | Oracle Corp. | 17,582 | |||||||
120 | @ | Parametric Technology Corp. | 732 | |||||||
210 | Siebel Systems, Inc. | 2,222 | ||||||||
181,074 | ||||||||||
63
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Shares | Value | |||||||||
Telecommunications: 0.4% | ||||||||||
140 | Alltel Corp. | $ | 8,834 | |||||||
1,979 | AT&T, Inc. | 48,466 | ||||||||
30 | @ | Avaya, Inc. | 320 | |||||||
710 | BellSouth Corp. | 19,241 | ||||||||
50 | CenturyTel, Inc. | 1,658 | ||||||||
2,480 | @ | Cisco Systems, Inc. | 42,458 | |||||||
70 | @ | Comverse Technology, Inc. | 1,861 | |||||||
570 | @ | Corning, Inc. | 11,206 | |||||||
1,560 | Motorola, Inc. | 35,240 | ||||||||
630 | Qualcomm, Inc. | 27,140 | ||||||||
90 | Scientific-Atlanta, Inc. | 3,876 | ||||||||
1,138 | Sprint Corp. — FON Group | 26,584 | ||||||||
250 | @ | Tellabs, Inc. | 2,725 | |||||||
1,070 | Verizon Communications, Inc. | 32,228 | ||||||||
261,837 | ||||||||||
Textiles: 0.0% | ||||||||||
70 | Cintas Corp. | 2,883 | ||||||||
2,883 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
90 | Hasbro, Inc. | 1,816 | ||||||||
30 | Mattel, Inc. | 475 | ||||||||
2,291 | ||||||||||
Transportation: 0.1% | ||||||||||
140 | Burlington Northern Santa Fe Corp. | 9,915 | ||||||||
80 | CSX Corp. | 4,062 | ||||||||
120 | FedEx Corp. | 12,407 | ||||||||
240 | Norfolk Southern Corp. | 10,759 | ||||||||
20 | Union Pacific Corp. | 1,610 | ||||||||
430 | United Parcel Service, Inc. | 32,315 | ||||||||
71,068 | ||||||||||
Total Common Stock (Cost $4,016,733) | 4,386,692 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 78.3% | ||||||||||
Federal Home Loan Bank: 24.2% | ||||||||||
$ | 15,000,000 | 4.520%, due 06/13/06 | $ | 14,697,600 | ||||||
14,697,600 | ||||||||||
Federal Home Loan Mortgage Corporation: 13.5% | ||||||||||
2,538,000 | 4.140%, due 03/15/06 | 2,516,574 | ||||||||
5,800,000 | 4.490%, due 07/15/06 | 5,661,490 | ||||||||
8,178,064 | ||||||||||
Federal National Mortgage Association: 24.2% | ||||||||||
15,000,000 | 4.500%, due 06/13/06 | 14,698,890 | ||||||||
14,698,890 | ||||||||||
Other U.S. Government Agency Obligations: 4.9% | ||||||||||
2,962,000 | FICO STRIP, 4.220%, due 04/06/06 | 2,929,060 | ||||||||
2,929,060 | ||||||||||
Tennessee Valley Authority 11.5% | ||||||||||
6,979,000 | 3.960%, due 01/15/06 | 6,967,512 | ||||||||
6,967,512 | ||||||||||
Total U.S. Government Agency Obligations (Cost $47,473,728) | 47,471,126 | |||||||||
U.S. TREASURY OBLIGATIONS: 1.9% | ||||||||||
U.S. Treasury STRIP: 1.9% | ||||||||||
1,160,000 | 4.350%, due 05/15/06 | 1,141,860 | ||||||||
Total U.S. Treasury Obligations (Cost $1,144,866) | 1,141,860 | |||||||||
OTHER BONDS: 12.2% | ||||||||||
Sovereign: 12.2% | ||||||||||
5,984,000 | Israel Trust, 4.360%, due 05/15/06 | 5,887,790 | ||||||||
1,560,000 | Turkey Trust, 4.360%, due 05/15/06 | 1,534,918 | ||||||||
Total Other Bonds (Cost $7,431,213) | 7,422,708 | |||||||||
Total Long-Term Investments | ||||||||||
(Cost $60,066,540) | 60,422,386 | |||||||||
SHORT-TERM INVESTMENTS: 0.5% | ||||||||||
Repurchase Agreement: 0.5% | ||||||||||
312,000 | Morgan Stanley Repurchase Agreement dated, 12/30/05, 4.230%, due 01/03/06 $312,147 to be received upon repurchase (Collateralized by $610,000 Resolution Funding Corporation, 6.63%, Market Value plus accrued interest $318,688, due 10/15/19) | 312,000 | ||||||||
Total Short-Term Investments (Cost $312,000) | 312,000 | |||||||||
Total Investments in Securities (Cost $60,378,540)* | 100.1 | % | $ | 60,734,386 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (62,523 | ) | ||||||||
Net Assets | 100.0 | % | $ | 60,671,863 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $60,560,825. | |||||
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 377,147 | ||||
Gross Unrealized Depreciation | (203,586 | ) | ||||
Net Unrealized Appreciation | $ | 173,561 | ||||
64
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Shares | Value | |||||||||
COMMON STOCK: 15.5% | ||||||||||
Advertising: 0.0% | ||||||||||
340 | @ | Interpublic Group of Cos., Inc. | $ | 3,281 | ||||||
170 | Omnicom Group | 14,471 | ||||||||
17,752 | ||||||||||
Aerospace/ Defense: 0.4% | ||||||||||
960 | Boeing Co. | 67,430 | ||||||||
230 | General Dynamics Corp. | 26,232 | ||||||||
120 | Goodrich Corp. | 4,932 | ||||||||
100 | L-3 Communications Holdings, Inc. | 7,434 | ||||||||
540 | Lockheed Martin Corp. | 34,360 | ||||||||
319 | Northrop Grumman Corp. | 19,174 | ||||||||
525 | Raytheon Co. | 21,078 | ||||||||
200 | Rockwell Collins, Inc. | 9,294 | ||||||||
890 | United Technologies Corp. | 49,760 | ||||||||
239,694 | ||||||||||
Agriculture: 0.3% | ||||||||||
1,750 | Altria Group, Inc. | 130,760 | ||||||||
940 | Archer-Daniels-Midland Co. | 23,180 | ||||||||
250 | Monsanto Co. | 19,383 | ||||||||
100 | Reynolds America, Inc. | 9,533 | ||||||||
140 | UST, Inc. | 5,716 | ||||||||
188,572 | ||||||||||
Airlines: 0.0% | ||||||||||
590 | Southwest Airlines Co. | 9,694 | ||||||||
9,694 | ||||||||||
Apparel: 0.1% | ||||||||||
600 | @ | Coach, Inc. | 20,004 | |||||||
100 | Jones Apparel Group, Inc. | 3,071 | ||||||||
120 | Liz Claiborne, Inc. | 4,297 | ||||||||
230 | Nike, Inc. | 19,962 | ||||||||
40 | Reebok International Ltd. | 2,329 | ||||||||
140 | VF Corp. | 7,748 | ||||||||
57,411 | ||||||||||
Auto Manufacturers: 0.0% | ||||||||||
2,350 | Ford Motor Co. | 18,142 | ||||||||
18,142 | ||||||||||
Auto Parts & Equipment: 0.0% | ||||||||||
280 | @ | Goodyear Tire & Rubber Co. | 4,866 | |||||||
170 | Johnson Controls, Inc. | 12,395 | ||||||||
17,261 | ||||||||||
Banks: 1.0% | ||||||||||
300 | AmSouth Bancorp | 7,863 | ||||||||
4,598 | Bank of America Corp. | 212,198 | ||||||||
700 | Bank of New York | 22,295 | ||||||||
629 | BB&T Corp. | 26,361 | ||||||||
150 | Comerica, Inc. | 8,514 | ||||||||
110 | Compass Bancshares, Inc. | 5,312 | ||||||||
20 | First Horizon National Corp. | 769 | ||||||||
170 | Huntington Bancshares, Inc. | 4,038 | ||||||||
350 | Keycorp | 11,526 | ||||||||
90 | M&T Bank Corp. | 9,815 | ||||||||
180 | Marshall & Ilsley Corp. | 7,747 | ||||||||
380 | Mellon Financial Corp. | 13,015 | ||||||||
490 | National City Corp. | 16,449 | ||||||||
170 | Northern Trust Corp. | 8,809 | ||||||||
340 | PNC Financial Services Group, Inc. | 21,022 | ||||||||
390 | Regions Financial Corp. | 13,322 | ||||||||
270 | State Street Corp. | 14,969 | ||||||||
330 | SunTrust Banks, Inc. | 24,011 | ||||||||
284 | Synovus Financial Corp. | 7,671 | ||||||||
1,650 | US BanCorp. | 49,319 | ||||||||
1,350 | Wachovia Corp. | 71,361 | ||||||||
1,460 | Wells Fargo & Co. | 91,732 | ||||||||
80 | Zions Bancorporation | 6,045 | ||||||||
654,163 | ||||||||||
Beverages: 0.5% | ||||||||||
670 | Anheuser-Busch Cos., Inc. | 28,783 | ||||||||
70 | Brown-Forman Corp. | 4,852 | ||||||||
3,060 | Coca-Cola Co. | 123,349 | ||||||||
300 | Coca-Cola Enterprises, Inc. | 5,751 | ||||||||
150 | @ | Constellation Brands, Inc. | 3,935 | |||||||
210 | Pepsi Bottling Group, Inc. | 6,008 | ||||||||
2,440 | PepsiCo, Inc. | 144,155 | ||||||||
316,833 | ||||||||||
Biotechnology: 0.2% | ||||||||||
1,092 | @ | Amgen, Inc. | 86,115 | |||||||
50 | @ | Biogen Idec, Inc. | 2,267 | |||||||
90 | @ | Chiron Corp. | 4,001 | |||||||
200 | @ | Genzyme Corp. | 14,156 | |||||||
50 | @ | Millipore Corp. | 3,302 | |||||||
109,841 | ||||||||||
Building Materials: 0.0% | ||||||||||
160 | American Standard Cos, Inc. | 6,392 | ||||||||
380 | Masco Corp. | 11,472 | ||||||||
90 | Vulcan Materials Co. | 6,098 | ||||||||
23,962 | ||||||||||
Chemicals: 0.2% | ||||||||||
200 | Air Products & Chemicals, Inc. | 11,838 | ||||||||
900 | Dow Chemical Co. | 39,438 | ||||||||
100 | Eastman Chemical Co. | 5,159 | ||||||||
200 | Ecolab, Inc. | 7,254 | ||||||||
800 | EI Du Pont de Nemours & Co. | 34,000 | ||||||||
100 | Engelhard Corp. | 3,015 | ||||||||
110 | International Flavors & Fragrances, Inc. | 3,685 | ||||||||
250 | PPG Industries, Inc. | 14,475 | ||||||||
330 | Praxair, Inc. | 17,477 | ||||||||
180 | Rohm & Haas Co. | 8,716 | ||||||||
120 | Sherwin-Williams Co. | 5,450 | ||||||||
60 | Sigma-Aldrich Corp. | 3,797 | ||||||||
154,304 | ||||||||||
Commercial Services: 0.2% | ||||||||||
870 | Cendant Corp. | 15,008 | ||||||||
190 | Equifax, Inc. | 7,224 | ||||||||
470 | H&R Block, Inc. | 11,539 | ||||||||
440 | McKesson Corp. | 22,700 | ||||||||
200 | Moody’s Corp. | 12,284 | ||||||||
320 | Paychex, Inc. | 12,198 | ||||||||
250 | Robert Half International, Inc. | 9,473 | ||||||||
190 | RR Donnelley & Sons Co. | 6,500 | ||||||||
96,926 | ||||||||||
Computers: 0.7% | ||||||||||
110 | @ | Affiliated Computer Services, Inc. | 6,510 | |||||||
1,220 | @ | Apple Computer, Inc. | 87,706 | |||||||
10 | @ | Computer Sciences Corp. | 506 | |||||||
3,430 | @ | Dell, Inc. | 102,866 | |||||||
110 | Electronic Data Systems Corp. | 2,644 | ||||||||
2,860 | EMC Corp. | 38,953 | ||||||||
2,546 | Hewlett-Packard Co. | 72,892 | ||||||||
1,350 | International Business Machines Corp. | 110,970 | ||||||||
200 | @ | NCR Corp. | 6,788 | |||||||
290 | @ | Network Appliance, Inc. | 7,830 |
65
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Shares | Value | |||||||||
Computers: (continued) | ||||||||||
600 | @ | Sun Microsystems, Inc. | $ | 2,514 | ||||||
420 | @ | Unisys Corp. | 2,449 | |||||||
442,628 | ||||||||||
Cosmetics/ Personal Care: 0.3% | ||||||||||
5 | Alberto-Culver Co. | 229 | ||||||||
600 | Colgate-Palmolive Co. | 32,910 | ||||||||
2,930 | Procter & Gamble Co. | 169,588 | ||||||||
202,727 | ||||||||||
Distribution/ Wholesale: 0.0% | ||||||||||
214 | Genuine Parts Co. | 9,399 | ||||||||
70 | WW Grainger, Inc. | 4,977 | ||||||||
14,376 | ||||||||||
Diversified Financial Services: 1.3% | ||||||||||
1,120 | American Express Co. | 57,635 | ||||||||
224 | Ameriprise Financial, Inc. | 9,184 | ||||||||
80 | Bear Stearns Cos, Inc. | 9,242 | ||||||||
260 | Capital One Financial Corp. | 22,464 | ||||||||
890 | Charles Schwab Corp. | 13,056 | ||||||||
230 | CIT Group, Inc. | 11,909 | ||||||||
4,380 | Citigroup, Inc. | 212,561 | ||||||||
108 | Countrywide Financial Corp. | 3,693 | ||||||||
290 | @ | E*Trade Financial Corp. | 6,049 | |||||||
870 | Fannie Mae | 42,465 | ||||||||
40 | Federated Investors, Inc. | 1,482 | ||||||||
130 | Franklin Resources, Inc. | 12,221 | ||||||||
540 | Goldman Sachs Group, Inc. | 68,963 | ||||||||
2,980 | JPMorgan Chase & Co. | 118,276 | ||||||||
400 | Lehman Brothers Holdings, Inc. | 51,268 | ||||||||
1,130 | MBNA Corp. | 30,680 | ||||||||
1,080 | Merrill Lynch & Co., Inc. | 73,148 | ||||||||
910 | Morgan Stanley | 51,633 | ||||||||
350 | SLM Corp. | 19,282 | ||||||||
100 | T. Rowe Price Group, Inc. | 7,203 | ||||||||
822,414 | ||||||||||
Electric: 0.5% | ||||||||||
590 | @ | AES Corp. | 9,340 | |||||||
140 | @ | Allegheny Energy, Inc. | 4,431 | |||||||
30 | Ameren Corp. | 1,537 | ||||||||
320 | American Electric Power Co., Inc. | 11,869 | ||||||||
240 | CenterPoint Energy Resources Corp. | 3,084 | ||||||||
150 | Cinergy Corp. | 6,369 | ||||||||
340 | @ | CMS Energy Corp. | 4,933 | |||||||
250 | Consolidated Edison, Inc. | 11,583 | ||||||||
200 | Constellation Energy Group, Inc. | 11,520 | ||||||||
300 | Dominion Resources, Inc. | 23,160 | ||||||||
150 | DTE Energy Co. | 6,479 | ||||||||
820 | Duke Energy Corp. | 22,509 | ||||||||
390 | Edison International | 17,008 | ||||||||
330 | FirstEnergy Corp. | 16,167 | ||||||||
350 | FPL Group, Inc. | 14,546 | ||||||||
250 | NiSource, Inc. | 5,215 | ||||||||
320 | Pacific Gas & Electric Co. | 11,878 | ||||||||
90 | Pinnacle West Capital Corp. | 3,722 | ||||||||
420 | PPL Corp. | 12,348 | ||||||||
200 | Progress Energy, Inc. | 8,784 | ||||||||
250 | Public Service Enterprise Group, Inc. | 16,243 | ||||||||
640 | Southern Co. | 22,099 | ||||||||
340 | TECO Energy, Inc. | 5,841 | ||||||||
760 | TXU Corp. | 38,144 | ||||||||
350 | Xcel Energy, Inc. | 6,461 | ||||||||
295,270 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
150 | American Power Conversion | 3,300 | ||||||||
470 | Emerson Electric Co. | 35,109 | ||||||||
38,409 | ||||||||||
Electronics: 0.1% | ||||||||||
580 | @ | Agilent Technologies, Inc. | 19,308 | |||||||
180 | Applera Corp. — Applied Biosystems Group | 4,781 | ||||||||
170 | @ | Jabil Circuit, Inc. | 6,305 | |||||||
100 | PerkinElmer, Inc. | 2,356 | ||||||||
430 | @ | Sanmina-SCI Corp. | 1,832 | |||||||
1,560 | @ | Solectron Corp. | 5,710 | |||||||
190 | @ | Thermo Electron Corp. | 5,725 | |||||||
100 | @ | Waters Corp. | 3,780 | |||||||
49,797 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
20 | Fluor Corp. | 1,545 | ||||||||
1,545 | ||||||||||
Entertainment: 0.0% | ||||||||||
300 | International Game Technology | 9,234 | ||||||||
9,234 | ||||||||||
Environmental Control: 0.0% | ||||||||||
460 | Waste Management, Inc. | 13,961 | ||||||||
13,961 | ||||||||||
Food: 0.2% | ||||||||||
160 | Campbell Soup Co. | 4,763 | ||||||||
450 | ConAgra Foods, Inc. | 9,126 | ||||||||
420 | General Mills, Inc. | 20,714 | ||||||||
190 | Hershey Foods Corp. | 10,498 | ||||||||
280 | HJ Heinz Co. | 9,442 | ||||||||
230 | Kellogg Co. | 9,941 | ||||||||
580 | @ | Kroger Co. | 10,950 | |||||||
180 | McCormick & Co., Inc. | 5,566 | ||||||||
390 | Safeway, Inc. | 9,227 | ||||||||
661 | Sara Lee Corp. | 12,493 | ||||||||
190 | Supervalu, Inc. | 6,171 | ||||||||
220 | Tyson Foods, Inc. | 3,762 | ||||||||
170 | WM Wrigley Jr. Co. | 11,303 | ||||||||
123,956 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
140 | Louisiana-Pacific Corp. | 3,846 | ||||||||
190 | MeadWestvaco Corp. | 5,326 | ||||||||
30 | Plum Creek Timber Co., Inc. | 1,082 | ||||||||
120 | Temple-Inland, Inc. | 5,382 | ||||||||
220 | Weyerhaeuser Co. | 14,595 | ||||||||
30,231 | ||||||||||
Gas: 0.0% | ||||||||||
230 | Sempra Energy | 10,313 | ||||||||
10,313 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
70 | Black & Decker Corp. | 6,087 | ||||||||
80 | Snap-On, Inc. | 3,005 | ||||||||
110 | Stanley Works | 5,284 | ||||||||
14,376 | ||||||||||
Healthcare — Products: 0.5% | ||||||||||
30 | Bausch & Lomb, Inc. | 2,037 | ||||||||
510 | Baxter International, Inc. | 19,202 | ||||||||
230 | Becton Dickinson & Co. | 13,818 | ||||||||
510 | @ | Boston Scientific Corp. | 12,490 | |||||||
120 | CR Bard, Inc. | 7,910 | ||||||||
290 | Guidant Corp. | 18,778 | ||||||||
2,550 | Johnson & Johnson | 153,255 |
66
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Shares | Value | |||||||||
Healthcare — Products: (continued) | ||||||||||
1,060 | Medtronic, Inc. | $ | 61,024 | |||||||
300 | @ | St. Jude Medical, Inc. | 15,060 | |||||||
250 | Stryker Corp. | 11,108 | ||||||||
314,682 | ||||||||||
Healthcare — Services: 0.4% | ||||||||||
420 | Aetna, Inc. | 39,610 | ||||||||
255 | @ | Coventry Health Care, Inc. | 14,525 | |||||||
230 | @ | Humana, Inc. | 12,496 | |||||||
20 | @ | Laboratory Corp. of America Holdings | 1,077 | |||||||
80 | Quest Diagnostics | 4,118 | ||||||||
1,440 | UnitedHealth Group, Inc. | 89,482 | ||||||||
920 | @ | WellPoint, Inc. | 73,407 | |||||||
234,715 | ||||||||||
Home Builders: 0.0% | ||||||||||
110 | Lennar Corp. | 6,712 | ||||||||
6,712 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
80 | Whirlpool Corp. | 6,701 | ||||||||
6,701 | ||||||||||
Household Products/ Wares: 0.1% | ||||||||||
140 | Clorox Co. | 7,965 | ||||||||
120 | Fortune Brands, Inc. | 9,362 | ||||||||
430 | Kimberly-Clark Corp. | 25,650 | ||||||||
42,977 | ||||||||||
Housewares: 0.0% | ||||||||||
340 | Newell Rubbermaid, Inc. | 8,085 | ||||||||
8,085 | ||||||||||
Insurance: 0.9% | ||||||||||
260 | @@ | ACE Ltd | 13,894 | |||||||
420 | Aflac, Inc. | 19,496 | ||||||||
570 | Allstate Corp. | 30,820 | ||||||||
90 | AMBAC Financial Group, Inc. | 6,935 | ||||||||
2,250 | American International Group, Inc. | 153,518 | ||||||||
280 | AON Corp. | 10,066 | ||||||||
290 | Chubb Corp. | 28,319 | ||||||||
110 | Cigna Corp. | 12,287 | ||||||||
135 | Cincinnati Financial Corp. | 6,032 | ||||||||
300 | Genworth Financial, Inc. | 10,374 | ||||||||
270 | Hartford Financial Services Group, Inc. | 23,190 | ||||||||
110 | Jefferson-Pilot Corp. | 6,262 | ||||||||
190 | Lincoln National Corp. | 10,076 | ||||||||
120 | Loews Corp. | 11,382 | ||||||||
335 | Marsh & McLennan Cos., Inc. | 10,640 | ||||||||
130 | MBIA, Inc. | 7,821 | ||||||||
1,100 | Metlife, Inc. | 53,900 | ||||||||
120 | MGIC Investment Corp. | 7,898 | ||||||||
330 | Principal Financial Group | 15,652 | ||||||||
180 | Progressive Corp. | 21,020 | ||||||||
600 | Prudential Financial, Inc. | 43,914 | ||||||||
110 | Safeco Corp. | 6,215 | ||||||||
580 | St. Paul Cos | 25,909 | ||||||||
90 | Torchmark Corp. | 5,004 | ||||||||
280 | UnumProvident Corp. | 6,370 | ||||||||
20 | @@ | XL Capital Ltd | 1,348 | |||||||
548,342 | ||||||||||
Internet: 0.1% | ||||||||||
350 | @ | Amazon.com, Inc. | 16,503 | |||||||
1,000 | @ | eBay, Inc. | 43,250 | |||||||
100 | @ | Monster Worldwide, Inc. | 4,082 | |||||||
894 | @ | Symantec Corp. | 15,645 | |||||||
220 | @ | Yahoo!, Inc. | 8,620 | |||||||
88,100 | ||||||||||
Iron/ Steel: 0.0% | ||||||||||
230 | Nucor Corp. | 15,346 | ||||||||
160 | United States Steel Corp. | 7,691 | ||||||||
23,037 | ||||||||||
Leisure Time: 0.1% | ||||||||||
120 | Brunswick Corp. | 4,879 | ||||||||
370 | Carnival Corp. | 19,784 | ||||||||
260 | Harley-Davidson, Inc. | 13,387 | ||||||||
20 | Sabre Holdings Corp. | 482 | ||||||||
38,532 | ||||||||||
Lodging: 0.1% | ||||||||||
300 | Hilton Hotels Corp. | 7,233 | ||||||||
180 | Marriott International, Inc. | 12,055 | ||||||||
160 | Starwood Hotels & Resorts Worldwide, Inc. | 10,218 | ||||||||
29,506 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
60 | Cummins, Inc. | 5,384 | ||||||||
140 | Rockwell Automation, Inc. | 8,282 | ||||||||
13,666 | ||||||||||
Media: 0.4% | ||||||||||
480 | Clear Channel Communications, Inc. | 15,096 | ||||||||
1,930 | @ | Comcast Corp. | 50,103 | |||||||
40 | Gannett Co., Inc. | 2,423 | ||||||||
590 | McGraw-Hill Cos, Inc. | 30,462 | ||||||||
30 | Meredith Corp. | 1,570 | ||||||||
130 | New York Times Co. | 3,439 | ||||||||
2,120 | News Corp., Inc. | 32,966 | ||||||||
4,120 | Time Warner, Inc. | 71,853 | ||||||||
30 | Tribune Co. | 908 | ||||||||
200 | @ | Univision Communications, Inc. | 5,878 | |||||||
1,390 | Viacom, Inc. | 45,314 | ||||||||
350 | Walt Disney Co. | 8,390 | ||||||||
268,402 | ||||||||||
Mining: 0.1% | ||||||||||
280 | Freeport-McMoRan Copper & Gold, Inc. | 15,064 | ||||||||
100 | Newmont Mining Corp. | 5,340 | ||||||||
100 | Phelps Dodge Corp. | 14,387 | ||||||||
34,791 | ||||||||||
Miscellaneous Manufacturing: 0.8% | ||||||||||
890 | 3M Co. | 68,975 | ||||||||
80 | @ | Cooper Industries Ltd. | 5,840 | |||||||
240 | Danaher Corp. | 13,387 | ||||||||
170 | Dover Corp. | 6,883 | ||||||||
120 | Eaton Corp. | 8,051 | ||||||||
8,980 | General Electric Co. | 314,749 | ||||||||
750 | Honeywell International, Inc. | 27,938 | ||||||||
180 | Illinois Tool Works, Inc. | 15,838 | ||||||||
310 | @@ | Ingersoll-Rand Co. | 12,515 | |||||||
100 | ITT Industries, Inc. | 10,282 | ||||||||
100 | Parker Hannifin Corp. | 6,596 | ||||||||
120 | Textron, Inc. | 9,238 | ||||||||
500,292 | ||||||||||
Office/ Business Equipment: 0.0% | ||||||||||
190 | Pitney Bowes, Inc. | 8,028 | ||||||||
820 | @ | Xerox Corp. | 12,013 | |||||||
20,041 | ||||||||||
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Oil & Gas: 1.4% | ||||||||||
50 | Amerada Hess Corp. | $ | 6,341 | |||||||
160 | Anadarko Petroleum Corp. | 15,160 | ||||||||
240 | Apache Corp. | 16,445 | ||||||||
510 | Burlington Resources, Inc. | 43,962 | ||||||||
1,734 | ChevronTexaco Corp. | 98,439 | ||||||||
1,392 | ConocoPhillips | 80,987 | ||||||||
570 | Devon Energy Corp. | 35,648 | ||||||||
240 | EOG Resources, Inc. | 17,609 | ||||||||
8,320 | Exxon Mobil Corp. | 467,334 | ||||||||
110 | Kerr-McGee Corp. | 9,995 | ||||||||
270 | Marathon Oil Corp. | 16,462 | ||||||||
130 | Murphy Oil Corp. | 7,019 | ||||||||
120 | @,@@ | Nabors Industries Ltd. | 9,090 | |||||||
20 | @ | Noble Corp. | 1,411 | |||||||
290 | Occidental Petroleum Corp. | 23,165 | ||||||||
60 | Rowan Cos., Inc. | 2,138 | ||||||||
180 | Sunoco, Inc. | 14,108 | ||||||||
240 | @ | Transocean, Inc. | 16,726 | |||||||
800 | Valero Energy Corp. | 41,280 | ||||||||
923,319 | ||||||||||
Oil & Gas Services: 0.1% | ||||||||||
50 | Baker Hughes, Inc. | 3,039 | ||||||||
380 | Halliburton Co. | 23,545 | ||||||||
440 | Schlumberger Ltd. | 42,746 | ||||||||
69,330 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
100 | Ball Corp. | 3,972 | ||||||||
80 | @ | Sealed Air Corp. | 4,494 | |||||||
8,466 | ||||||||||
Pharmaceuticals: 0.8% | ||||||||||
1,370 | Abbott Laboratories | 54,019 | ||||||||
110 | Allergan, Inc. | 11,876 | ||||||||
280 | AmerisourceBergen Corp. | 11,592 | ||||||||
340 | Bristol-Myers Squibb Co. | 7,813 | ||||||||
360 | Cardinal Health, Inc. | 24,750 | ||||||||
400 | @ | Caremark Rx, Inc. | 20,716 | |||||||
130 | @ | Express Scripts, Inc. | 10,894 | |||||||
270 | @ | Forest Laboratories, Inc. | 10,984 | |||||||
380 | @ | Gilead Sciences, Inc. | 19,999 | |||||||
250 | @ | Hospira, Inc. | 10,695 | |||||||
330 | @ | King Pharmaceuticals, Inc. | 5,584 | |||||||
240 | @ | Medco Health Solutions, Inc. | 13,392 | |||||||
2,520 | Merck & Co., Inc. | 80,161 | ||||||||
190 | Mylan Laboratories | 3,792 | ||||||||
6,330 | Pfizer, Inc. | 147,616 | ||||||||
1,290 | Schering-Plough Corp. | 26,897 | ||||||||
100 | @ | Watson Pharmaceuticals, Inc. | 3,251 | |||||||
1,180 | Wyeth | 54,363 | ||||||||
518,394 | ||||||||||
Pipelines: 0.0% | ||||||||||
90 | El Paso Corp. | 1,094 | ||||||||
70 | Kinder Morgan, Inc. | 6,437 | ||||||||
420 | Williams Cos., Inc. | 9,731 | ||||||||
17,262 | ||||||||||
Real Estate Investment Trust: 0.1% | ||||||||||
80 | Apartment Investment & Management Co. | 3,030 | ||||||||
190 | Archstone-Smith Trust | 7,959 | ||||||||
350 | Equity Office Properties Trust | 10,616 | ||||||||
20 | Prologis | 934 | ||||||||
80 | Public Storage, Inc. | 5,418 | ||||||||
180 | Simon Property Group LP | 13,793 | ||||||||
40 | Vornado Realty Trust | 3,339 | ||||||||
45,089 | ||||||||||
Retail: 0.9% | ||||||||||
160 | @ | Autonation, Inc. | 3,477 | |||||||
30 | @ | Autozone, Inc. | 2,753 | |||||||
280 | @ | Bed Bath & Beyond, Inc. | 10,122 | |||||||
475 | Best Buy Co., Inc. | 20,653 | ||||||||
180 | Circuit City Stores, Inc. | 4,066 | ||||||||
410 | Costco Wholesale Corp. | 20,283 | ||||||||
200 | Darden Restaurants, Inc. | 7,776 | ||||||||
240 | Dollar General Corp. | 4,577 | ||||||||
150 | Family Dollar Stores, Inc. | 3,719 | ||||||||
314 | Federated Department Stores | 20,828 | ||||||||
500 | Gap, Inc. | 8,820 | ||||||||
1,880 | Home Depot, Inc. | 76,102 | ||||||||
300 | JC Penney Co., Inc. | 16,680 | ||||||||
50 | @ | Kohl’s Corp. | 2,430 | |||||||
60 | Limited Brands | 1,341 | ||||||||
690 | Lowe’s Cos., Inc. | 45,995 | ||||||||
1,420 | McDonald’s Corp. | 47,882 | ||||||||
340 | Nordstrom, Inc. | 12,716 | ||||||||
230 | @ | Office Depot, Inc. | 7,222 | |||||||
90 | @ | Sears Holding Corp. | 10,398 | |||||||
855 | Staples, Inc. | 19,417 | ||||||||
740 | @ | Starbucks Corp. | 22,207 | |||||||
780 | Target Corp. | 42,877 | ||||||||
60 | Tiffany & Co. | 2,297 | ||||||||
400 | TJX Cos., Inc. | 9,292 | ||||||||
2,100 | Wal-Mart Stores, Inc. | 98,280 | ||||||||
850 | Walgreen Co. | 37,621 | ||||||||
100 | Wendy’s International, Inc. | 5,526 | ||||||||
330 | Yum! Brands, Inc. | 15,470 | ||||||||
580,827 | ||||||||||
Savings & Loans: 0.1% | ||||||||||
240 | Golden West Financial Corp. | 15,840 | ||||||||
860 | Washington Mutual, Inc. | 37,410 | ||||||||
53,250 | ||||||||||
Semiconductors: 0.6% | ||||||||||
310 | @ | Altera Corp. | 5,744 | |||||||
330 | Analog Devices, Inc. | 11,837 | ||||||||
1,390 | Applied Materials, Inc. | 24,937 | ||||||||
240 | @ | Broadcom Corp. | 11,315 | |||||||
344 | @ | Freescale Semiconductor, Inc. | 8,658 | |||||||
8,310 | Intel Corp. | 207,417 | ||||||||
160 | Kla-Tencor Corp. | 7,893 | ||||||||
250 | Linear Technology Corp. | 9,018 | ||||||||
300 | @ | LSI Logic Corp. | 2,400 | |||||||
250 | Maxim Integrated Products | 9,060 | ||||||||
500 | @ | Micron Technology, Inc. | 6,655 | |||||||
480 | National Semiconductor Corp. | 12,470 | ||||||||
120 | @ | Novellus Systems, Inc. | 2,894 | |||||||
140 | @ | Nvidia Corp. | 5,118 | |||||||
80 | @ | QLogic Corp. | 2,601 | |||||||
2,370 | Texas Instruments, Inc. | 76,006 | ||||||||
404,023 | ||||||||||
Software: 0.6% | ||||||||||
430 | Adobe Systems, Inc. | 15,893 | ||||||||
270 | Autodesk, Inc. | 11,597 | ||||||||
670 | Automatic Data Processing, Inc. | 30,746 | ||||||||
320 | @ | BMC Software, Inc. | 6,557 | |||||||
230 | @ | Citrix Systems, Inc. | 6,619 | |||||||
414 | Computer Associates International, Inc. | 11,671 | ||||||||
470 | @ | Compuware Corp. | 4,216 | |||||||
250 | @ | Electronic Arts, Inc. | 13,078 | |||||||
663 | First Data Corp. | 28,516 | ||||||||
170 | @ | Fiserv, Inc. | 7,356 | |||||||
250 | IMS Health, Inc. | 6,230 | ||||||||
250 | @ | Intuit, Inc. | 13,325 | |||||||
80 | @ | Mercury Interactive Corp. | 2,223 | |||||||
7,780 | Microsoft Corp. | 203,447 |
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Software: (continued) | ||||||||||
460 | @ | Novell, Inc. | $ | 4,062 | ||||||
3,270 | @ | Oracle Corp. | 39,927 | |||||||
430 | @ | Parametric Technology Corp. | 2,623 | |||||||
370 | Siebel Systems, Inc. | 3,915 | ||||||||
412,001 | ||||||||||
Telecommunications: 0.9% | ||||||||||
330 | Alltel Corp. | 20,822 | ||||||||
4,506 | AT&T, Inc. | 110,351 | ||||||||
70 | @ | Avaya, Inc. | 746 | |||||||
1,610 | BellSouth Corp. | 43,630 | ||||||||
170 | CenturyTel, Inc. | 5,636 | ||||||||
5,620 | @ | Cisco Systems, Inc. | 96,213 | |||||||
170 | @ | Comverse Technology, Inc. | 4,519 | |||||||
1,290 | @ | Corning, Inc. | 25,361 | |||||||
3,530 | Motorola, Inc. | 79,743 | ||||||||
1,430 | Qualcomm, Inc. | 61,604 | ||||||||
220 | Scientific-Atlanta, Inc. | 9,475 | ||||||||
2,581 | Sprint Corp. — FON Group | 60,292 | ||||||||
460 | @ | Tellabs, Inc. | 5,014 | |||||||
2,430 | Verizon Communications, Inc. | 73,192 | ||||||||
596,598 | ||||||||||
Textiles: 0.0% | ||||||||||
180 | Cintas Corp. | 7,412 | ||||||||
7,412 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
260 | Hasbro, Inc. | 5,247 | ||||||||
80 | Mattel, Inc. | 1,266 | ||||||||
6,513 | ||||||||||
Transportation: 0.3% | ||||||||||
330 | Burlington Northern Santa Fe Corp. | 23,371 | ||||||||
250 | CSX Corp. | 12,693 | ||||||||
270 | FedEx Corp. | 27,915 | ||||||||
470 | Norfolk Southern Corp. | 21,070 | ||||||||
30 | Union Pacific Corp. | 2,415 | ||||||||
970 | United Parcel Service, Inc. | 72,896 | ||||||||
160,360 | ||||||||||
Total Common Stock (Cost $9,112,217) | 9,955,217 | |||||||||
CORPORATE BONDS/ NOTES: 6.2% | ||||||||||
Diversified Financial Services: 6.2% | ||||||||||
$ | 4,000,000 | General Electric Capital Corp., 5.000%, due 06/15/07 | $ | 4,008,960 | ||||||
Total Corporate Bonds/Notes (Cost $4,066,930) | 4,008,960 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 69.9% | ||||||||||
Federal Home Loan Bank: 45.3% | ||||||||||
30,000,000 | 4.600%, due 09/15/06 | 29,042,970 | ||||||||
29,042,970 | ||||||||||
Federal Home Loan Mortgage Corporation: 9.5% | ||||||||||
6,250,000 | 4.490%, due 07/15/06 | 6,100,744 | ||||||||
6,100,744 | ||||||||||
Federal National Mortgage Association: 15.1% | ||||||||||
10,000,000 | 4.580%, due 09/15/06 | 9,682,320 | ||||||||
9,682,320 | ||||||||||
Total U.S. Government Agency Obligations (Cost $44,966,767) | 44,826,034 | |||||||||
U.S. TREASURY OBLIGATIONS: 7.2% | ||||||||||
U.S. Treasury STRIPS: 7.2% | ||||||||||
2,642,000 | 4.350%, due 05/15/06 | 2,600,684 | ||||||||
2,080,000 | 4.460%, due 11/15/06 | 2,002,252 | ||||||||
Total U.S. Treasury Obligations (Cost $4,609,944) | 4,602,936 | |||||||||
Total Long-Term Investments | ||||||||||
(Cost $62,755,858) | $ | 63,393,147 | ||||||||
SHORT-TERM INVESTMENTS: 1.3% | ||||||||||
Repurchase Agreement: 1.3% | ||||||||||
835,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $835,394 to be received upon repurchase (Collateralized by $867,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $852,593, due 09/15/08) | 835,000 | ||||||||
Total Short-Term Investments (Cost $835,000) | 835,000 | |||||||||
Total Investments in Securities (Cost $63,590,858)* | 100.1 | % | $ | 64,228,147 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (44,667 | ) | ||||||||
Net Assets | 100.0 | % | $ | 64,183,480 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
C | Bond may be called prior to maturity date. | |||||
* | Cost for federal income tax purposes is $63,814,634. Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 941,689 | ||||
Gross Unrealized Depreciation | (528,176 | ) | ||||
Net Unrealized Appreciation | $ | 413,513 | ||||
69
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COMMON STOCK: 8.9% | ||||||||||
Advertising: 0.0% | ||||||||||
340 | @ | Interpublic Group of Cos., Inc. | $ | 3,281 | ||||||
150 | Omnicom Group | 12,770 | ||||||||
16,051 | ||||||||||
Aerospace/ Defense: 0.2% | ||||||||||
860 | Boeing Co. | 60,406 | ||||||||
210 | General Dynamics Corp. | 23,951 | ||||||||
90 | Goodrich Corp. | 3,699 | ||||||||
90 | L-3 Communications Holdings, Inc. | 6,692 | ||||||||
500 | Lockheed Martin Corp. | 31,815 | ||||||||
290 | Northrop Grumman Corp. | 17,432 | ||||||||
480 | Raytheon Co. | 19,272 | ||||||||
220 | Rockwell Collins, Inc. | 10,223 | ||||||||
830 | United Technologies Corp. | 46,405 | ||||||||
219,895 | ||||||||||
Agriculture: 0.2% | ||||||||||
1,610 | Altria Group, Inc. | 120,299 | ||||||||
910 | Archer-Daniels-Midland Co. | 22,441 | ||||||||
230 | Monsanto Co. | 17,832 | ||||||||
90 | Reynolds America, Inc. | 8,580 | ||||||||
130 | UST, Inc. | 5,308 | ||||||||
174,460 | ||||||||||
Airlines: 0.0% | ||||||||||
540 | Southwest Airlines Co. | 8,872 | ||||||||
8,872 | ||||||||||
Apparel: 0.1% | ||||||||||
550 | @ | Coach, Inc. | 18,337 | |||||||
100 | Jones Apparel Group, Inc. | 3,072 | ||||||||
140 | Liz Claiborne, Inc. | 5,015 | ||||||||
210 | Nike, Inc. | 18,226 | ||||||||
40 | Reebok International Ltd. | 2,329 | ||||||||
140 | VF Corp. | 7,748 | ||||||||
54,727 | ||||||||||
Auto Manufacturers: 0.0% | ||||||||||
2,060 | Ford Motor Co. | 15,903 | ||||||||
15,903 | ||||||||||
Auto Parts & Equipment: 0.0% | ||||||||||
250 | @ | Goodyear Tire & Rubber Co. | 4,345 | |||||||
150 | Johnson Controls, Inc. | 10,937 | ||||||||
15,282 | ||||||||||
Banks: 0.6% | ||||||||||
270 | AmSouth Bancorp | 7,077 | ||||||||
4,194 | Bank of America Corp. | 193,553 | ||||||||
640 | Bank of New York | 20,384 | ||||||||
571 | BB&T Corp. | 23,931 | ||||||||
140 | Comerica, Inc. | 7,946 | ||||||||
90 | Compass Bancshares, Inc. | 4,346 | ||||||||
50 | First Horizon National Corp. | 1,922 | ||||||||
170 | Huntington Bancshares, Inc. | 4,038 | ||||||||
320 | Keycorp | 10,538 | ||||||||
80 | M&T Bank Corp. | 8,724 | ||||||||
160 | Marshall & Ilsley Corp. | 6,886 | ||||||||
340 | Mellon Financial Corp. | 11,645 | ||||||||
450 | National City Corp. | 15,107 | ||||||||
150 | Northern Trust Corp. | 7,773 | ||||||||
300 | PNC Financial Services Group, Inc. | 18,549 | ||||||||
360 | Regions Financial Corp. | 12,298 | ||||||||
250 | State Street Corp. | 13,860 | ||||||||
300 | SunTrust Banks, Inc. | 21,828 | ||||||||
260 | Synovus Financial Corp. | 7,023 | ||||||||
1,510 | US BanCorp. | 45,134 | ||||||||
1,278 | Wachovia Corp. | 67,555 | ||||||||
1,340 | Wells Fargo & Co. | 84,192 | ||||||||
70 | Zions Bancorporation | 5,289 | ||||||||
599,598 | ||||||||||
Beverages: 0.3% | ||||||||||
610 | Anheuser-Busch Cos., Inc. | 26,206 | ||||||||
70 | Brown-Forman Corp. | 4,852 | ||||||||
2,600 | Coca-Cola Co. | 104,806 | ||||||||
270 | Coca-Cola Enterprises, Inc. | 5,176 | ||||||||
140 | @ | Constellation Brands, Inc. | 3,672 | |||||||
150 | Pepsi Bottling Group, Inc. | 4,292 | ||||||||
2,230 | PepsiCo, Inc. | 131,748 | ||||||||
280,752 | ||||||||||
Biotechnology: 0.1% | ||||||||||
954 | @ | Amgen, Inc. | 75,232 | |||||||
50 | @ | Biogen Idec, Inc. | 2,267 | |||||||
90 | @ | Chiron Corp. | 4,001 | |||||||
190 | @ | Genzyme Corp. | 13,448 | |||||||
40 | @ | Millipore Corp. | 2,642 | |||||||
97,590 | ||||||||||
Building Materials: 0.0% | ||||||||||
150 | American Standard Cos, Inc. | 5,993 | ||||||||
350 | Masco Corp. | 10,567 | ||||||||
120 | Vulcan Materials Co. | 8,130 | ||||||||
24,690 | ||||||||||
Chemicals: 0.1% | ||||||||||
170 | Air Products & Chemicals, Inc. | 10,062 | ||||||||
790 | Dow Chemical Co. | 34,618 | ||||||||
110 | Eastman Chemical Co. | 5,675 | ||||||||
180 | Ecolab, Inc. | 6,529 | ||||||||
750 | EI Du Pont de Nemours & Co. | 31,875 | ||||||||
50 | Engelhard Corp. | 1,508 | ||||||||
110 | International Flavors & Fragrances, Inc. | 3,685 | ||||||||
230 | PPG Industries, Inc. | 13,317 | ||||||||
300 | Praxair, Inc. | 15,888 | ||||||||
170 | Rohm & Haas Co. | 8,231 | ||||||||
110 | Sherwin-Williams Co. | 4,996 | ||||||||
50 | Sigma-Aldrich Corp. | 3,165 | ||||||||
139,549 | ||||||||||
Commercial Services: 0.1% | ||||||||||
810 | Cendant Corp. | 13,973 | ||||||||
190 | Equifax, Inc. | 7,224 | ||||||||
430 | H&R Block, Inc. | 10,557 | ||||||||
430 | McKesson Corp. | 22,184 | ||||||||
190 | Moody’s Corp. | 11,670 | ||||||||
290 | Paychex, Inc. | 11,055 | ||||||||
130 | Robert Half International, Inc. | 4,926 | ||||||||
170 | RR Donnelley & Sons Co. | 5,816 | ||||||||
87,405 | ||||||||||
Computers: 0.4% | ||||||||||
100 | @ | Affiliated Computer Services, Inc. | 5,918 | |||||||
1,090 | @ | Apple Computer, Inc. | 78,360 | |||||||
30 | @ | Computer Sciences Corp. | 1,519 | |||||||
3,150 | @ | Dell, Inc. | 94,469 | |||||||
80 | Electronic Data Systems Corp. | 1,923 | ||||||||
2,620 | EMC Corp. | 35,684 | ||||||||
2,449 | Hewlett-Packard Co. | 70,115 | ||||||||
1,280 | International Business Machines Corp. | 105,216 | ||||||||
90 | @ | Lexmark International, Inc. | 4,035 | |||||||
220 | @ | NCR Corp. | 7,467 | |||||||
270 | @ | Network Appliance, Inc. | 7,290 |
70
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Shares | Value | |||||||||
Computers: (continued) | ||||||||||
530 | @ | Sun Microsystems, Inc. | $ | 2,221 | ||||||
460 | @ | Unisys Corp. | 2,682 | |||||||
416,899 | ||||||||||
Cosmetics/ Personal Care: 0.2% | ||||||||||
65 | Alberto-Culver Co. | 2,974 | ||||||||
550 | Colgate-Palmolive Co. | 30,168 | ||||||||
2,721 | Procter & Gamble Co. | 157,491 | ||||||||
190,633 | ||||||||||
Distribution/ Wholesale: 0.0% | ||||||||||
186 | Genuine Parts Co. | 8,169 | ||||||||
60 | WW Grainger, Inc. | 4,266 | ||||||||
12,435 | ||||||||||
Diversified Financial Services: 0.7% | ||||||||||
1,020 | American Express Co. | 52,489 | ||||||||
204 | Ameriprise Financial, Inc. | 8,364 | ||||||||
120 | Bear Stearns Cos, Inc. | 13,864 | ||||||||
240 | Capital One Financial Corp. | 20,736 | ||||||||
820 | Charles Schwab Corp. | 12,029 | ||||||||
210 | CIT Group, Inc. | 10,874 | ||||||||
4,000 | Citigroup, Inc. | 194,120 | ||||||||
98 | Countrywide Financial Corp. | 3,351 | ||||||||
270 | @ | E*Trade Financial Corp. | 5,632 | |||||||
800 | Fannie Mae | 39,048 | ||||||||
50 | Federated Investors, Inc. | 1,852 | ||||||||
120 | Franklin Resources, Inc. | 11,281 | ||||||||
490 | Goldman Sachs Group, Inc. | 62,578 | ||||||||
2,720 | JPMorgan Chase & Co. | 107,957 | ||||||||
300 | Lehman Brothers Holdings, Inc. | 38,451 | ||||||||
1,040 | MBNA Corp. | 28,236 | ||||||||
970 | Merrill Lynch & Co., Inc. | 65,698 | ||||||||
840 | Morgan Stanley | 47,662 | ||||||||
330 | SLM Corp. | 18,180 | ||||||||
90 | T. Rowe Price Group, Inc. | 6,483 | ||||||||
748,885 | ||||||||||
Electric: 0.3% | ||||||||||
540 | @ | AES Corp. | 8,548 | |||||||
120 | @ | Allegheny Energy, Inc. | 3,798 | |||||||
30 | Ameren Corp. | 1,537 | ||||||||
330 | American Electric Power Co., Inc. | 12,240 | ||||||||
360 | CenterPoint Energy Resources Corp. | 4,626 | ||||||||
160 | Cinergy Corp. | 6,794 | ||||||||
310 | @ | CMS Energy Corp. | 4,498 | |||||||
210 | Consolidated Edison, Inc. | 9,729 | ||||||||
150 | Constellation Energy Group, Inc. | 8,640 | ||||||||
270 | Dominion Resources, Inc. | 20,844 | ||||||||
140 | DTE Energy Co. | 6,047 | ||||||||
750 | Duke Energy Corp. | 20,588 | ||||||||
350 | Edison International | 15,264 | ||||||||
280 | FirstEnergy Corp. | 13,717 | ||||||||
320 | FPL Group, Inc. | 13,299 | ||||||||
230 | NiSource, Inc. | 4,798 | ||||||||
310 | Pacific Gas & Electric Co. | 11,507 | ||||||||
90 | Pinnacle West Capital Corp. | 3,722 | ||||||||
360 | PPL Corp. | 10,584 | ||||||||
200 | Progress Energy, Inc. | 8,784 | ||||||||
180 | Public Service Enterprise Group, Inc. | 11,695 | ||||||||
590 | Southern Co. | 20,373 | ||||||||
310 | TECO Energy, Inc. | 5,326 | ||||||||
680 | TXU Corp. | 34,129 | ||||||||
320 | Xcel Energy, Inc. | 5,907 | ||||||||
266,994 | ||||||||||
Electrical Components & Equipment: 0.0% | ||||||||||
140 | American Power Conversion | 3,080 | ||||||||
430 | Emerson Electric Co. | 32,121 | ||||||||
35,201 | ||||||||||
Electronics: 0.1% | ||||||||||
540 | @ | Agilent Technologies, Inc. | 17,977 | |||||||
210 | Applera Corp. — Applied Biosystems Group | 5,578 | ||||||||
140 | @ | Jabil Circuit, Inc. | 5,193 | |||||||
140 | PerkinElmer, Inc. | 3,298 | ||||||||
390 | @ | Sanmina-SCI Corp. | 1,661 | |||||||
1,320 | @ | Solectron Corp. | 4,831 | |||||||
120 | @ | Thermo Electron Corp. | 3,616 | |||||||
130 | @ | Waters Corp. | 4,914 | |||||||
47,068 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
70 | Fluor Corp. | 5,408 | ||||||||
5,408 | ||||||||||
Entertainment: 0.0% | ||||||||||
270 | International Game Technology | 8,311 | ||||||||
8,311 | ||||||||||
Environmental Control: 0.0% | ||||||||||
420 | Waste Management, Inc. | 12,747 | ||||||||
12,747 | ||||||||||
Food: 0.1% | ||||||||||
240 | Campbell Soup Co. | 7,145 | ||||||||
410 | ConAgra Foods, Inc. | 8,315 | ||||||||
380 | General Mills, Inc. | 18,742 | ||||||||
170 | Hershey Foods Corp. | 9,393 | ||||||||
270 | HJ Heinz Co. | 9,104 | ||||||||
210 | Kellogg Co. | 9,076 | ||||||||
530 | @ | Kroger Co. | 10,006 | |||||||
160 | McCormick & Co., Inc. | 4,947 | ||||||||
340 | Safeway, Inc. | 8,044 | ||||||||
603 | Sara Lee Corp. | 11,397 | ||||||||
190 | Supervalu, Inc. | 6,171 | ||||||||
200 | Tyson Foods, Inc. | 3,420 | ||||||||
160 | WM Wrigley Jr. Co. | 10,638 | ||||||||
116,398 | ||||||||||
Forest Products & Paper: 0.0% | ||||||||||
90 | Louisiana-Pacific Corp. | 2,472 | ||||||||
160 | MeadWestvaco Corp. | 4,485 | ||||||||
140 | Plum Creek Timber Co., Inc. | 5,047 | ||||||||
90 | Temple-Inland, Inc. | 4,037 | ||||||||
200 | Weyerhaeuser Co. | 13,268 | ||||||||
29,309 | ||||||||||
Gas: 0.0% | ||||||||||
220 | Sempra Energy | 9,865 | ||||||||
9,865 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
60 | Black & Decker Corp. | 5,218 | ||||||||
20 | Snap-On, Inc. | 751 | ||||||||
100 | Stanley Works | 4,804 | ||||||||
10,773 | ||||||||||
Healthcare — Products: 0.3% | ||||||||||
40 | Bausch & Lomb, Inc. | 2,716 | ||||||||
460 | Baxter International, Inc. | 17,319 | ||||||||
210 | Becton Dickinson & Co. | 12,617 | ||||||||
470 | @ | Boston Scientific Corp. | 11,510 | |||||||
120 | CR Bard, Inc. | 7,910 | ||||||||
260 | Guidant Corp. | 16,835 | ||||||||
2,340 | Johnson & Johnson | 140,634 |
71
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Healthcare — Products: (continued) | ||||||||||
970 | Medtronic, Inc. | $ | 55,843 | |||||||
280 | @ | St. Jude Medical, Inc. | 14,056 | |||||||
220 | Stryker Corp. | 9,775 | ||||||||
289,215 | ||||||||||
Healthcare — Services: 0.2% | ||||||||||
380 | Aetna, Inc. | 35,838 | ||||||||
240 | @ | Coventry Health Care, Inc. | 13,670 | |||||||
230 | @ | Humana, Inc. | 12,496 | |||||||
20 | @ | Laboratory Corp. of America Holdings | 1,077 | |||||||
80 | Quest Diagnostics | 4,118 | ||||||||
1,320 | UnitedHealth Group, Inc. | 82,025 | ||||||||
840 | @ | WellPoint, Inc. | 67,024 | |||||||
216,248 | ||||||||||
Home Builders: 0.0% | ||||||||||
100 | Lennar Corp. | 6,102 | ||||||||
6,102 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
50 | Whirlpool Corp. | 4,188 | ||||||||
4,188 | ||||||||||
Household Products/ Wares: 0.0% | ||||||||||
130 | Clorox Co. | 7,396 | ||||||||
110 | Fortune Brands, Inc. | 8,582 | ||||||||
390 | Kimberly-Clark Corp. | 23,264 | ||||||||
39,242 | ||||||||||
Housewares: 0.0% | ||||||||||
210 | Newell Rubbermaid, Inc. | 4,994 | ||||||||
4,994 | ||||||||||
Insurance: 0.5% | ||||||||||
240 | @@ | ACE Ltd | 12,826 | |||||||
380 | Aflac, Inc. | 17,640 | ||||||||
520 | Allstate Corp. | 28,116 | ||||||||
80 | AMBAC Financial Group, Inc. | 6,165 | ||||||||
2,060 | American International Group, Inc. | 140,554 | ||||||||
240 | AON Corp. | 8,628 | ||||||||
260 | Chubb Corp. | 25,389 | ||||||||
100 | Cigna Corp. | 11,170 | ||||||||
141 | Cincinnati Financial Corp. | 6,300 | ||||||||
290 | Genworth Financial, Inc. | 10,028 | ||||||||
250 | Hartford Financial Services Group, Inc. | 21,473 | ||||||||
100 | Jefferson-Pilot Corp. | 5,693 | ||||||||
190 | Lincoln National Corp. | 10,076 | ||||||||
110 | Loews Corp. | 10,434 | ||||||||
305 | Marsh & McLennan Cos., Inc. | 9,687 | ||||||||
110 | MBIA, Inc. | 6,618 | ||||||||
840 | Metlife, Inc. | 41,160 | ||||||||
120 | MGIC Investment Corp. | 7,898 | ||||||||
300 | Principal Financial Group | 14,229 | ||||||||
160 | Progressive Corp. | 18,685 | ||||||||
550 | Prudential Financial, Inc. | 40,255 | ||||||||
100 | Safeco Corp. | 5,650 | ||||||||
530 | St. Paul Cos | 23,675 | ||||||||
80 | Torchmark Corp. | 4,448 | ||||||||
230 | UnumProvident Corp. | 5,233 | ||||||||
20 | @@ | XL Capital Ltd | 1,348 | |||||||
493,378 | ||||||||||
Internet: 0.1% | ||||||||||
320 | @ | Amazon.com, Inc. | 15,088 | |||||||
890 | @ | eBay, Inc. | 38,493 | |||||||
50 | @ | Monster Worldwide, Inc. | 2,041 | |||||||
839 | @ | Symantec Corp. | 14,683 | |||||||
200 | @ | Yahoo!, Inc. | 7,836 | |||||||
78,141 | ||||||||||
Iron/ Steel: 0.0% | ||||||||||
210 | Nucor Corp. | 14,011 | ||||||||
160 | United States Steel Corp. | 7,691 | ||||||||
21,702 | ||||||||||
Leisure Time: 0.0% | ||||||||||
110 | Brunswick Corp. | 4,473 | ||||||||
340 | Carnival Corp. | 18,180 | ||||||||
230 | Harley-Davidson, Inc. | 11,843 | ||||||||
20 | Sabre Holdings Corp. | 482 | ||||||||
34,978 | ||||||||||
Lodging: 0.0% | ||||||||||
280 | Hilton Hotels Corp. | 6,751 | ||||||||
160 | Marriott International, Inc. | 10,715 | ||||||||
170 | Starwood Hotels & Resorts Worldwide, Inc. | 10,856 | ||||||||
28,322 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
10 | Cummins, Inc. | 897 | ||||||||
130 | Rockwell Automation, Inc. | 7,691 | ||||||||
8,588 | ||||||||||
Media: 0.3% | ||||||||||
440 | Clear Channel Communications, Inc. | 13,838 | ||||||||
1,760 | @ | Comcast Corp. | 45,690 | |||||||
40 | Gannett Co., Inc. | 2,423 | ||||||||
550 | McGraw-Hill Cos, Inc. | 28,397 | ||||||||
50 | Meredith Corp. | 2,617 | ||||||||
120 | New York Times Co. | 3,174 | ||||||||
1,940 | News Corp., Inc. | 30,167 | ||||||||
3,770 | Time Warner, Inc. | 65,749 | ||||||||
40 | Tribune Co. | 1,210 | ||||||||
180 | @ | Univision Communications, Inc. | 5,290 | |||||||
1,270 | Viacom, Inc. | 41,402 | ||||||||
320 | Walt Disney Co. | 7,670 | ||||||||
247,627 | ||||||||||
Mining: 0.0% | ||||||||||
260 | Freeport-McMoRan Copper & Gold, Inc. | 13,988 | ||||||||
90 | Phelps Dodge Corp. | 12,948 | ||||||||
26,936 | ||||||||||
Miscellaneous Manufacturing: 0.5% | ||||||||||
800 | 3M Co. | 62,000 | ||||||||
70 | @ | Cooper Industries Ltd. | 5,110 | |||||||
220 | Danaher Corp. | 12,272 | ||||||||
150 | Dover Corp. | 6,074 | ||||||||
120 | Eaton Corp. | 8,051 | ||||||||
8,200 | General Electric Co. | 287,410 | ||||||||
690 | Honeywell International, Inc. | 25,703 | ||||||||
170 | Illinois Tool Works, Inc. | 14,958 | ||||||||
260 | @@ | Ingersoll-Rand Co. | 10,496 | |||||||
70 | ITT Industries, Inc. | 7,197 | ||||||||
100 | Parker Hannifin Corp. | 6,596 | ||||||||
110 | Textron, Inc. | 8,468 | ||||||||
454,335 | ||||||||||
Office/ Business Equipment: 0.0% | ||||||||||
180 | Pitney Bowes, Inc. | 7,605 | ||||||||
730 | @ | Xerox Corp. | 10,695 | |||||||
18,300 | ||||||||||
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Oil & Gas: 0.8% | ||||||||||
50 | Amerada Hess Corp. | $ | 6,341 | |||||||
150 | Anadarko Petroleum Corp. | 14,213 | ||||||||
224 | Apache Corp. | 15,348 | ||||||||
440 | Burlington Resources, Inc. | 37,928 | ||||||||
1,603 | ChevronTexaco Corp. | 91,002 | ||||||||
1,332 | ConocoPhillips | 77,496 | ||||||||
520 | Devon Energy Corp. | 32,521 | ||||||||
220 | EOG Resources, Inc. | 16,141 | ||||||||
7,610 | Exxon Mobil Corp. | 427,454 | ||||||||
90 | Kerr-McGee Corp. | 8,177 | ||||||||
260 | Marathon Oil Corp. | 15,852 | ||||||||
120 | Murphy Oil Corp. | 6,479 | ||||||||
110 | @,@@ | Nabors Industries Ltd. | 8,333 | |||||||
30 | @ | Noble Corp. | 2,116 | |||||||
280 | Occidental Petroleum Corp. | 22,366 | ||||||||
60 | Rowan Cos., Inc. | 2,138 | ||||||||
180 | Sunoco, Inc. | 14,108 | ||||||||
220 | @ | Transocean, Inc. | 15,332 | |||||||
720 | Valero Energy Corp. | 37,152 | ||||||||
850,497 | ||||||||||
Oil & Gas Services: 0.1% | ||||||||||
50 | Baker Hughes, Inc. | 3,039 | ||||||||
360 | Halliburton Co. | 22,306 | ||||||||
400 | Schlumberger Ltd. | 38,860 | ||||||||
64,205 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
90 | Ball Corp. | 3,575 | ||||||||
100 | @ | Sealed Air Corp. | 5,617 | |||||||
9,192 | ||||||||||
Pharmaceuticals: 0.5% | ||||||||||
1,250 | Abbott Laboratories | 49,288 | ||||||||
100 | Allergan, Inc. | 10,796 | ||||||||
300 | AmerisourceBergen Corp. | 12,420 | ||||||||
310 | Bristol-Myers Squibb Co. | 7,124 | ||||||||
330 | Cardinal Health, Inc. | 22,688 | ||||||||
360 | @ | Caremark Rx, Inc. | 18,644 | |||||||
120 | @ | Express Scripts, Inc. | 10,056 | |||||||
250 | @ | Forest Laboratories, Inc. | 10,170 | |||||||
350 | @ | Gilead Sciences, Inc. | 18,421 | |||||||
200 | @ | Hospira, Inc. | 8,556 | |||||||
350 | @ | King Pharmaceuticals, Inc. | 5,922 | |||||||
247 | @ | Medco Health Solutions, Inc. | 13,783 | |||||||
2,290 | Merck & Co., Inc. | 72,845 | ||||||||
170 | Mylan Laboratories | 3,393 | ||||||||
5,792 | Pfizer, Inc. | 135,069 | ||||||||
1,180 | Schering-Plough Corp. | 24,603 | ||||||||
90 | @ | Watson Pharmaceuticals, Inc. | 2,926 | |||||||
1,080 | Wyeth | 49,756 | ||||||||
476,460 | ||||||||||
Pipelines: 0.0% | ||||||||||
90 | El Paso Corp. | 1,094 | ||||||||
60 | Kinder Morgan, Inc. | 5,517 | ||||||||
350 | Williams Cos., Inc. | 8,110 | ||||||||
14,721 | ||||||||||
Real Estate Investment Trust: 0.0% | ||||||||||
20 | Apartment Investment & Management Co. | 757 | ||||||||
170 | Archstone-Smith Trust | 7,121 | ||||||||
320 | Equity Office Properties Trust | 9,706 | ||||||||
40 | Prologis | 1,869 | ||||||||
70 | Public Storage, Inc. | 4,740 | ||||||||
160 | Simon Property Group LP | 12,261 | ||||||||
20 | Vornado Realty Trust | 1,669 | ||||||||
38,123 | ||||||||||
Retail: 0.5% | ||||||||||
140 | @ | Autonation, Inc. | 3,042 | |||||||
40 | @ | Autozone, Inc. | 3,670 | |||||||
240 | @ | Bed Bath & Beyond, Inc. | 8,676 | |||||||
430 | Best Buy Co., Inc. | 18,696 | ||||||||
150 | Circuit City Stores, Inc. | 3,389 | ||||||||
400 | Costco Wholesale Corp. | 19,788 | ||||||||
200 | Darden Restaurants, Inc. | 7,776 | ||||||||
220 | Dollar General Corp. | 4,195 | ||||||||
70 | Family Dollar Stores, Inc. | 1,735 | ||||||||
278 | Federated Department Stores | 18,440 | ||||||||
610 | Gap, Inc. | 10,760 | ||||||||
1,720 | Home Depot, Inc. | 69,626 | ||||||||
270 | JC Penney Co., Inc. | 15,012 | ||||||||
50 | @ | Kohl’s Corp. | 2,430 | |||||||
60 | Limited Brands | 1,341 | ||||||||
630 | Lowe’s Cos., Inc. | 41,996 | ||||||||
1,300 | McDonald’s Corp. | 43,836 | ||||||||
310 | Nordstrom, Inc. | 11,594 | ||||||||
230 | @ | Office Depot, Inc. | 7,222 | |||||||
80 | @ | Sears Holding Corp. | 9,242 | |||||||
780 | Staples, Inc. | 17,714 | ||||||||
680 | @ | Starbucks Corp. | 20,407 | |||||||
660 | Target Corp. | 36,280 | ||||||||
50 | Tiffany & Co. | 1,915 | ||||||||
380 | TJX Cos., Inc. | 8,827 | ||||||||
1,930 | Wal-Mart Stores, Inc. | 90,324 | ||||||||
790 | Walgreen Co. | 34,965 | ||||||||
90 | Wendy’s International, Inc. | 4,973 | ||||||||
300 | Yum! Brands, Inc. | 14,064 | ||||||||
531,935 | ||||||||||
Savings & Loans: 0.1% | ||||||||||
220 | Golden West Financial Corp. | 14,520 | ||||||||
782 | Washington Mutual, Inc. | 34,017 | ||||||||
48,537 | ||||||||||
Semiconductors: 0.4% | ||||||||||
290 | @ | Altera Corp. | 5,374 | |||||||
280 | Analog Devices, Inc. | 10,044 | ||||||||
1,270 | Applied Materials, Inc. | 22,784 | ||||||||
220 | @ | Broadcom Corp. | 10,373 | |||||||
312 | @ | Freescale Semiconductor, Inc. | 7,853 | |||||||
7,860 | Intel Corp. | 196,186 | ||||||||
140 | Kla-Tencor Corp. | 6,906 | ||||||||
230 | Linear Technology Corp. | 8,296 | ||||||||
280 | @ | LSI Logic Corp. | 2,240 | |||||||
230 | Maxim Integrated Products | 8,335 | ||||||||
480 | @ | Micron Technology, Inc. | 6,389 | |||||||
430 | National Semiconductor Corp. | 11,171 | ||||||||
50 | @ | Novellus Systems, Inc. | 1,206 | |||||||
120 | @ | Nvidia Corp. | 4,387 | |||||||
60 | @ | QLogic Corp. | 1,951 | |||||||
2,170 | Texas Instruments, Inc. | 69,592 | ||||||||
373,087 | ||||||||||
Software: 0.4% | ||||||||||
400 | Adobe Systems, Inc. | 14,784 | ||||||||
250 | Autodesk, Inc. | 10,738 | ||||||||
600 | Automatic Data Processing, Inc. | 27,534 | ||||||||
320 | @ | BMC Software, Inc. | 6,557 | |||||||
210 | @ | Citrix Systems, Inc. | 6,044 | |||||||
380 | Computer Associates International, Inc. | 10,712 | ||||||||
560 | @ | Compuware Corp. | 5,023 | |||||||
230 | @ | Electronic Arts, Inc. | 12,031 | |||||||
600 | First Data Corp. | 25,806 | ||||||||
150 | @ | Fiserv, Inc. | 6,491 | |||||||
180 | IMS Health, Inc. | 4,486 | ||||||||
230 | @ | Intuit, Inc. | 12,259 | |||||||
60 | @ | Mercury Interactive Corp. | 1,667 | |||||||
7,130 | Microsoft Corp. | 186,440 |
73
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Shares | Value | |||||||||
Software: (continued) | ||||||||||
490 | @ | Novell, Inc. | $ | 4,327 | ||||||
2,990 | @ | Oracle Corp. | 36,508 | |||||||
400 | @ | Parametric Technology Corp. | 2,440 | |||||||
400 | Siebel Systems, Inc. | 4,232 | ||||||||
378,079 | ||||||||||
Telecommunications: 0.5% | ||||||||||
300 | Alltel Corp. | 18,930 | ||||||||
4,099 | AT&T, Inc. | 100,381 | ||||||||
70 | @ | Avaya, Inc. | 747 | |||||||
1,470 | BellSouth Corp. | 39,837 | ||||||||
100 | CenturyTel, Inc. | 3,316 | ||||||||
5,140 | @ | Cisco Systems, Inc. | 87,997 | |||||||
170 | @ | Comverse Technology, Inc. | 4,520 | |||||||
1,180 | @ | Corning, Inc. | 23,199 | |||||||
3,250 | Motorola, Inc. | 73,418 | ||||||||
1,310 | Qualcomm, Inc. | 56,435 | ||||||||
190 | Scientific-Atlanta, Inc. | 8,183 | ||||||||
2,357 | Sprint Corp. — FON Group | 55,060 | ||||||||
530 | @ | Tellabs, Inc. | 5,777 | |||||||
2,220 | Verizon Communications, Inc. | 66,866 | ||||||||
544,666 | ||||||||||
Textiles: 0.0% | ||||||||||
110 | Cintas Corp. | 4,530 | ||||||||
4,530 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
240 | Hasbro, Inc. | 4,843 | ||||||||
60 | Mattel, Inc. | 949 | ||||||||
5,792 | ||||||||||
Transportation: 0.2% | ||||||||||
320 | Burlington Northern Santa Fe Corp. | 22,662 | ||||||||
170 | CSX Corp. | 8,631 | ||||||||
250 | FedEx Corp. | 25,842 | ||||||||
430 | Norfolk Southern Corp. | 19,277 | ||||||||
40 | Union Pacific Corp. | 3,220 | ||||||||
890 | United Parcel Service, Inc. | 66,881 | ||||||||
146,513 | ||||||||||
Total Common Stock (Cost $8,411,949) | 9,104,333 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 72.7% | ||||||||||
Federal Home Loan Mortgage Corporation: 23.5% | ||||||||||
$ | 6,250,000 | 4.590%, due 01/15/07 | $ | 5,961,113 | ||||||
18,970,000 | 4.700%, due 01/26/07 | 18,048,058 | ||||||||
24,009,171 | ||||||||||
Federal National Mortgage Association: 28.0% | ||||||||||
30,000,000 | 4.660%, due 12/15/06 | 28,702,020 | ||||||||
28,702,020 | ||||||||||
Other U.S. Treasury Obligations: 21.2% | ||||||||||
13,420,000 | FICO STRIP, 4.520%, due 09/07/06 | 13,011,213 | ||||||||
6,210,000 | FICO STRIP, 4.580%, due 12/06/06 | 5,952,347 | ||||||||
2,894,000 | FICO STRIP, 4.590%, due 12/27/06 | 2,766,546 | ||||||||
21,730,106 | ||||||||||
Total U.S. Government Agency Obligations (Cost $74,949,364) | 74,441,297 | |||||||||
U.S. TREASURY OBLIGATIONS: 5.2% | ||||||||||
U.S. Treasury STRIP: 5.2% | ||||||||||
5,561,000 | 4.460%, due 11/15/06 | 5,353,135 | ||||||||
Total U.S. Treasury Obligations (Cost $5,354,517) | 5,353,135 | |||||||||
OTHER BONDS: 13.0% | ||||||||||
Sovereign: 13.0% | ||||||||||
1,113,000 | Israel Trust, 4.500%, due 05/15/06 | 1,070,320 | ||||||||
12,673,000 | Turkey Trust, 4.500%, due 05/15/06 | 12,187,028 | ||||||||
Total Other Bonds (Cost $13,286,193) | 13,257,348 | |||||||||
Total Long-Term Investments (Cost $102,002,023) | $ | 102,156,113 | ||||||||
SHORT-TERM INVESTMENTS: 0.4% | ||||||||||
Repurchase Agreement: 0.4% | ||||||||||
397,000 | Morgan Stanley Repurchase Agreement dated, 12/30/05, 4.230%, due 01/03/06 $397,186 to be received upon repurchase (Collateralized by $815,000 Resolution Funding Corporation, 6.84%, Market Value plus accrued interest $405,039, due 10/15/20) | 397,000 | ||||||||
Total Short-Term Investments (Cost $397,000) | 397,000 | |||||||||
Total Investments in Securities (Cost $102,399,023)* | 100.2 | % | $ | 102,553,113 | ||||||||
Other Assets and Liabilities-Net | (0.2 | ) | (172,814 | ) | ||||||||
Net Assets | 100.0 | % | $ | 102,380,299 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $102,521,303. Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 891,575 | ||||
Gross Unrealized Depreciation | (859,765 | ) | ||||
Net Unrealized Appreciation | $ | 31,810 | ||||
74
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COMMON STOCK: 18.2% | ||||||||||
Advertising: 0.0% | ||||||||||
750 | @ | Interpublic Group of Cos., Inc. | $ | 7,238 | ||||||
300 | Omnicom Group | 25,539 | ||||||||
32,777 | ||||||||||
Aerospace/ Defense: 0.4% | ||||||||||
2,000 | Boeing Co. | 140,480 | ||||||||
450 | General Dynamics Corp. | 51,323 | ||||||||
150 | Goodrich Corp. | 6,165 | ||||||||
150 | L-3 Communications Holdings, Inc. | 11,153 | ||||||||
1,190 | Lockheed Martin Corp. | 75,720 | ||||||||
624 | Northrop Grumman Corp. | 37,509 | ||||||||
995 | Raytheon Co. | 39,949 | ||||||||
550 | Rockwell Collins, Inc. | 25,559 | ||||||||
1,860 | United Technologies Corp. | 103,993 | ||||||||
491,851 | ||||||||||
Agriculture: 0.4% | ||||||||||
3,760 | Altria Group, Inc. | 280,947 | ||||||||
1,980 | Archer-Daniels-Midland Co. | 48,827 | ||||||||
540 | Monsanto Co. | 41,866 | ||||||||
300 | Reynolds America, Inc. | 28,599 | ||||||||
300 | UST, Inc. | 12,249 | ||||||||
412,488 | ||||||||||
Airlines: 0.0% | ||||||||||
1,300 | Southwest Airlines Co. | 21,359 | ||||||||
21,359 | ||||||||||
Apparel: 0.1% | ||||||||||
1,200 | @ | Coach, Inc. | 40,008 | |||||||
240 | Jones Apparel Group, Inc. | 7,373 | ||||||||
330 | Liz Claiborne, Inc. | 11,821 | ||||||||
470 | Nike, Inc. | 40,791 | ||||||||
130 | Reebok International Ltd. | 7,570 | ||||||||
220 | VF Corp. | 12,175 | ||||||||
119,738 | ||||||||||
Auto Manufacturers: 0.0% | ||||||||||
5,720 | Ford Motor Co. | 44,158 | ||||||||
200 | @ | Navistar International Corp. | 5,724 | |||||||
49,882 | ||||||||||
Auto Parts & Equipment: 0.0% | ||||||||||
630 | @ | Goodyear Tire & Rubber Co. | 10,949 | |||||||
380 | Johnson Controls, Inc. | 27,706 | ||||||||
38,655 | ||||||||||
Banks: 1.2% | ||||||||||
800 | AmSouth Bancorp | 20,968 | ||||||||
9,770 | Bank of America Corp. | 450,886 | ||||||||
1,450 | Bank of New York | 46,183 | ||||||||
1,276 | BB&T Corp. | 53,477 | ||||||||
350 | Comerica, Inc. | 19,866 | ||||||||
150 | Compass Bancshares, Inc. | 7,244 | ||||||||
130 | First Horizon National Corp. | 4,997 | ||||||||
350 | Huntington Bancshares, Inc. | 8,313 | ||||||||
740 | Keycorp | 24,368 | ||||||||
150 | M&T Bank Corp. | 16,358 | ||||||||
370 | Marshall & Ilsley Corp. | 15,925 | ||||||||
850 | Mellon Financial Corp. | 29,113 | ||||||||
1,080 | National City Corp. | 36,256 | ||||||||
350 | Northern Trust Corp. | 18,137 | ||||||||
750 | PNC Financial Services Group, Inc. | 46,373 | ||||||||
800 | Regions Financial Corp. | 27,328 | ||||||||
630 | State Street Corp. | 34,927 | ||||||||
660 | SunTrust Banks, Inc. | 48,022 | ||||||||
632 | Synovus Financial Corp. | 17,070 | ||||||||
3,520 | US BanCorp. | 105,213 | ||||||||
2,915 | Wachovia Corp. | 154,087 | ||||||||
3,000 | Wells Fargo & Co. | 188,490 | ||||||||
200 | Zions Bancorporation | 15,112 | ||||||||
1,388,713 | ||||||||||
Beverages: 0.6% | ||||||||||
1,460 | Anheuser-Busch Cos., Inc. | 62,722 | ||||||||
200 | Brown-Forman Corp. | 13,864 | ||||||||
6,480 | Coca-Cola Co. | 261,209 | ||||||||
600 | Coca-Cola Enterprises, Inc. | 11,502 | ||||||||
300 | @ | Constellation Brands, Inc. | 7,869 | |||||||
480 | Pepsi Bottling Group, Inc. | 13,733 | ||||||||
5,230 | PepsiCo, Inc. | 308,988 | ||||||||
679,887 | ||||||||||
Biotechnology: 0.2% | ||||||||||
2,226 | @ | Amgen, Inc. | 175,542 | |||||||
100 | @ | Biogen Idec, Inc. | 4,533 | |||||||
200 | @ | Chiron Corp. | 8,892 | |||||||
440 | @ | Genzyme Corp. | 31,143 | |||||||
100 | @ | Millipore Corp. | 6,604 | |||||||
226,714 | ||||||||||
Building Materials: 0.0% | ||||||||||
320 | American Standard Cos, Inc. | 12,784 | ||||||||
800 | Masco Corp. | 24,152 | ||||||||
150 | Vulcan Materials Co. | 10,163 | ||||||||
47,099 | ||||||||||
Chemicals: 0.3% | ||||||||||
500 | Air Products & Chemicals, Inc. | 29,595 | ||||||||
1,800 | Dow Chemical Co. | 78,876 | ||||||||
150 | Eastman Chemical Co. | 7,739 | ||||||||
430 | Ecolab, Inc. | 15,596 | ||||||||
1,750 | EI Du Pont de Nemours & Co. | 74,375 | ||||||||
250 | Engelhard Corp. | 7,538 | ||||||||
200 | International Flavors & Fragrances, Inc. | 6,700 | ||||||||
540 | PPG Industries, Inc. | 31,266 | ||||||||
680 | Praxair, Inc. | 36,013 | ||||||||
270 | Rohm & Haas Co. | 13,073 | ||||||||
300 | Sherwin-Williams Co. | 13,626 | ||||||||
150 | Sigma-Aldrich Corp. | 9,494 | ||||||||
323,891 | ||||||||||
Commercial Services: 0.2% | ||||||||||
1,900 | Cendant Corp. | 32,775 | ||||||||
310 | Equifax, Inc. | 11,786 | ||||||||
1,000 | H&R Block, Inc. | 24,550 | ||||||||
950 | McKesson Corp. | 49,011 | ||||||||
500 | Moody’s Corp. | 30,710 | ||||||||
600 | Paychex, Inc. | 22,872 | ||||||||
350 | Robert Half International, Inc. | 13,262 | ||||||||
350 | RR Donnelley & Sons Co. | 11,974 | ||||||||
196,940 | ||||||||||
Computers: 0.8% | ||||||||||
150 | @ | Affiliated Computer Services, Inc. | 8,877 | |||||||
2,590 | @ | Apple Computer, Inc. | 186,195 | |||||||
50 | @ | Computer Sciences Corp. | 2,532 | |||||||
7,280 | @ | Dell, Inc. | 218,327 | |||||||
150 | Electronic Data Systems Corp. | 3,606 | ||||||||
6,050 | EMC Corp. | 82,401 | ||||||||
5,987 | Hewlett-Packard Co. | 171,408 | ||||||||
2,910 | International Business Machines Corp. | 239,202 | ||||||||
150 | @ | Lexmark International, Inc. | 6,725 | |||||||
350 | @ | NCR Corp. | 11,879 | |||||||
550 | @ | Network Appliance, Inc. | 14,850 |
75
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Shares | Value | |||||||||
Computers: (continued) | ||||||||||
1,190 | @ | Sun Microsystems, Inc. | $ | 4,986 | ||||||
800 | @ | Unisys Corp. | 4,664 | |||||||
955,652 | ||||||||||
Cosmetics/ Personal Care: 0.4% | ||||||||||
200 | Alberto-Culver Co. | 9,150 | ||||||||
1,250 | Colgate-Palmolive Co. | 68,563 | ||||||||
6,274 | Procter & Gamble Co. | 363,139 | ||||||||
440,852 | ||||||||||
Distribution/ Wholesale: 0.0% | ||||||||||
438 | Genuine Parts Co. | 19,237 | ||||||||
100 | WW Grainger, Inc. | 7,110 | ||||||||
26,347 | ||||||||||
Diversified Financial Services: 1.5% | ||||||||||
2,360 | American Express Co. | 121,446 | ||||||||
492 | Ameriprise Financial, Inc. | 20,172 | ||||||||
230 | Bear Stearns Cos, Inc. | 26,572 | ||||||||
520 | Capital One Financial Corp. | 44,928 | ||||||||
1,850 | Charles Schwab Corp. | 27,140 | ||||||||
370 | CIT Group, Inc. | 19,159 | ||||||||
9,270 | Citigroup, Inc. | 449,873 | ||||||||
198 | Countrywide Financial Corp. | 6,770 | ||||||||
600 | @ | E*Trade Financial Corp. | 12,516 | |||||||
1,830 | Fannie Mae | 89,322 | ||||||||
200 | Federated Investors, Inc. | 7,408 | ||||||||
250 | Franklin Resources, Inc. | 23,503 | ||||||||
1,150 | Goldman Sachs Group, Inc. | 146,867 | ||||||||
6,300 | JPMorgan Chase & Co. | 250,047 | ||||||||
810 | Lehman Brothers Holdings, Inc. | 103,818 | ||||||||
2,400 | MBNA Corp. | 65,160 | ||||||||
2,280 | Merrill Lynch & Co., Inc. | 154,424 | ||||||||
1,900 | Morgan Stanley | 107,806 | ||||||||
810 | SLM Corp. | 44,623 | ||||||||
250 | T. Rowe Price Group, Inc. | 18,008 | ||||||||
1,739,562 | ||||||||||
Electric: 0.5% | ||||||||||
1,270 | @ | AES Corp. | 20,104 | |||||||
250 | @ | Allegheny Energy, Inc. | 7,913 | |||||||
100 | Ameren Corp. | 5,124 | ||||||||
620 | American Electric Power Co., Inc. | 22,996 | ||||||||
550 | CenterPoint Energy Resources Corp. | 7,068 | ||||||||
400 | Cinergy Corp. | 16,984 | ||||||||
700 | @ | CMS Energy Corp. | 10,157 | |||||||
450 | Consolidated Edison, Inc. | 20,849 | ||||||||
350 | Constellation Energy Group, Inc. | 20,160 | ||||||||
600 | Dominion Resources, Inc. | 46,320 | ||||||||
300 | DTE Energy Co. | 12,957 | ||||||||
1,750 | Duke Energy Corp. | 48,038 | ||||||||
850 | Edison International | 37,069 | ||||||||
550 | FirstEnergy Corp. | 26,945 | ||||||||
700 | FPL Group, Inc. | 29,092 | ||||||||
550 | NiSource, Inc. | 11,473 | ||||||||
670 | Pacific Gas & Electric Co. | 24,870 | ||||||||
200 | Pinnacle West Capital Corp. | 8,270 | ||||||||
800 | PPL Corp. | 23,520 | ||||||||
500 | Progress Energy, Inc. | 21,960 | ||||||||
400 | Public Service Enterprise Group, Inc. | 25,988 | ||||||||
1,380 | Southern Co. | 47,651 | ||||||||
700 | TECO Energy, Inc. | 12,026 | ||||||||
1,400 | TXU Corp. | 70,266 | ||||||||
700 | Xcel Energy, Inc. | 12,922 | ||||||||
590,722 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
300 | American Power Conversion | 6,600 | ||||||||
1,030 | Emerson Electric Co. | 76,941 | ||||||||
83,541 | ||||||||||
Electronics: 0.1% | ||||||||||
1,250 | @ | Agilent Technologies, Inc. | 41,613 | |||||||
540 | Applera Corp. — Applied Biosystems Group | 14,342 | ||||||||
360 | @ | Jabil Circuit, Inc. | 13,352 | |||||||
150 | PerkinElmer, Inc. | 3,534 | ||||||||
930 | @ | Sanmina-SCI Corp. | 3,962 | |||||||
2,240 | @ | Solectron Corp. | 8,198 | |||||||
400 | @ | Thermo Electron Corp. | 12,052 | |||||||
250 | @ | Waters Corp. | 9,450 | |||||||
106,503 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
50 | Fluor Corp. | 3,863 | ||||||||
3,863 | ||||||||||
Entertainment: 0.0% | ||||||||||
550 | International Game Technology | 16,929 | ||||||||
16,929 | ||||||||||
Environmental Control: 0.0% | ||||||||||
1,020 | Waste Management, Inc. | 30,957 | ||||||||
30,957 | ||||||||||
Food: 0.2% | ||||||||||
350 | Campbell Soup Co. | 10,420 | ||||||||
950 | ConAgra Foods, Inc. | 19,266 | ||||||||
900 | General Mills, Inc. | 44,384 | ||||||||
400 | Hershey Foods Corp. | 22,100 | ||||||||
850 | HJ Heinz Co. | 28,662 | ||||||||
470 | Kellogg Co. | 20,313 | ||||||||
1,250 | @ | Kroger Co. | 23,600 | |||||||
300 | McCormick & Co., Inc. | 9,276 | ||||||||
850 | Safeway, Inc. | 20,111 | ||||||||
1,361 | Sara Lee Corp. | 25,723 | ||||||||
450 | Supervalu, Inc. | 14,616 | ||||||||
500 | Tyson Foods, Inc. | 8,550 | ||||||||
400 | WM Wrigley Jr. Co. | 26,596 | ||||||||
273,617 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
250 | Louisiana-Pacific Corp. | 6,868 | ||||||||
450 | MeadWestvaco Corp. | 12,614 | ||||||||
100 | Plum Creek Timber Co., Inc. | 3,605 | ||||||||
200 | Temple-Inland, Inc. | 8,970 | ||||||||
500 | Weyerhaeuser Co. | 33,170 | ||||||||
65,227 | ||||||||||
Gas: 0.0% | ||||||||||
530 | Sempra Energy | 23,765 | ||||||||
23,765 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
180 | Black & Decker Corp. | 15,653 | ||||||||
100 | Snap-On, Inc. | 3,756 | ||||||||
230 | Stanley Works | 11,049 | ||||||||
30,458 | ||||||||||
Healthcare — Products: 0.6% | ||||||||||
100 | Bausch & Lomb, Inc. | 6,790 | ||||||||
1,050 | Baxter International, Inc. | 39,533 | ||||||||
500 | Becton Dickinson & Co. | 30,040 | ||||||||
1,080 | @ | Boston Scientific Corp. | 26,449 | |||||||
200 | CR Bard, Inc. | 13,184 | ||||||||
560 | Guidant Corp. | 36,260 | ||||||||
5,300 | Johnson & Johnson | 318,530 |
76
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Shares | Value | |||||||||
Healthcare — Products: (continued) | ||||||||||
2,210 | Medtronic, Inc. | $ | 127,230 | |||||||
760 | @ | St. Jude Medical, Inc. | 38,152 | |||||||
500 | Stryker Corp. | 22,215 | ||||||||
658,383 | ||||||||||
Healthcare — Services: 0.4% | ||||||||||
840 | Aetna, Inc. | 79,220 | ||||||||
525 | @ | Coventry Health Care, Inc. | 29,904 | |||||||
500 | @ | Humana, Inc. | 27,165 | |||||||
50 | Quest Diagnostics | 2,574 | ||||||||
3,090 | UnitedHealth Group, Inc. | 192,013 | ||||||||
1,890 | @ | WellPoint, Inc. | 150,803 | |||||||
481,679 | ||||||||||
Home Builders: 0.0% | ||||||||||
250 | Lennar Corp. | 15,255 | ||||||||
15,255 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
70 | Whirlpool Corp. | 5,863 | ||||||||
5,863 | ||||||||||
Household Products/ Wares: 0.1% | ||||||||||
240 | Clorox Co. | 13,654 | ||||||||
230 | Fortune Brands, Inc. | 17,945 | ||||||||
930 | Kimberly-Clark Corp. | 55,475 | ||||||||
87,074 | ||||||||||
Housewares: 0.0% | ||||||||||
550 | Newell Rubbermaid, Inc. | 13,079 | ||||||||
13,079 | ||||||||||
Insurance: 1.0% | ||||||||||
620 | @@ | ACE Ltd | 33,133 | |||||||
910 | Aflac, Inc. | 42,242 | ||||||||
1,200 | Allstate Corp. | 64,884 | ||||||||
230 | AMBAC Financial Group, Inc. | 17,724 | ||||||||
4,750 | American International Group, Inc. | 324,093 | ||||||||
550 | AON Corp. | 19,773 | ||||||||
580 | Chubb Corp. | 56,637 | ||||||||
220 | Cigna Corp. | 24,574 | ||||||||
301 | Cincinnati Financial Corp. | 13,449 | ||||||||
700 | Genworth Financial, Inc. | 24,206 | ||||||||
500 | Hartford Financial Services Group, Inc. | 42,945 | ||||||||
230 | Jefferson-Pilot Corp. | 13,094 | ||||||||
500 | Lincoln National Corp. | 26,515 | ||||||||
270 | Loews Corp. | 25,610 | ||||||||
743 | Marsh & McLennan Cos., Inc. | 23,598 | ||||||||
220 | MBIA, Inc. | 13,235 | ||||||||
2,310 | Metlife, Inc. | 113,190 | ||||||||
200 | MGIC Investment Corp. | 13,164 | ||||||||
710 | Principal Financial Group | 33,675 | ||||||||
320 | Progressive Corp. | 37,370 | ||||||||
1,570 | Prudential Financial, Inc. | 114,908 | ||||||||
200 | Safeco Corp. | 11,300 | ||||||||
1,220 | St. Paul Cos. | 54,497 | ||||||||
250 | Torchmark Corp. | 13,900 | ||||||||
600 | UnumProvident Corp. | 13,650 | ||||||||
70 | @@ | XL Capital Ltd | 4,717 | |||||||
1,176,083 | ||||||||||
Internet: 0.2% | ||||||||||
700 | @ | Amazon.com, Inc. | 33,005 | |||||||
2,100 | @ | eBay, Inc. | 90,825 | |||||||
200 | @ | Monster Worldwide, Inc. | 8,164 | |||||||
1,921 | @ | Symantec Corp. | 33,618 | |||||||
450 | @ | Yahoo!, Inc. | 17,631 | |||||||
183,243 | ||||||||||
Iron/ Steel: 0.0% | ||||||||||
430 | Nucor Corp. | 28,690 | ||||||||
170 | United States Steel Corp. | 8,172 | ||||||||
36,862 | ||||||||||
Leisure Time: 0.1% | ||||||||||
210 | Brunswick Corp. | 8,539 | ||||||||
800 | Carnival Corp. | 42,776 | ||||||||
530 | Harley-Davidson, Inc. | 27,290 | ||||||||
300 | Sabre Holdings Corp. | 7,233 | ||||||||
85,838 | ||||||||||
Lodging: 0.1% | ||||||||||
800 | Hilton Hotels Corp. | 19,288 | ||||||||
290 | Marriott International, Inc. | 19,421 | ||||||||
450 | Starwood Hotels & Resorts Worldwide, Inc. | 28,737 | ||||||||
67,446 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
50 | Cummins, Inc. | 4,487 | ||||||||
280 | Rockwell Automation, Inc. | 16,565 | ||||||||
21,052 | ||||||||||
Media: 0.5% | ||||||||||
1,000 | Clear Channel Communications, Inc. | 31,450 | ||||||||
4,050 | @ | Comcast Corp. | 105,138 | |||||||
110 | Gannett Co., Inc. | 6,663 | ||||||||
1,270 | McGraw-Hill Cos, Inc. | 65,570 | ||||||||
70 | Meredith Corp. | 3,664 | ||||||||
200 | New York Times Co. | 5,290 | ||||||||
4,850 | News Corp., Inc. | 75,418 | ||||||||
8,750 | Time Warner, Inc. | 152,600 | ||||||||
90 | Tribune Co. | 2,723 | ||||||||
400 | @ | Univision Communications, Inc. | 11,756 | |||||||
2,930 | Viacom, Inc. | 95,518 | ||||||||
750 | Walt Disney Co. | 17,978 | ||||||||
573,768 | ||||||||||
Mining: 0.1% | ||||||||||
560 | Freeport-McMoRan Copper & Gold, Inc. | 30,128 | ||||||||
200 | Newmont Mining Corp. | 10,680 | ||||||||
150 | Phelps Dodge Corp. | 21,581 | ||||||||
62,389 | ||||||||||
Miscellaneous Manufacturing: 0.9% | ||||||||||
1,880 | 3M Co. | 145,700 | ||||||||
200 | @ | Cooper Industries Ltd. | 14,600 | |||||||
520 | Danaher Corp. | 29,006 | ||||||||
350 | Dover Corp. | 14,172 | ||||||||
300 | Eaton Corp. | 20,127 | ||||||||
18,970 | General Electric Co. | 664,899 | ||||||||
1,590 | Honeywell International, Inc. | 59,228 | ||||||||
350 | Illinois Tool Works, Inc. | 30,797 | ||||||||
630 | @@ | Ingersoll-Rand Co. | 25,433 | |||||||
140 | ITT Industries, Inc. | 14,395 | ||||||||
230 | Parker Hannifin Corp. | 15,171 | ||||||||
230 | Textron, Inc. | 17,705 | ||||||||
1,051,233 | ||||||||||
Office/ Business Equipment: 0.0% | ||||||||||
390 | Pitney Bowes, Inc. | 16,478 | ||||||||
1,740 | @ | Xerox Corp. | 25,491 | |||||||
41,969 | ||||||||||
Oil & Gas: 1.7% | ||||||||||
120 | Amerada Hess Corp. | 15,218 | ||||||||
350 | Anadarko Petroleum Corp. | 33,163 | ||||||||
556 | Apache Corp. | 38,097 | ||||||||
1,030 | Burlington Resources, Inc. | 88,786 |
77
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Shares | Value | |||||||||
Oil & Gas: (continued) | ||||||||||
3,699 | ChevronTexaco Corp. | $ | 209,992 | |||||||
2,976 | ConocoPhillips | 173,144 | ||||||||
1,230 | Devon Energy Corp. | 76,924 | ||||||||
500 | EOG Resources, Inc. | 36,685 | ||||||||
17,670 | Exxon Mobil Corp. | 992,524 | ||||||||
150 | Kerr-McGee Corp. | 13,629 | ||||||||
590 | Marathon Oil Corp. | 35,972 | ||||||||
200 | Murphy Oil Corp. | 10,798 | ||||||||
200 | @,@@ | Nabors Industries Ltd. | 15,150 | |||||||
50 | @ | Noble Corp. | 3,527 | |||||||
630 | Occidental Petroleum Corp. | 50,324 | ||||||||
200 | Rowan Cos., Inc. | 7,128 | ||||||||
400 | Sunoco, Inc. | 31,352 | ||||||||
500 | @ | Transocean, Inc. | 34,845 | |||||||
1,700 | Valero Energy Corp. | 87,720 | ||||||||
1,954,978 | ||||||||||
Oil & Gas Services: 0.1% | ||||||||||
150 | Baker Hughes, Inc. | 9,117 | ||||||||
800 | Halliburton Co. | 49,568 | ||||||||
1,000 | Schlumberger Ltd. | 97,150 | ||||||||
155,835 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
300 | Ball Corp. | 11,916 | ||||||||
200 | @ | Sealed Air Corp. | 11,234 | |||||||
23,150 | ||||||||||
Pharmaceuticals: 1.0% | ||||||||||
2,900 | Abbott Laboratories | 114,347 | ||||||||
250 | Allergan, Inc. | 26,990 | ||||||||
600 | AmerisourceBergen Corp. | 24,840 | ||||||||
700 | Bristol-Myers Squibb Co. | 16,086 | ||||||||
810 | Cardinal Health, Inc. | 55,688 | ||||||||
850 | @ | Caremark Rx, Inc. | 44,022 | |||||||
390 | @ | Express Scripts, Inc. | 32,682 | |||||||
590 | @ | Forest Laboratories, Inc. | 24,001 | |||||||
800 | @ | Gilead Sciences, Inc. | 42,104 | |||||||
570 | @ | Hospira, Inc. | 24,382 | |||||||
590 | @ | King Pharmaceuticals, Inc. | 9,983 | |||||||
629 | @ | Medco Health Solutions, Inc. | 35,098 | |||||||
5,320 | Merck & Co., Inc. | 169,229 | ||||||||
400 | Mylan Laboratories | 7,984 | ||||||||
13,406 | Pfizer, Inc. | 312,626 | ||||||||
2,750 | Schering-Plough Corp. | 57,338 | ||||||||
150 | @ | Watson Pharmaceuticals, Inc. | 4,877 | |||||||
2,500 | Wyeth | 115,175 | ||||||||
1,117,452 | ||||||||||
Pipelines: 0.0% | ||||||||||
200 | El Paso Corp. | 2,432 | ||||||||
190 | Kinder Morgan, Inc. | 17,471 | ||||||||
800 | Williams Cos., Inc. | 18,536 | ||||||||
38,439 | ||||||||||
Real Estate Investment Trust: 0.1% | ||||||||||
200 | Apartment Investment & Management Co. | 7,574 | ||||||||
410 | Archstone-Smith Trust | 17,175 | ||||||||
700 | Equity Office Properties Trust | 21,231 | ||||||||
100 | Prologis | 4,672 | ||||||||
200 | Public Storage, Inc. | 13,544 | ||||||||
320 | Simon Property Group LP | 24,522 | ||||||||
88,718 | ||||||||||
Retail: 1.1% | ||||||||||
350 | @ | Autonation, Inc. | 7,606 | |||||||
100 | @ | Autozone, Inc. | 9,175 | |||||||
640 | @ | Bed Bath & Beyond, Inc. | 23,136 | |||||||
1,000 | Best Buy Co., Inc. | 43,480 | ||||||||
400 | Circuit City Stores, Inc. | 9,036 | ||||||||
850 | Costco Wholesale Corp. | 42,050 | ||||||||
400 | Darden Restaurants, Inc. | 15,552 | ||||||||
550 | Dollar General Corp. | 10,489 | ||||||||
662 | Federated Department Stores | 43,910 | ||||||||
1,400 | Gap, Inc. | 24,696 | ||||||||
3,960 | Home Depot, Inc. | 160,301 | ||||||||
700 | JC Penney Co., Inc. | 38,920 | ||||||||
150 | @ | Kohl’s Corp. | 7,290 | |||||||
110 | Limited Brands | 2,459 | ||||||||
1,430 | Lowe’s Cos., Inc. | 95,324 | ||||||||
3,000 | McDonald’s Corp. | 101,160 | ||||||||
700 | Nordstrom, Inc. | 26,180 | ||||||||
550 | @ | Office Depot, Inc. | 17,270 | |||||||
180 | @ | Sears Holding Corp. | 20,795 | |||||||
1,840 | Staples, Inc. | 41,786 | ||||||||
1,540 | @ | Starbucks Corp. | 46,215 | |||||||
1,700 | Target Corp. | 93,449 | ||||||||
150 | Tiffany & Co. | 5,744 | ||||||||
1,020 | TJX Cos., Inc. | 23,695 | ||||||||
4,610 | Wal-Mart Stores, Inc. | 215,748 | ||||||||
1,850 | Walgreen Co. | 81,881 | ||||||||
270 | Wendy’s International, Inc. | 14,920 | ||||||||
710 | Yum! Brands, Inc. | 33,285 | ||||||||
1,255,552 | ||||||||||
Savings & Loans: 0.1% | ||||||||||
540 | Golden West Financial Corp. | 35,640 | ||||||||
1,814 | Washington Mutual, Inc. | 78,909 | ||||||||
114,549 | ||||||||||
Semiconductors: 0.8% | ||||||||||
700 | @ | Altera Corp. | 12,971 | |||||||
650 | Analog Devices, Inc. | 23,316 | ||||||||
3,090 | Applied Materials, Inc. | 55,435 | ||||||||
600 | @ | Broadcom Corp. | 28,290 | |||||||
770 | @ | Freescale Semiconductor, Inc. | 19,381 | |||||||
18,570 | Intel Corp. | 463,507 | ||||||||
300 | Kla-Tencor Corp. | 14,799 | ||||||||
560 | Linear Technology Corp. | 20,199 | ||||||||
600 | @ | LSI Logic Corp. | 4,800 | |||||||
610 | Maxim Integrated Products | 22,106 | ||||||||
1,100 | @ | Micron Technology, Inc. | 14,641 | |||||||
950 | National Semiconductor Corp. | 24,681 | ||||||||
200 | @ | Novellus Systems, Inc. | 4,824 | |||||||
300 | @ | Nvidia Corp. | 10,968 | |||||||
200 | @ | QLogic Corp. | 6,502 | |||||||
5,030 | Texas Instruments, Inc. | 161,302 | ||||||||
887,722 | ||||||||||
Software: 0.8% | ||||||||||
940 | Adobe Systems, Inc. | 34,742 | ||||||||
550 | Autodesk, Inc. | 23,623 | ||||||||
1,400 | Automatic Data Processing, Inc. | 64,246 | ||||||||
740 | @ | BMC Software, Inc. | 15,163 | |||||||
520 | @ | Citrix Systems, Inc. | 14,966 | |||||||
890 | Computer Associates International, Inc. | 25,089 | ||||||||
1,050 | @ | Compuware Corp. | 9,419 | |||||||
560 | @ | Electronic Arts, Inc. | 29,294 | |||||||
1,322 | First Data Corp. | 56,859 | ||||||||
450 | @ | Fiserv, Inc. | 19,472 | |||||||
400 | IMS Health, Inc. | 9,968 | ||||||||
430 | @ | Intuit, Inc. | 22,919 | |||||||
200 | @ | Mercury Interactive Corp. | 5,558 | |||||||
16,530 | Microsoft Corp. | 432,250 | ||||||||
900 | @ | Novell, Inc. | 7,947 | |||||||
6,940 | @ | Oracle Corp. | 84,737 | |||||||
940 | @ | Parametric Technology Corp. | 5,734 | |||||||
790 | Siebel Systems, Inc. | 8,358 | ||||||||
870,344 | ||||||||||
78
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Telecommunications: 1.1% | ||||||||||
700 | Alltel Corp. | $ | 44,170 | |||||||
9,489 | AT&T, Inc. | 232,381 | ||||||||
150 | @ | Avaya, Inc. | 1,601 | |||||||
3,400 | BellSouth Corp. | 92,140 | ||||||||
270 | CenturyTel, Inc. | 8,953 | ||||||||
11,410 | @ | Cisco Systems, Inc. | 195,339 | |||||||
510 | @ | Comverse Technology, Inc. | 13,561 | |||||||
2,750 | @ | Corning, Inc. | 54,065 | |||||||
7,540 | Motorola, Inc. | 170,329 | ||||||||
3,050 | Qualcomm, Inc. | 131,394 | ||||||||
450 | Scientific-Atlanta, Inc. | 19,382 | ||||||||
5,452 | Sprint Corp. — FON Group | 127,359 | ||||||||
560 | @ | Tellabs, Inc. | 6,104 | |||||||
5,200 | Verizon Communications, Inc. | 156,624 | ||||||||
1,253,402 | ||||||||||
Textiles: 0.0% | ||||||||||
350 | Cintas Corp. | 14,413 | ||||||||
14,413 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
610 | Hasbro, Inc. | 12,310 | ||||||||
100 | Mattel, Inc. | 1,582 | ||||||||
13,892 | ||||||||||
Transportation: 0.3% | ||||||||||
670 | Burlington Northern Santa Fe Corp. | 47,449 | ||||||||
550 | CSX Corp. | 27,924 | ||||||||
540 | FedEx Corp. | 55,831 | ||||||||
1,000 | Norfolk Southern Corp. | 44,830 | ||||||||
60 | Union Pacific Corp. | 4,831 | ||||||||
2,000 | United Parcel Service, Inc. | 150,300 | ||||||||
331,165 | ||||||||||
Total Common Stock (Cost $19,484,176) | 21,098,816 | |||||||||
CORPORATE BONDS/ NOTES: 5.2% | ||||||||||
Diversified Financial Services: 5.2% | ||||||||||
$ | 6,000,000 | General Electric Capital Corp., 5.000%, due 06/15/07 | $ | 6,013,440 | ||||||
Total Corporate Bonds/Notes (Cost $6,100,395) | 6,013,440 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 67.0% | ||||||||||
Federal Home Loan Mortgage Corporation: 16.4% | ||||||||||
20,000,000 | 4.700%, due 01/26/07 | 19,028,000 | ||||||||
19,028,000 | ||||||||||
Federal National Mortgage Association: 34.5% | ||||||||||
39,300,000 | 4.640%, due 03/15/07 | 37,156,696 | ||||||||
3,021,000 | STRIP, 4.730%, due 03/15/07 | 2,859,198 | ||||||||
40,015,894 | ||||||||||
Other U.S. Government Agency Obligations 16.1% | ||||||||||
3,500,000 | FICO STRIP, 4.640%, due 04/06/07 | 3,303,528 | ||||||||
12,637,000 | FICO STRIP, 4.670%, due 05/11/07 | 11,873,232 | ||||||||
3,645,000 | FICO STRIP, 4.700%, due 05/30/07 | 3,416,422 | ||||||||
18,593,182 | ||||||||||
Total U.S. Government Agency Obligations (Cost $77,878,297) | 77,637,076 | |||||||||
U.S. TREASURY OBLIGATIONS: 2.4% | ||||||||||
U.S. Treasury STRIP: 2.4% | ||||||||||
2,920,000 | 4.470%, due 02/15/07 | 2,779,621 | ||||||||
Total U.S. Treasury Obligations (Cost $2,788,128) | 2,779,621 | |||||||||
OTHER BONDS: 6.5% | ||||||||||
Sovereign: 6.5% | ||||||||||
8,007,000 | Israel Trust, 4.600%, due 5/15/07 | 7,526,204 | ||||||||
Total Other Bonds (Cost $7,505,895) | 7,526,204 | |||||||||
Total Long-Term Investments | ||||||||||
(Cost $113,756,891) | 115,055,157 | |||||||||
SHORT-TERM INVESTMENTS: 0.8% | ||||||||||
Repurchase Agreement: 0.8% | ||||||||||
882,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $882,417 to be received upon repurchase (Collateralized by $915,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $899,795, due 09/15/08) | 882,000 | ||||||||
Total Short-Term Investments (Cost $882,000) | 882,000 | |||||||||
Total Investments in Securities (Cost $114,638,891)* | 100.1 | % | $ | 115,937,157 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (83,866 | ) | ||||||||
Net Assets | 100.0 | % | $ | 115,853,291 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $115,202,442. | |||||
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 1,826,100 | ||||
Gross Unrealized Depreciation | (1,091,385 | ) | ||||
Net Unrealized Appreciation | $ | 734,715 | ||||
79
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COMMON STOCK: 28.4% | ||||||||||
Advertising: 0.0% | ||||||||||
1,050 | @ | Interpublic Group of Cos., Inc. | $ | 10,133 | ||||||
450 | Omnicom Group | 38,309 | ||||||||
48,442 | ||||||||||
Aerospace/ Defense: 0.7% | ||||||||||
2,950 | Boeing Co. | 207,208 | ||||||||
700 | General Dynamics Corp. | 79,835 | ||||||||
350 | Goodrich Corp. | 14,385 | ||||||||
350 | L-3 Communications Holdings, Inc. | 26,023 | ||||||||
1,710 | Lockheed Martin Corp. | 108,807 | ||||||||
957 | Northrop Grumman Corp. | 57,525 | ||||||||
1,457 | Raytheon Co. | 58,499 | ||||||||
590 | Rockwell Collins, Inc. | 27,417 | ||||||||
2,720 | United Technologies Corp. | 152,075 | ||||||||
731,774 | ||||||||||
Agriculture: 0.5% | ||||||||||
5,500 | Altria Group, Inc. | 410,960 | ||||||||
2,850 | Archer-Daniels-Midland Co. | 70,281 | ||||||||
760 | Monsanto Co. | 58,923 | ||||||||
340 | Reynolds America, Inc. | 32,412 | ||||||||
400 | UST, Inc. | 16,332 | ||||||||
588,908 | ||||||||||
Airlines: 0.0% | ||||||||||
1,800 | Southwest Airlines Co. | 29,574 | ||||||||
29,574 | ||||||||||
Apparel: 0.2% | ||||||||||
1,880 | @ | Coach, Inc. | 62,679 | |||||||
480 | Jones Apparel Group, Inc. | 14,746 | ||||||||
370 | Liz Claiborne, Inc. | 13,253 | ||||||||
690 | Nike, Inc. | 59,885 | ||||||||
230 | Reebok International Ltd. | 13,393 | ||||||||
400 | VF Corp. | 22,136 | ||||||||
186,092 | ||||||||||
Auto Manufacturers: 0.1% | ||||||||||
8,350 | Ford Motor Co. | 64,462 | ||||||||
64,462 | ||||||||||
Auto Parts & Equipment: 0.1% | ||||||||||
920 | @ | Goodyear Tire & Rubber Co. | 15,990 | |||||||
600 | Johnson Controls, Inc. | 43,746 | ||||||||
59,736 | ||||||||||
Banks: 1.8% | ||||||||||
850 | AmSouth Bancorp | 22,279 | ||||||||
14,220 | Bank of America Corp. | 656,253 | ||||||||
2,150 | Bank of New York | 68,478 | ||||||||
1,926 | BB&T Corp. | 80,719 | ||||||||
450 | Comerica, Inc. | 25,542 | ||||||||
350 | Compass Bancshares, Inc. | 16,902 | ||||||||
200 | First Horizon National Corp. | 7,688 | ||||||||
550 | Huntington Bancshares, Inc. | 13,063 | ||||||||
1,100 | Keycorp | 36,223 | ||||||||
200 | M&T Bank Corp. | 21,810 | ||||||||
500 | Marshall & Ilsley Corp. | 21,520 | ||||||||
1,200 | Mellon Financial Corp. | 41,100 | ||||||||
1,530 | National City Corp. | 51,362 | ||||||||
500 | Northern Trust Corp. | 25,910 | ||||||||
1,050 | PNC Financial Services Group, Inc. | 64,922 | ||||||||
1,200 | Regions Financial Corp. | 40,992 | ||||||||
900 | State Street Corp. | 49,896 | ||||||||
850 | SunTrust Banks, Inc. | 61,846 | ||||||||
866 | Synovus Financial Corp. | 23,391 | ||||||||
5,100 | US BanCorp. | 152,439 | ||||||||
4,190 | Wachovia Corp. | 221,483 | ||||||||
4,550 | Wells Fargo & Co. | 285,877 | ||||||||
300 | Zions Bancorporation | 22,668 | ||||||||
2,012,363 | ||||||||||
Beverages: 0.9% | ||||||||||
2,050 | Anheuser-Busch Cos., Inc. | 88,068 | ||||||||
300 | Brown-Forman Corp. | 20,796 | ||||||||
9,500 | Coca-Cola Co. | 382,945 | ||||||||
850 | Coca-Cola Enterprises, Inc. | 16,295 | ||||||||
500 | @ | Constellation Brands, Inc. | 13,115 | |||||||
500 | Pepsi Bottling Group, Inc. | 14,305 | ||||||||
7,420 | PepsiCo, Inc. | 438,374 | ||||||||
973,898 | ||||||||||
Biotechnology: 0.3% | ||||||||||
3,392 | @ | Amgen, Inc. | 267,493 | |||||||
200 | @ | Biogen Idec, Inc. | 9,066 | |||||||
300 | @ | Chiron Corp. | 13,338 | |||||||
650 | @ | Genzyme Corp. | 46,007 | |||||||
150 | @ | Millipore Corp. | 9,906 | |||||||
345,810 | ||||||||||
Building Materials: 0.1% | ||||||||||
450 | American Standard Cos, Inc. | 17,978 | ||||||||
1,200 | Masco Corp. | 36,228 | ||||||||
350 | Vulcan Materials Co. | 23,713 | ||||||||
77,919 | ||||||||||
Chemicals: 0.4% | ||||||||||
550 | Air Products & Chemicals, Inc. | 32,555 | ||||||||
2,650 | Dow Chemical Co. | 116,123 | ||||||||
300 | Eastman Chemical Co. | 15,477 | ||||||||
600 | Ecolab, Inc. | 21,762 | ||||||||
2,500 | EI Du Pont de Nemours & Co. | 106,250 | ||||||||
200 | Engelhard Corp. | 6,030 | ||||||||
350 | International Flavors & Fragrances, Inc. | 11,725 | ||||||||
820 | PPG Industries, Inc. | 47,478 | ||||||||
850 | Praxair, Inc. | 45,016 | ||||||||
500 | Rohm & Haas Co. | 24,210 | ||||||||
300 | Sherwin-Williams Co. | 13,626 | ||||||||
200 | Sigma-Aldrich Corp. | 12,658 | ||||||||
452,910 | ||||||||||
Commercial Services: 0.3% | ||||||||||
1 | @ | CCE Spinco, Inc. | 7 | |||||||
2,750 | Cendant Corp. | 47,438 | ||||||||
640 | Equifax, Inc. | 24,333 | ||||||||
1,520 | H&R Block, Inc. | 37,316 | ||||||||
1,500 | McKesson Corp. | 77,385 | ||||||||
700 | Moody’s Corp. | 42,994 | ||||||||
900 | Paychex, Inc. | 34,308 | ||||||||
700 | Robert Half International, Inc. | 26,523 | ||||||||
700 | RR Donnelley & Sons Co. | 23,947 | ||||||||
314,251 | ||||||||||
Computers: 1.4% | ||||||||||
350 | @ | Affiliated Computer Services, Inc. | 20,713 | |||||||
3,860 | @ | Apple Computer, Inc. | 277,495 | |||||||
100 | @ | Computer Sciences Corp. | 5,064 | |||||||
10,710 | @ | Dell, Inc. | 321,193 | |||||||
250 | Electronic Data Systems Corp. | 6,010 | ||||||||
8,850 | EMC Corp. | 120,537 | ||||||||
11,500 | Hewlett-Packard Co. | 329,245 | ||||||||
4,150 | International Business Machines Corp. | 341,130 | ||||||||
50 | @ | Lexmark International, Inc. | 2,242 | |||||||
500 | @ | NCR Corp. | 16,970 | |||||||
900 | @ | Network Appliance, Inc. | 24,300 |
80
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Computers: (continued) | ||||||||||
1,790 | @ | Sun Microsystems, Inc. | $ | 7,500 | ||||||
850 | @ | Unisys Corp. | 4,956 | |||||||
1,477,355 | ||||||||||
Cosmetics/ Personal Care: 0.6% | ||||||||||
300 | Alberto-Culver Co. | 13,725 | ||||||||
1,900 | Colgate-Palmolive Co. | 104,215 | ||||||||
9,223 | Procter & Gamble Co. | 533,827 | ||||||||
651,767 | ||||||||||
Distribution/ Wholesale: 0.0% | ||||||||||
622 | Genuine Parts Co. | 27,318 | ||||||||
250 | WW Grainger, Inc. | 17,775 | ||||||||
45,093 | ||||||||||
Diversified Financial Services: 2.3% | ||||||||||
3,300 | American Express Co. | 169,818 | ||||||||
720 | Ameriprise Financial, Inc. | 29,520 | ||||||||
330 | Bear Stearns Cos, Inc. | 38,125 | ||||||||
850 | Capital One Financial Corp. | 73,440 | ||||||||
2,750 | Charles Schwab Corp. | 40,343 | ||||||||
550 | CIT Group, Inc. | 28,479 | ||||||||
13,750 | Citigroup, Inc. | 667,288 | ||||||||
328 | Countrywide Financial Corp. | 11,214 | ||||||||
900 | @ | E*Trade Financial Corp. | 18,774 | |||||||
2,700 | Fannie Mae | 131,787 | ||||||||
300 | Federated Investors, Inc. | 11,112 | ||||||||
400 | Franklin Resources, Inc. | 37,604 | ||||||||
1,700 | Goldman Sachs Group, Inc. | 217,107 | ||||||||
9,200 | JPMorgan Chase & Co. | 365,148 | ||||||||
1,190 | Lehman Brothers Holdings, Inc. | 152,522 | ||||||||
3,500 | MBNA Corp. | 95,025 | ||||||||
3,250 | Merrill Lynch & Co., Inc. | 220,123 | ||||||||
2,850 | Morgan Stanley | 161,709 | ||||||||
1,050 | SLM Corp. | 57,845 | ||||||||
300 | T. Rowe Price Group, Inc. | 21,609 | ||||||||
2,548,592 | ||||||||||
Electric: 0.8% | ||||||||||
1,850 | @ | AES Corp. | 29,286 | |||||||
400 | @ | Allegheny Energy, Inc. | 12,660 | |||||||
150 | Ameren Corp. | 7,686 | ||||||||
1,000 | American Electric Power Co., Inc. | 37,090 | ||||||||
800 | CenterPoint Energy Resources Corp. | 10,280 | ||||||||
500 | Cinergy Corp. | 21,230 | ||||||||
1,000 | @ | CMS Energy Corp. | 14,510 | |||||||
650 | Consolidated Edison, Inc. | 30,115 | ||||||||
450 | Constellation Energy Group, Inc. | 25,920 | ||||||||
850 | Dominion Resources, Inc. | 65,620 | ||||||||
500 | DTE Energy Co. | 21,595 | ||||||||
2,550 | Duke Energy Corp. | 69,998 | ||||||||
1,220 | Edison International | 53,204 | ||||||||
900 | FirstEnergy Corp. | 44,091 | ||||||||
1,050 | FPL Group, Inc. | 43,638 | ||||||||
800 | NiSource, Inc. | 16,688 | ||||||||
950 | Pacific Gas & Electric Co. | 35,264 | ||||||||
300 | Pinnacle West Capital Corp. | 12,405 | ||||||||
900 | PPL Corp. | 26,460 | ||||||||
700 | Progress Energy, Inc. | 30,744 | ||||||||
600 | Public Service Enterprise Group, Inc. | 38,982 | ||||||||
1,950 | Southern Co. | 67,334 | ||||||||
1,050 | TECO Energy, Inc. | 18,039 | ||||||||
2,100 | TXU Corp. | 105,399 | ||||||||
1,050 | Xcel Energy, Inc. | 19,383 | ||||||||
857,621 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
400 | American Power Conversion | 8,800 | ||||||||
1,450 | Emerson Electric Co. | 108,315 | ||||||||
117,115 | ||||||||||
Electronics: 0.1% | ||||||||||
1,500 | @ | Agilent Technologies, Inc. | 49,935 | |||||||
550 | Applera Corp. — Applied Biosystems Group | 14,608 | ||||||||
440 | @ | Jabil Circuit, Inc. | 16,320 | |||||||
350 | PerkinElmer, Inc. | 8,246 | ||||||||
1,350 | @ | Sanmina-SCI Corp. | 5,751 | |||||||
4,830 | @ | Solectron Corp. | 17,678 | |||||||
550 | @ | Thermo Electron Corp. | 16,572 | |||||||
400 | @ | Waters Corp. | 15,120 | |||||||
144,230 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
200 | Fluor Corp. | 15,452 | ||||||||
15,452 | ||||||||||
Entertainment: 0.0% | ||||||||||
900 | International Game Technology | 27,702 | ||||||||
27,702 | ||||||||||
Environmental Control: 0.0% | ||||||||||
1,450 | Waste Management, Inc. | 44,008 | ||||||||
44,008 | ||||||||||
Food: 0.4% | ||||||||||
450 | Campbell Soup Co. | 13,397 | ||||||||
1,350 | ConAgra Foods, Inc. | 27,378 | ||||||||
1,300 | General Mills, Inc. | 64,116 | ||||||||
550 | Hershey Foods Corp. | 30,388 | ||||||||
1,050 | HJ Heinz Co. | 35,406 | ||||||||
650 | Kellogg Co. | 28,093 | ||||||||
1,800 | @ | Kroger Co. | 33,984 | |||||||
450 | McCormick & Co., Inc. | 13,914 | ||||||||
1,200 | Safeway, Inc. | 28,392 | ||||||||
2,019 | Sara Lee Corp. | 38,159 | ||||||||
640 | Supervalu, Inc. | 20,787 | ||||||||
700 | Tyson Foods, Inc. | 11,970 | ||||||||
500 | WM Wrigley Jr. Co. | 33,245 | ||||||||
379,229 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
350 | Louisiana-Pacific Corp. | 9,615 | ||||||||
650 | MeadWestvaco Corp. | 18,220 | ||||||||
450 | Plum Creek Timber Co., Inc. | 16,223 | ||||||||
300 | Temple-Inland, Inc. | 13,455 | ||||||||
700 | Weyerhaeuser Co. | 46,438 | ||||||||
103,951 | ||||||||||
Gas: 0.0% | ||||||||||
200 | Nicor, Inc. | 7,862 | ||||||||
750 | Sempra Energy | 33,630 | ||||||||
41,492 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
320 | Black & Decker Corp. | 27,827 | ||||||||
250 | Snap-On, Inc. | 9,390 | ||||||||
150 | Stanley Works | 7,206 | ||||||||
44,423 | ||||||||||
Healthcare — Products: 0.9% | ||||||||||
250 | Bausch & Lomb, Inc. | 16,975 | ||||||||
1,550 | Baxter International, Inc. | 58,358 | ||||||||
740 | Becton Dickinson & Co. | 44,459 | ||||||||
1,620 | @ | Boston Scientific Corp. | 39,674 | |||||||
300 | CR Bard, Inc. | 19,776 | ||||||||
860 | Guidant Corp. | 55,685 |
81
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Shares | Value | |||||||||
Healthcare — Products: (continued) | ||||||||||
7,900 | Johnson & Johnson | $ | 474,790 | |||||||
3,250 | Medtronic, Inc. | 187,103 | ||||||||
1,000 | @ | St. Jude Medical, Inc. | 50,200 | |||||||
800 | Stryker Corp. | 35,544 | ||||||||
982,564 | ||||||||||
Healthcare — Services: 0.7% | ||||||||||
1,270 | Aetna, Inc. | 119,774 | ||||||||
780 | @ | Coventry Health Care, Inc. | 44,429 | |||||||
800 | @ | Humana, Inc. | 43,464 | |||||||
300 | @ | Laboratory Corp. of America Holdings | 16,155 | |||||||
100 | Quest Diagnostics | 5,148 | ||||||||
4,460 | UnitedHealth Group, Inc. | 277,144 | ||||||||
2,830 | @ | WellPoint, Inc. | 225,806 | |||||||
731,920 | ||||||||||
Home Builders: 0.0% | ||||||||||
400 | Lennar Corp. | 24,408 | ||||||||
24,408 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
100 | Whirlpool Corp. | 8,376 | ||||||||
8,376 | ||||||||||
Household Products/ Wares: 0.1% | ||||||||||
380 | Clorox Co. | 21,618 | ||||||||
400 | Fortune Brands, Inc. | 31,208 | ||||||||
1,350 | Kimberly-Clark Corp. | 80,528 | ||||||||
133,354 | ||||||||||
Housewares: 0.0% | ||||||||||
750 | Newell Rubbermaid, Inc. | 17,835 | ||||||||
17,835 | ||||||||||
Insurance: 1.6% | ||||||||||
830 | @@ | ACE Ltd | 44,355 | |||||||
1,300 | Aflac, Inc. | 60,346 | ||||||||
1,720 | Allstate Corp. | 93,000 | ||||||||
350 | AMBAC Financial Group, Inc. | 26,971 | ||||||||
6,800 | American International Group, Inc. | 463,964 | ||||||||
900 | AON Corp. | 32,355 | ||||||||
890 | Chubb Corp. | 86,909 | ||||||||
320 | Cigna Corp. | 35,744 | ||||||||
395 | Cincinnati Financial Corp. | 17,649 | ||||||||
1,000 | Genworth Financial, Inc. | 34,580 | ||||||||
850 | Hartford Financial Services Group, Inc. | 73,007 | ||||||||
150 | Jefferson-Pilot Corp. | 8,540 | ||||||||
700 | Lincoln National Corp. | 37,121 | ||||||||
500 | Loews Corp. | 47,425 | ||||||||
1,441 | Marsh & McLennan Cos., Inc. | 45,766 | ||||||||
450 | MBIA, Inc. | 27,072 | ||||||||
3,470 | Metlife, Inc. | 170,030 | ||||||||
350 | MGIC Investment Corp. | 23,037 | ||||||||
1,000 | Principal Financial Group | 47,430 | ||||||||
540 | Progressive Corp. | 63,061 | ||||||||
1,850 | Prudential Financial, Inc. | 135,402 | ||||||||
350 | Safeco Corp. | 19,775 | ||||||||
1,800 | St. Paul Cos | 80,406 | ||||||||
250 | Torchmark Corp. | 13,900 | ||||||||
850 | UnumProvident Corp. | 19,338 | ||||||||
90 | @@ | XL Capital Ltd | 6,064 | |||||||
1,713,247 | ||||||||||
Internet: 0.3% | ||||||||||
1,100 | @ | Amazon.com, Inc. | 51,865 | |||||||
3,050 | @ | eBay, Inc. | 131,913 | |||||||
300 | @ | Monster Worldwide, Inc. | 12,246 | |||||||
2,826 | @ | Symantec Corp. | 49,455 | |||||||
750 | @ | Yahoo!, Inc. | 29,385 | |||||||
274,864 | ||||||||||
Iron/ Steel: 0.1% | ||||||||||
590 | Nucor Corp. | 39,365 | ||||||||
400 | United States Steel Corp. | 19,228 | ||||||||
58,593 | ||||||||||
Leisure Time: 0.1% | ||||||||||
300 | Brunswick Corp. | 12,198 | ||||||||
1,200 | Carnival Corp. | 64,164 | ||||||||
800 | Harley-Davidson, Inc. | 41,192 | ||||||||
450 | Sabre Holdings Corp. | 10,850 | ||||||||
128,404 | ||||||||||
Lodging: 0.1% | ||||||||||
1,150 | Hilton Hotels Corp. | 27,727 | ||||||||
520 | Marriott International, Inc. | 34,824 | ||||||||
600 | Starwood Hotels & Resorts Worldwide, Inc. | 38,316 | ||||||||
100,867 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
400 | Rockwell Automation, Inc. | 23,664 | ||||||||
23,664 | ||||||||||
Media: 0.8% | ||||||||||
1,500 | Clear Channel Communications, Inc. | 47,175 | ||||||||
5,950 | @ | Comcast Corp. | 154,462 | |||||||
100 | Gannett Co., Inc. | 6,057 | ||||||||
1,660 | McGraw-Hill Cos, Inc. | 85,706 | ||||||||
170 | Meredith Corp. | 8,898 | ||||||||
400 | New York Times Co. | 10,580 | ||||||||
6,550 | News Corp., Inc. | 101,853 | ||||||||
12,750 | Time Warner, Inc. | 222,360 | ||||||||
100 | Tribune Co. | 3,026 | ||||||||
600 | @ | Univision Communications, Inc. | 17,634 | |||||||
4,300 | Viacom, Inc. | 140,180 | ||||||||
1,050 | Walt Disney Co. | 25,169 | ||||||||
823,100 | ||||||||||
Mining: 0.1% | ||||||||||
650 | Freeport-McMoRan Copper & Gold, Inc. | 34,970 | ||||||||
300 | Newmont Mining Corp. | 16,020 | ||||||||
240 | Phelps Dodge Corp. | 34,529 | ||||||||
85,519 | ||||||||||
Miscellaneous Manufacturing: 1.4% | ||||||||||
2,700 | 3M Co. | 209,250 | ||||||||
300 | @ | Cooper Industries Ltd. | 21,900 | |||||||
800 | Danaher Corp. | 44,624 | ||||||||
500 | Dover Corp. | 20,245 | ||||||||
450 | Eaton Corp. | 30,191 | ||||||||
27,850 | General Electric Co. | 976,143 | ||||||||
2,350 | Honeywell International, Inc. | 87,538 | ||||||||
600 | Illinois Tool Works, Inc. | 52,794 | ||||||||
1,200 | @@ | Ingersoll-Rand Co. | 48,444 | |||||||
200 | ITT Industries, Inc. | 20,564 | ||||||||
300 | Parker Hannifin Corp. | 19,788 | ||||||||
350 | Textron, Inc. | 26,943 | ||||||||
1,558,424 | ||||||||||
Office/ Business Equipment: 0.1% | ||||||||||
600 | Pitney Bowes, Inc. | 25,350 | ||||||||
2,500 | @ | Xerox Corp. | 36,625 | |||||||
61,975 | ||||||||||
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Oil & Gas: 2.6% | ||||||||||
160 | Amerada Hess Corp. | $ | 20,291 | |||||||
500 | Anadarko Petroleum Corp. | 47,375 | ||||||||
782 | Apache Corp. | 53,583 | ||||||||
1,550 | Burlington Resources, Inc. | 133,610 | ||||||||
5,432 | ChevronTexaco Corp. | 308,375 | ||||||||
4,390 | ConocoPhillips | 255,410 | ||||||||
1,800 | Devon Energy Corp. | 112,572 | ||||||||
800 | EOG Resources, Inc. | 58,696 | ||||||||
25,850 | Exxon Mobil Corp. | 1,451,995 | ||||||||
350 | Kerr-McGee Corp. | 31,801 | ||||||||
840 | Marathon Oil Corp. | 51,215 | ||||||||
400 | Murphy Oil Corp. | 21,596 | ||||||||
300 | @,@@ | Nabors Industries Ltd. | 22,725 | |||||||
100 | @ | Noble Corp. | 7,054 | |||||||
1,000 | Occidental Petroleum Corp. | 79,880 | ||||||||
250 | Rowan Cos., Inc. | 8,910 | ||||||||
600 | Sunoco, Inc. | 47,028 | ||||||||
750 | @ | Transocean, Inc. | 52,268 | |||||||
2,300 | Valero Energy Corp. | 118,680 | ||||||||
2,883,064 | ||||||||||
Oil & Gas Services: 0.2% | ||||||||||
200 | Baker Hughes, Inc. | 12,156 | ||||||||
1,200 | Halliburton Co. | 74,352 | ||||||||
1,350 | Schlumberger Ltd. | 131,153 | ||||||||
217,661 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
300 | Ball Corp. | 11,916 | ||||||||
300 | @ | Sealed Air Corp. | 16,851 | |||||||
28,767 | ||||||||||
Pharmaceuticals: 1.5% | ||||||||||
4,300 | Abbott Laboratories | 169,549 | ||||||||
350 | Allergan, Inc. | 37,786 | ||||||||
980 | AmerisourceBergen Corp. | 40,572 | ||||||||
1,100 | Bristol-Myers Squibb Co. | 25,278 | ||||||||
1,100 | Cardinal Health, Inc. | 75,625 | ||||||||
1,180 | @ | Caremark Rx, Inc. | 61,112 | |||||||
550 | @ | Express Scripts, Inc. | 46,090 | |||||||
900 | @ | Forest Laboratories, Inc. | 36,612 | |||||||
1,200 | @ | Gilead Sciences, Inc. | 63,156 | |||||||
800 | @ | Hospira, Inc. | 34,224 | |||||||
1,000 | @ | King Pharmaceuticals, Inc. | 16,920 | |||||||
752 | @ | Medco Health Solutions, Inc. | 41,962 | |||||||
7,800 | Merck & Co., Inc. | 248,118 | ||||||||
600 | Mylan Laboratories | 11,976 | ||||||||
19,410 | Pfizer, Inc. | 452,631 | ||||||||
4,000 | Schering-Plough Corp. | 83,400 | ||||||||
350 | @ | Watson Pharmaceuticals, Inc. | 11,379 | |||||||
3,500 | Wyeth | 161,245 | ||||||||
1,617,635 | ||||||||||
Pipelines: 0.0% | ||||||||||
300 | El Paso Corp. | 3,648 | ||||||||
200 | Kinder Morgan, Inc. | 18,390 | ||||||||
1,100 | Williams Cos., Inc. | 25,487 | ||||||||
47,525 | ||||||||||
Real Estate Investment Trust: 0.1% | ||||||||||
300 | Apartment Investment & Management Co. | 11,361 | ||||||||
600 | Archstone-Smith Trust | 25,134 | ||||||||
1,100 | Equity Office Properties Trust | 33,363 | ||||||||
100 | Prologis | 4,672 | ||||||||
300 | Public Storage, Inc. | 20,316 | ||||||||
550 | Simon Property Group LP | 42,147 | ||||||||
100 | Vornado Realty Trust | 8,347 | ||||||||
145,340 | ||||||||||
Retail: 1.7% | ||||||||||
450 | @ | Autonation, Inc. | 9,779 | |||||||
200 | @ | Autozone, Inc. | 18,350 | |||||||
750 | @ | Bed Bath & Beyond, Inc. | 27,113 | |||||||
1,480 | Best Buy Co., Inc. | 64,350 | ||||||||
450 | Circuit City Stores, Inc. | 10,166 | ||||||||
1,250 | Costco Wholesale Corp. | 61,838 | ||||||||
550 | Darden Restaurants, Inc. | 21,384 | ||||||||
800 | Dollar General Corp. | 15,256 | ||||||||
250 | Family Dollar Stores, Inc. | 6,198 | ||||||||
914 | Federated Department Stores | 60,626 | ||||||||
2,040 | Gap, Inc. | 35,986 | ||||||||
5,800 | Home Depot, Inc. | 234,784 | ||||||||
850 | JC Penney Co., Inc. | 47,260 | ||||||||
200 | @ | Kohl’s Corp. | 9,720 | |||||||
200 | Limited Brands | 4,470 | ||||||||
2,080 | Lowe’s Cos., Inc. | 138,653 | ||||||||
4,400 | McDonald’s Corp. | 148,368 | ||||||||
900 | Nordstrom, Inc. | 33,660 | ||||||||
770 | @ | Office Depot, Inc. | 24,178 | |||||||
230 | @ | Sears Holding Corp. | 26,572 | |||||||
2,600 | Staples, Inc. | 59,046 | ||||||||
2,200 | @ | Starbucks Corp. | 66,022 | |||||||
2,200 | Target Corp. | 120,934 | ||||||||
400 | Tiffany & Co. | 15,316 | ||||||||
1,500 | TJX Cos., Inc. | 34,845 | ||||||||
6,750 | Wal-Mart Stores, Inc. | 315,900 | ||||||||
2,730 | Walgreen Co. | 120,830 | ||||||||
350 | Wendy’s International, Inc. | 19,341 | ||||||||
1,050 | Yum! Brands, Inc. | 49,224 | ||||||||
1,800,169 | ||||||||||
Savings & Loans: 0.2% | ||||||||||
760 | Golden West Financial Corp. | 50,160 | ||||||||
2,680 | Washington Mutual, Inc. | 116,580 | ||||||||
166,740 | ||||||||||
Semiconductors: 1.2% | ||||||||||
950 | @ | Altera Corp. | 17,604 | |||||||
950 | Analog Devices, Inc. | 34,077 | ||||||||
4,150 | Applied Materials, Inc. | 74,451 | ||||||||
750 | @ | Broadcom Corp. | 35,363 | |||||||
1,048 | @ | Freescale Semiconductor, Inc. | 26,378 | |||||||
26,300 | Intel Corp. | 656,448 | ||||||||
450 | Kla-Tencor Corp. | 22,199 | ||||||||
800 | Linear Technology Corp. | 28,856 | ||||||||
900 | @ | LSI Logic Corp. | 7,200 | |||||||
850 | Maxim Integrated Products | 30,804 | ||||||||
1,600 | @ | Micron Technology, Inc. | 21,296 | |||||||
1,450 | National Semiconductor Corp. | 37,671 | ||||||||
350 | @ | Novellus Systems, Inc. | 8,442 | |||||||
400 | @ | Nvidia Corp. | 14,624 | |||||||
250 | @ | QLogic Corp. | 8,128 | |||||||
7,400 | Texas Instruments, Inc. | 237,318 | ||||||||
1,260,859 | ||||||||||
Software: 1.2% | ||||||||||
1,320 | Adobe Systems, Inc. | 48,787 | ||||||||
820 | Autodesk, Inc. | 35,219 | ||||||||
2,100 | Automatic Data Processing, Inc. | 96,369 | ||||||||
850 | @ | BMC Software, Inc. | 17,417 | |||||||
750 | @ | Citrix Systems, Inc. | 21,585 | |||||||
1,300 | Computer Associates International, Inc. | 36,647 | ||||||||
1,500 | @ | Compuware Corp. | 13,455 | |||||||
800 | @ | Electronic Arts, Inc. | 41,848 | |||||||
2,087 | First Data Corp. | 89,762 | ||||||||
500 | @ | Fiserv, Inc. | 21,635 | |||||||
600 | IMS Health, Inc. | 14,952 | ||||||||
800 | @ | Intuit, Inc. | 42,640 | |||||||
300 | @ | Mercury Interactive Corp. | 8,337 | |||||||
24,550 | Microsoft Corp. | 641,973 |
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Software: (continued) | ||||||||||
1,250 | @ | Novell, Inc. | $ | 11,038 | ||||||
10,120 | @ | Oracle Corp. | 123,565 | |||||||
1,350 | @ | Parametric Technology Corp. | 8,235 | |||||||
1,440 | Siebel Systems, Inc. | 15,235 | ||||||||
1,288,699 | ||||||||||
Telecommunications: 1.7% | ||||||||||
1,050 | Alltel Corp. | 66,255 | ||||||||
13,967 | AT&T, Inc. | 342,052 | ||||||||
200 | @ | Avaya, Inc. | 2,134 | |||||||
5,050 | BellSouth Corp. | 136,855 | ||||||||
500 | CenturyTel, Inc. | 16,580 | ||||||||
17,350 | @ | Cisco Systems, Inc. | 297,022 | |||||||
500 | @ | Comverse Technology, Inc. | 13,295 | |||||||
4,000 | @ | Corning, Inc. | 78,640 | |||||||
11,060 | Motorola, Inc. | 249,845 | ||||||||
4,400 | Qualcomm, Inc. | 189,552 | ||||||||
600 | Scientific-Atlanta, Inc. | 25,842 | ||||||||
7,906 | Sprint Corp. — FON Group | 184,684 | ||||||||
1,150 | @ | Tellabs, Inc. | 12,535 | |||||||
7,550 | Verizon Communications, Inc. | 227,406 | ||||||||
1,842,697 | ||||||||||
Textiles: 0.0% | ||||||||||
500 | Cintas Corp. | 20,590 | ||||||||
20,590 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
850 | Hasbro, Inc. | 17,153 | ||||||||
250 | Mattel, Inc. | 3,955 | ||||||||
21,108 | ||||||||||
Transportation: 0.5% | ||||||||||
1,100 | Burlington Northern Santa Fe Corp. | 77,902 | ||||||||
550 | CSX Corp. | 27,921 | ||||||||
800 | FedEx Corp. | 82,712 | ||||||||
1,400 | Norfolk Southern Corp. | 62,762 | ||||||||
100 | Union Pacific Corp. | 8,051 | ||||||||
3,050 | United Parcel Service, Inc. | 229,208 | ||||||||
488,556 | ||||||||||
Total Common Stock (Cost $28,413,701) | 30,940,693 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 59.1% | ||||||||||
Federal Home Loan Mortgage Corporation: 7.0% | ||||||||||
$ | 6,250,000 | 4.680%, due 07/15/07 | $ | 5,825,356 | ||||||
2,000,000 | 4.690%, due 09/15/07 | 1,849,832 | ||||||||
7,675,188 | ||||||||||
Federal National Mortgage Association: 40.3% | ||||||||||
47,000,000 | 4.690%, due 06/15/07 | 43,957,549 | ||||||||
43,957,549 | ||||||||||
Other U.S. Government Agency Obligations: 11.8% | ||||||||||
3,720,000 | FICO STRIP, 4.670%, due 06/06/07 | 3,484,081 | ||||||||
7,558,000 | FICO STRIP, 4.740%, due 12/06/07 | 6,915,547 | ||||||||
2,653,000 | FICO STRIP, 4.760%, due 12/27/07 | 2,420,837 | ||||||||
12,820,465 | ||||||||||
Total U.S. Government Agency Obligations (Cost $65,052,733) | 64,453,202 | |||||||||
U.S. TREASURY OBLIGATIONS: 1.3% | ||||||||||
U.S. Treasury STRIP: 1.3% | ||||||||||
1,519,000 | S | 4.450%, due 05/15/07 | 1,431,109 | |||||||
Total U.S. Treasury Obligations (Cost $1,435,695) | 1,431,109 | |||||||||
OTHER BONDS: 10.4% | ||||||||||
Sovereign: 10.4% | ||||||||||
3,185,000 | Turkey Trust, 4.600%, due 05/15/07 | 2,993,750 | ||||||||
3,917,000 | Israel Trust, 4.660%, due 11/15/07 | 3,598,481 | ||||||||
5,146,000 | Israel Trust, 4.660%, due 11/15/07 | 4,727,543 | ||||||||
(Cost $11,518,916) | 11,319,774 | |||||||||
Total Long-Term Investments | ||||||||||
(Cost $106,421,045) | $ | 108,144,778 | ||||||||
SHORT-TERM INVESTMENTS: 0.9% | ||||||||||
Repurchase Agreement: 0.9% | ||||||||||
994,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $994,469 to be received upon repurchase (Collateralized by $1,032,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $1,014,851, due 09/15/08) | 994,000 | ||||||||
Total Short-Term Investments | ||||||||||
(Cost $994,000) | $ | 994,000 | ||||||||
Total Investments in Securities (Cost $107,415,045)* | 100.1 | % | $ | 109,138,778 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (74,270 | ) | ||||||||
Net Assets | 100.0 | % | $ | 109,064,508 | ||||||||
S | Segregated securities for certain derivatives, when-issued or delayed delivery securities and forwards currency exchange contracts. | |||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
GDR | Global Depositary Receipt | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $108,025,400. | |||||
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 2,872,200 | ||||
Gross Unrealized Depreciation | (1,758,822 | ) | ||||
Net Unrealized Appreciation | $ | 1,113,378 | ||||
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COMMON STOCK: 35.2% | ||||||||||
Advertising: 0.1% | ||||||||||
1,900 | @ | Interpublic Group of Cos., Inc. | $ | 18,335 | ||||||
900 | Omnicom Group | 76,617 | ||||||||
94,952 | ||||||||||
Aerospace/ Defense: 0.9% | ||||||||||
5,000 | Boeing Co. | 351,200 | ||||||||
1,250 | General Dynamics Corp. | 142,563 | ||||||||
550 | Goodrich Corp. | 22,605 | ||||||||
450 | L-3 Communications Holdings, Inc. | 33,458 | ||||||||
2,900 | Lockheed Martin Corp. | 184,527 | ||||||||
1,712 | Northrop Grumman Corp. | 102,908 | ||||||||
2,724 | Raytheon Co. | 109,369 | ||||||||
1,280 | Rockwell Collins, Inc. | 59,482 | ||||||||
4,800 | United Technologies Corp. | 268,368 | ||||||||
1,274,480 | ||||||||||
Agriculture: 0.7% | ||||||||||
9,250 | Altria Group, Inc. | 691,160 | ||||||||
4,900 | Archer-Daniels-Midland Co. | 120,834 | ||||||||
1,340 | Monsanto Co. | 103,890 | ||||||||
530 | Reynolds America, Inc. | 50,525 | ||||||||
800 | UST, Inc. | 32,664 | ||||||||
999,073 | ||||||||||
Airlines: 0.0% | ||||||||||
3,100 | Southwest Airlines Co. | 50,933 | ||||||||
50,933 | ||||||||||
Apparel: 0.2% | ||||||||||
3,170 | @ | Coach, Inc. | 105,688 | |||||||
510 | Jones Apparel Group, Inc. | 15,667 | ||||||||
676 | Liz Claiborne, Inc. | 24,214 | ||||||||
1,240 | Nike, Inc. | 107,620 | ||||||||
400 | Reebok International Ltd. | 23,292 | ||||||||
750 | VF Corp. | 41,505 | ||||||||
317,986 | ||||||||||
Auto Manufacturers: 0.1% | ||||||||||
11,700 | Ford Motor Co. | 90,324 | ||||||||
300 | @ | Navistar International Corp. | 8,586 | |||||||
98,910 | ||||||||||
Auto Parts & Equipment: 0.1% | ||||||||||
1,490 | @ | Goodyear Tire & Rubber Co. | 25,896 | |||||||
950 | Johnson Controls, Inc. | 69,265 | ||||||||
95,161 | ||||||||||
Banks: 2.3% | ||||||||||
2,000 | AmSouth Bancorp | 52,420 | ||||||||
24,288 | Bank of America Corp. | 1,120,891 | ||||||||
3,750 | Bank of New York | 119,438 | ||||||||
3,294 | BB&T Corp. | 138,052 | ||||||||
750 | Comerica, Inc. | 42,570 | ||||||||
500 | Compass Bancshares, Inc. | 24,145 | ||||||||
250 | First Horizon National Corp. | 9,610 | ||||||||
1,000 | Huntington Bancshares, Inc. | 23,750 | ||||||||
1,850 | Keycorp | 60,921 | ||||||||
450 | M&T Bank Corp. | 49,073 | ||||||||
1,050 | Marshall & Ilsley Corp. | 45,192 | ||||||||
2,000 | Mellon Financial Corp. | 68,500 | ||||||||
2,610 | National City Corp. | 87,618 | ||||||||
850 | Northern Trust Corp. | 44,047 | ||||||||
1,750 | PNC Financial Services Group, Inc. | 108,203 | ||||||||
2,100 | Regions Financial Corp. | 71,736 | ||||||||
1,450 | State Street Corp. | 80,388 | ||||||||
1,750 | SunTrust Banks, Inc. | 127,330 | ||||||||
1,144 | Synovus Financial Corp. | 30,899 | ||||||||
8,750 | US BanCorp. | 261,538 | ||||||||
7,324 | Wachovia Corp. | 387,147 | ||||||||
7,700 | Wells Fargo & Co. | 483,791 | ||||||||
450 | Zions Bancorporation | 34,002 | ||||||||
3,471,261 | ||||||||||
Beverages: 1.1% | ||||||||||
3,500 | Anheuser-Busch Cos., Inc. | 150,360 | ||||||||
600 | Brown-Forman Corp. | 41,592 | ||||||||
16,200 | Coca-Cola Co. | 653,022 | ||||||||
1,550 | Coca-Cola Enterprises, Inc. | 29,714 | ||||||||
800 | @ | Constellation Brands, Inc. | 20,984 | |||||||
1,050 | Pepsi Bottling Group, Inc. | 30,041 | ||||||||
12,890 | PepsiCo, Inc. | 761,541 | ||||||||
1,687,254 | ||||||||||
Biotechnology: 0.4% | ||||||||||
5,750 | @ | Amgen, Inc. | 453,445 | |||||||
300 | @ | Biogen Idec, Inc. | 13,599 | |||||||
500 | @ | Chiron Corp. | 22,230 | |||||||
1,100 | @ | Genzyme Corp. | 77,858 | |||||||
300 | @ | Millipore Corp. | 19,812 | |||||||
586,944 | ||||||||||
Building Materials: 0.1% | ||||||||||
850 | American Standard Cos, Inc. | 33,958 | ||||||||
2,000 | Masco Corp. | 60,380 | ||||||||
700 | Vulcan Materials Co. | 47,425 | ||||||||
141,763 | ||||||||||
Chemicals: 0.5% | ||||||||||
1,000 | Air Products & Chemicals, Inc. | 59,190 | ||||||||
4,550 | Dow Chemical Co. | 199,381 | ||||||||
450 | Eastman Chemical Co. | 23,216 | ||||||||
1,000 | Ecolab, Inc. | 36,270 | ||||||||
4,350 | EI Du Pont de Nemours & Co. | 184,875 | ||||||||
250 | Engelhard Corp. | 7,538 | ||||||||
400 | International Flavors & Fragrances, Inc. | 13,400 | ||||||||
1,400 | PPG Industries, Inc. | 81,060 | ||||||||
1,750 | Praxair, Inc. | 92,680 | ||||||||
700 | Rohm & Haas Co. | 33,894 | ||||||||
650 | Sherwin-Williams Co. | 29,523 | ||||||||
450 | Sigma-Aldrich Corp. | 28,481 | ||||||||
789,508 | ||||||||||
Commercial Services: 0.3% | ||||||||||
1 | @ | CCE Spinco, Inc. | 7 | |||||||
4,650 | Cendant Corp. | 80,213 | ||||||||
1,100 | Equifax, Inc. | 41,822 | ||||||||
2,460 | H&R Block, Inc. | 60,393 | ||||||||
2,300 | McKesson Corp. | 118,657 | ||||||||
1,100 | Moody’s Corp. | 67,562 | ||||||||
1,700 | Paychex, Inc. | 64,804 | ||||||||
750 | Robert Half International, Inc. | 28,418 | ||||||||
1,000 | RR Donnelley & Sons Co. | 34,210 | ||||||||
496,086 | ||||||||||
Computers: 1.6% | ||||||||||
600 | @ | Affiliated Computer Services, Inc. | 35,508 | |||||||
6,520 | @ | Apple Computer, Inc. | 468,723 | |||||||
150 | @ | Computer Sciences Corp. | 7,596 | |||||||
18,230 | @ | Dell, Inc. | 546,718 | |||||||
500 | Electronic Data Systems Corp. | 12,020 | ||||||||
15,150 | EMC Corp. | 206,343 | ||||||||
14,200 | Hewlett-Packard Co. | 406,546 | ||||||||
7,250 | International Business Machines Corp. | 595,950 |
85
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Shares | Value | |||||||||
Computers: (continued) | ||||||||||
540 | @ | Lexmark International, Inc. | $ | 24,208 | ||||||
850 | @ | NCR Corp. | 28,849 | |||||||
1,600 | @ | Network Appliance, Inc. | 43,200 | |||||||
3,010 | @ | Sun Microsystems, Inc. | 12,612 | |||||||
1,850 | @ | Unisys Corp. | 10,786 | |||||||
2,399,059 | ||||||||||
Cosmetics/ Personal Care: 0.7% | ||||||||||
450 | Alberto-Culver Co. | 20,588 | ||||||||
3,150 | Colgate-Palmolive Co. | 172,778 | ||||||||
15,337 | Procter & Gamble Co. | 887,706 | ||||||||
1,081,072 | ||||||||||
Distribution/ Wholesale: 0.1% | ||||||||||
1,086 | Genuine Parts Co. | 47,697 | ||||||||
300 | WW Grainger, Inc. | 21,330 | ||||||||
69,027 | ||||||||||
Diversified Financial Services: 2.9% | ||||||||||
5,950 | American Express Co. | 306,187 | ||||||||
1,190 | Ameriprise Financial, Inc. | 48,790 | ||||||||
460 | Bear Stearns Cos, Inc. | 53,144 | ||||||||
1,270 | Capital One Financial Corp. | 109,728 | ||||||||
4,700 | Charles Schwab Corp. | 68,949 | ||||||||
950 | CIT Group, Inc. | 49,191 | ||||||||
23,150 | Citigroup, Inc. | 1,123,470 | ||||||||
558 | Countrywide Financial Corp. | 19,078 | ||||||||
1,600 | @ | E*Trade Financial Corp. | 33,376 | |||||||
4,590 | Fannie Mae | 224,038 | ||||||||
450 | Federated Investors, Inc. | 16,668 | ||||||||
650 | Franklin Resources, Inc. | 61,107 | ||||||||
2,800 | Goldman Sachs Group, Inc. | 357,588 | ||||||||
15,700 | JPMorgan Chase & Co. | 623,133 | ||||||||
1,730 | Lehman Brothers Holdings, Inc. | 221,734 | ||||||||
6,000 | MBNA Corp. | 162,900 | ||||||||
5,550 | Merrill Lynch & Co., Inc. | 375,902 | ||||||||
4,900 | Morgan Stanley | 278,026 | ||||||||
2,100 | SLM Corp. | 115,689 | ||||||||
550 | T. Rowe Price Group, Inc. | 39,617 | ||||||||
4,288,315 | ||||||||||
Electric: 1.0% | ||||||||||
3,150 | @ | AES Corp. | 49,865 | |||||||
750 | @ | Allegheny Energy, Inc. | 23,738 | |||||||
150 | Ameren Corp. | 7,686 | ||||||||
1,700 | American Electric Power Co., Inc. | 63,053 | ||||||||
1,250 | CenterPoint Energy Resources Corp. | 16,063 | ||||||||
900 | Cinergy Corp. | 38,214 | ||||||||
1,800 | @ | CMS Energy Corp. | 26,118 | |||||||
1,300 | Consolidated Edison, Inc. | 60,229 | ||||||||
1,050 | Constellation Energy Group, Inc. | 60,480 | ||||||||
1,600 | Dominion Resources, Inc. | 123,520 | ||||||||
800 | DTE Energy Co. | 34,552 | ||||||||
4,350 | Duke Energy Corp. | 119,408 | ||||||||
2,040 | Edison International | 88,964 | ||||||||
1,500 | FirstEnergy Corp. | 73,485 | ||||||||
1,800 | FPL Group, Inc. | 74,808 | ||||||||
1,350 | NiSource, Inc. | 28,161 | ||||||||
1,750 | Pacific Gas & Electric Co. | 64,960 | ||||||||
500 | Pinnacle West Capital Corp. | 20,675 | ||||||||
1,700 | PPL Corp. | 49,980 | ||||||||
1,200 | Progress Energy, Inc. | 52,704 | ||||||||
1,050 | Public Service Enterprise Group, Inc. | 68,219 | ||||||||
3,350 | Southern Co. | 115,676 | ||||||||
1,750 | TECO Energy, Inc. | 30,065 | ||||||||
3,900 | TXU Corp. | 195,741 | ||||||||
1,850 | Xcel Energy, Inc. | 34,151 | ||||||||
1,520,515 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
800 | American Power Conversion | 17,600 | ||||||||
2,500 | Emerson Electric Co. | 186,750 | ||||||||
204,350 | ||||||||||
Electronics: 0.2% | ||||||||||
3,150 | @ | Agilent Technologies, Inc. | 104,864 | |||||||
850 | Applera Corp. — Applied Biosystems Group | 22,576 | ||||||||
890 | @ | Jabil Circuit, Inc. | 33,010 | |||||||
600 | PerkinElmer, Inc. | 14,136 | ||||||||
2,300 | @ | Sanmina-SCI Corp. | 9,798 | |||||||
8,220 | @ | Solectron Corp. | 30,085 | |||||||
900 | @ | Thermo Electron Corp. | 27,117 | |||||||
650 | @ | Waters Corp. | 24,570 | |||||||
266,156 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
400 | Fluor Corp. | 30,904 | ||||||||
30,904 | ||||||||||
Entertainment: 0.0% | ||||||||||
1,550 | International Game Technology | 47,709 | ||||||||
47,709 | ||||||||||
Environmental Control: 0.1% | ||||||||||
2,450 | Waste Management, Inc. | 74,358 | ||||||||
74,358 | ||||||||||
Food: 0.4% | ||||||||||
800 | Campbell Soup Co. | 23,816 | ||||||||
2,400 | ConAgra Foods, Inc. | 48,672 | ||||||||
2,200 | General Mills, Inc. | 108,504 | ||||||||
1,000 | Hershey Foods Corp. | 55,250 | ||||||||
1,750 | HJ Heinz Co. | 59,010 | ||||||||
1,200 | Kellogg Co. | 51,864 | ||||||||
3,000 | @ | Kroger Co. | 56,640 | |||||||
750 | McCormick & Co., Inc. | 23,190 | ||||||||
2,050 | Safeway, Inc. | 48,503 | ||||||||
3,463 | Sara Lee Corp. | 65,451 | ||||||||
1,150 | Supervalu, Inc. | 37,352 | ||||||||
1,200 | Tyson Foods, Inc. | 20,520 | ||||||||
950 | WM Wrigley Jr. Co. | 63,166 | ||||||||
661,938 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
690 | Louisiana-Pacific Corp. | 18,954 | ||||||||
1,000 | MeadWestvaco Corp. | 28,030 | ||||||||
800 | Plum Creek Timber Co., Inc. | 28,840 | ||||||||
600 | Temple-Inland, Inc. | 26,910 | ||||||||
1,200 | Weyerhaeuser Co. | 79,608 | ||||||||
182,342 | ||||||||||
Gas: 0.0% | ||||||||||
1,240 | Sempra Energy | 55,602 | ||||||||
55,602 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
320 | Black & Decker Corp. | 27,827 | ||||||||
200 | Snap-On, Inc. | 7,512 | ||||||||
500 | Stanley Works | 24,020 | ||||||||
59,359 | ||||||||||
Healthcare — Products: 1.1% | ||||||||||
300 | Bausch & Lomb, Inc. | 20,370 | ||||||||
2,650 | Baxter International, Inc. | 99,773 | ||||||||
1,170 | Becton Dickinson & Co. | 70,294 |
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Healthcare — Products: (continued) | ||||||||||
2,700 | @ | Boston Scientific Corp. | $ | 66,123 | ||||||
600 | CR Bard, Inc. | 39,552 | ||||||||
1,540 | Guidant Corp. | 99,715 | ||||||||
13,500 | Johnson & Johnson | 811,350 | ||||||||
5,600 | Medtronic, Inc. | 322,392 | ||||||||
1,800 | @ | St. Jude Medical, Inc. | 90,360 | |||||||
1,300 | Stryker Corp. | 57,759 | ||||||||
1,677,688 | ||||||||||
Healthcare — Services: 0.8% | ||||||||||
2,240 | Aetna, Inc. | 211,254 | ||||||||
1,380 | @ | Coventry Health Care, Inc. | 78,605 | |||||||
1,390 | @ | Humana, Inc. | 75,519 | |||||||
100 | @ | Laboratory Corp. of America Holdings | 5,385 | |||||||
400 | Quest Diagnostics | 20,592 | ||||||||
7,620 | UnitedHealth Group, Inc. | 473,507 | ||||||||
4,880 | @ | WellPoint, Inc. | 389,375 | |||||||
1,254,237 | ||||||||||
Home Builders: 0.0% | ||||||||||
600 | Lennar Corp. | 36,612 | ||||||||
36,612 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
300 | Whirlpool Corp. | 25,128 | ||||||||
25,128 | ||||||||||
Household Products/ Wares: 0.2% | ||||||||||
740 | Clorox Co. | 42,099 | ||||||||
650 | Fortune Brands, Inc. | 50,713 | ||||||||
2,250 | Kimberly-Clark Corp. | 134,213 | ||||||||
227,025 | ||||||||||
Housewares: 0.0% | ||||||||||
1,250 | Newell Rubbermaid, Inc. | 29,725 | ||||||||
29,725 | ||||||||||
Insurance: 1.9% | ||||||||||
1,400 | @@ | ACE Ltd | 74,816 | |||||||
2,200 | Aflac, Inc. | 102,124 | ||||||||
3,010 | Allstate Corp. | 162,751 | ||||||||
450 | AMBAC Financial Group, Inc. | 34,677 | ||||||||
11,850 | American International Group, Inc. | 808,526 | ||||||||
1,350 | AON Corp. | 48,533 | ||||||||
1,520 | Chubb Corp. | 148,428 | ||||||||
550 | Cigna Corp. | 61,435 | ||||||||
732 | Cincinnati Financial Corp. | 32,706 | ||||||||
1,700 | Genworth Financial, Inc. | 58,786 | ||||||||
1,400 | Hartford Financial Services Group, Inc. | 120,246 | ||||||||
650 | Jefferson-Pilot Corp. | 37,005 | ||||||||
1,150 | Lincoln National Corp. | 60,985 | ||||||||
610 | Loews Corp. | 57,859 | ||||||||
1,784 | Marsh & McLennan Cos., Inc. | 56,660 | ||||||||
800 | MBIA, Inc. | 48,128 | ||||||||
4,910 | Metlife, Inc. | 240,590 | ||||||||
410 | MGIC Investment Corp. | 26,986 | ||||||||
1,700 | Principal Financial Group | 80,631 | ||||||||
970 | Progressive Corp. | 113,277 | ||||||||
3,180 | Prudential Financial, Inc. | 232,744 | ||||||||
600 | Safeco Corp. | 33,900 | ||||||||
3,030 | St. Paul Cos. | 135,350 | ||||||||
500 | Torchmark Corp. | 27,800 | ||||||||
1,400 | UnumProvident Corp. | 31,850 | ||||||||
160 | @@ | XL Capital Ltd | 10,781 | |||||||
2,847,574 | ||||||||||
Internet: 0.3% | ||||||||||
1,900 | @ | Amazon.com, Inc. | 89,585 | |||||||
5,150 | @ | eBay, Inc. | 222,738 | |||||||
550 | @ | Monster Worldwide, Inc. | 22,451 | |||||||
4,810 | @ | Symantec Corp. | 84,175 | |||||||
1,150 | @ | Yahoo!, Inc. | 45,057 | |||||||
464,006 | ||||||||||
Iron/ Steel: 0.1% | ||||||||||
1,200 | Nucor Corp. | 80,064 | ||||||||
950 | United States Steel Corp. | 45,667 | ||||||||
125,731 | ||||||||||
Leisure Time: 0.1% | ||||||||||
550 | Brunswick Corp. | 22,363 | ||||||||
1,950 | Carnival Corp. | 104,267 | ||||||||
1,300 | Harley-Davidson, Inc. | 66,937 | ||||||||
750 | Sabre Holdings Corp. | 18,083 | ||||||||
211,650 | ||||||||||
Lodging: 0.1% | ||||||||||
1,850 | Hilton Hotels Corp. | 44,604 | ||||||||
950 | Marriott International, Inc. | 63,622 | ||||||||
1,000 | Starwood Hotels & Resorts Worldwide, Inc. | 63,860 | ||||||||
172,086 | ||||||||||
Machinery — Diversified: 0.1% | ||||||||||
250 | Cummins, Inc. | 22,433 | ||||||||
750 | Rockwell Automation, Inc. | 44,370 | ||||||||
66,803 | ||||||||||
Media: 1.0% | ||||||||||
2,500 | Clear Channel Communications, Inc. | 78,625 | ||||||||
10,200 | @ | Comcast Corp. | 264,792 | |||||||
250 | Gannett Co., Inc. | 15,143 | ||||||||
3,150 | McGraw-Hill Cos, Inc. | 162,635 | ||||||||
340 | Meredith Corp. | 17,796 | ||||||||
650 | New York Times Co. | 17,193 | ||||||||
11,100 | News Corp., Inc. | 172,605 | ||||||||
21,800 | Time Warner, Inc. | 380,182 | ||||||||
250 | Tribune Co. | 7,565 | ||||||||
1,000 | @ | Univision Communications, Inc. | 29,390 | |||||||
7,350 | Viacom, Inc. | 239,610 | ||||||||
1,850 | Walt Disney Co. | 44,345 | ||||||||
1,429,881 | ||||||||||
Mining: 0.1% | ||||||||||
1,500 | Freeport-McMoRan Copper & Gold, Inc. | 80,700 | ||||||||
500 | Newmont Mining Corp. | 26,700 | ||||||||
500 | Phelps Dodge Corp. | 71,935 | ||||||||
179,335 | ||||||||||
Miscellaneous Manufacturing: 1.8% | ||||||||||
4,650 | 3M Co. | 360,375 | ||||||||
500 | @ | Cooper Industries Ltd. | 36,500 | |||||||
1,300 | Danaher Corp. | 72,514 | ||||||||
850 | Dover Corp. | 34,417 | ||||||||
750 | Eaton Corp. | 50,318 | ||||||||
47,450 | General Electric Co. | 1,663,113 | ||||||||
3,950 | Honeywell International, Inc. | 147,138 | ||||||||
950 | Illinois Tool Works, Inc. | 83,591 | ||||||||
1,500 | @@ | Ingersoll-Rand Co. | 60,555 | |||||||
400 | ITT Industries, Inc. | 41,128 | ||||||||
600 | Parker Hannifin Corp. | 39,576 | ||||||||
620 | Textron, Inc. | 47,728 | ||||||||
2,636,953 | ||||||||||
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Office/ Business Equipment: 0.1% | ||||||||||
1,000 | Pitney Bowes, Inc. | $ | 42,250 | |||||||
4,200 | @ | Xerox Corp. | 61,530 | |||||||
103,780 | ||||||||||
Oil & Gas: 3.3% | ||||||||||
320 | Amerada Hess Corp. | 40,582 | ||||||||
850 | Anadarko Petroleum Corp. | 80,538 | ||||||||
1,322 | Apache Corp. | 90,583 | ||||||||
2,750 | Burlington Resources, Inc. | 237,050 | ||||||||
9,262 | ChevronTexaco Corp. | 525,804 | ||||||||
7,700 | ConocoPhillips | 447,986 | ||||||||
3,050 | Devon Energy Corp. | 190,747 | ||||||||
1,300 | EOG Resources, Inc. | 95,381 | ||||||||
44,050 | Exxon Mobil Corp. | 2,474,279 | ||||||||
500 | Kerr-McGee Corp. | 45,430 | ||||||||
1,550 | Marathon Oil Corp. | 94,504 | ||||||||
700 | Murphy Oil Corp. | 37,793 | ||||||||
500 | @,@@ | Nabors Industries Ltd. | 37,875 | |||||||
100 | @ | Noble Corp. | 7,054 | |||||||
1,660 | Occidental Petroleum Corp. | 132,601 | ||||||||
300 | Rowan Cos., Inc. | 10,692 | ||||||||
1,000 | Sunoco, Inc. | 78,380 | ||||||||
1,200 | @ | Transocean, Inc. | 83,628 | |||||||
4,200 | Valero Energy Corp. | 216,720 | ||||||||
4,927,627 | ||||||||||
Oil & Gas Services: 0.3% | ||||||||||
300 | Baker Hughes, Inc. | 18,234 | ||||||||
2,050 | Halliburton Co. | 127,018 | ||||||||
2,300 | Schlumberger Ltd. | 223,445 | ||||||||
368,697 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
510 | Ball Corp. | 20,257 | ||||||||
350 | @ | Sealed Air Corp. | 19,660 | |||||||
39,917 | ||||||||||
Pharmaceuticals: 1.8% | ||||||||||
7,200 | Abbott Laboratories | 283,896 | ||||||||
650 | Allergan, Inc. | 70,174 | ||||||||
1,760 | AmerisourceBergen Corp. | 72,864 | ||||||||
1,800 | Bristol-Myers Squibb Co. | 41,364 | ||||||||
1,920 | Cardinal Health, Inc. | 132,000 | ||||||||
2,110 | @ | Caremark Rx, Inc. | 109,277 | |||||||
700 | @ | Express Scripts, Inc. | 58,660 | |||||||
1,450 | @ | Forest Laboratories, Inc. | 58,986 | |||||||
2,000 | @ | Gilead Sciences, Inc. | 105,260 | |||||||
1,300 | @ | Hospira, Inc. | 55,614 | |||||||
1,500 | @ | King Pharmaceuticals, Inc. | 25,380 | |||||||
1,446 | @ | Medco Health Solutions, Inc. | 80,687 | |||||||
13,250 | Merck & Co., Inc. | 421,483 | ||||||||
1,000 | Mylan Laboratories | 19,960 | ||||||||
33,440 | Pfizer, Inc. | 779,821 | ||||||||
6,800 | Schering-Plough Corp. | 141,780 | ||||||||
500 | @ | Watson Pharmaceuticals, Inc. | 16,255 | |||||||
6,000 | Wyeth | 276,420 | ||||||||
2,749,881 | ||||||||||
Pipelines: 0.1% | ||||||||||
500 | El Paso Corp. | 6,080 | ||||||||
400 | Kinder Morgan, Inc. | 36,780 | ||||||||
2,650 | Williams Cos., Inc. | 61,401 | ||||||||
104,261 | ||||||||||
Real Estate Investment Trust: 0.2% | ||||||||||
400 | Apartment Investment & Management Co. | 15,148 | ||||||||
1,000 | Archstone-Smith Trust | 41,890 | ||||||||
1,900 | Equity Office Properties Trust | 57,627 | ||||||||
200 | Prologis | 9,344 | ||||||||
400 | Public Storage, Inc. | 27,088 | ||||||||
950 | Simon Property Group LP | 72,799 | ||||||||
100 | Vornado Realty Trust | 8,347 | ||||||||
232,243 | ||||||||||
Retail: 2.1% | ||||||||||
800 | @ | Autonation, Inc. | 17,384 | |||||||
300 | @ | Autozone, Inc. | 27,525 | |||||||
1,550 | @ | Bed Bath & Beyond, Inc. | 56,033 | |||||||
2,485 | Best Buy Co., Inc. | 108,048 | ||||||||
750 | Circuit City Stores, Inc. | 16,943 | ||||||||
2,150 | Costco Wholesale Corp. | 106,361 | ||||||||
900 | Darden Restaurants, Inc. | 34,992 | ||||||||
1,300 | Dollar General Corp. | 24,791 | ||||||||
100 | Family Dollar Stores, Inc. | 2,479 | ||||||||
1,654 | Federated Department Stores | 109,710 | ||||||||
2,630 | Gap, Inc. | 46,393 | ||||||||
9,910 | Home Depot, Inc. | 401,157 | ||||||||
1,500 | JC Penney Co., Inc. | 83,400 | ||||||||
350 | @ | Kohl’s Corp. | 17,010 | |||||||
350 | Limited Brands | 7,823 | ||||||||
3,670 | Lowe’s Cos., Inc. | 244,642 | ||||||||
7,500 | McDonald’s Corp. | 252,900 | ||||||||
1,800 | Nordstrom, Inc. | 67,320 | ||||||||
1,390 | @ | Office Depot, Inc. | 43,646 | |||||||
480 | @ | Sears Holding Corp. | 55,454 | |||||||
4,545 | Staples, Inc. | 103,217 | ||||||||
3,800 | @ | Starbucks Corp. | 114,038 | |||||||
4,150 | Target Corp. | 228,126 | ||||||||
700 | Tiffany & Co. | 26,803 | ||||||||
2,450 | TJX Cos., Inc. | 56,914 | ||||||||
11,150 | Wal-Mart Stores, Inc. | 521,820 | ||||||||
4,610 | Walgreen Co. | 204,039 | ||||||||
500 | Wendy’s International, Inc. | 27,630 | ||||||||
1,750 | Yum! Brands, Inc. | 82,040 | ||||||||
3,088,638 | ||||||||||
Savings & Loans: 0.2% | ||||||||||
1,220 | Golden West Financial Corp. | 80,520 | ||||||||
4,491 | Washington Mutual, Inc. | 195,359 | ||||||||
275,879 | ||||||||||
Semiconductors: 1.4% | ||||||||||
1,700 | @ | Altera Corp. | 31,501 | |||||||
1,700 | Analog Devices, Inc. | 60,979 | ||||||||
7,000 | Applied Materials, Inc. | 125,580 | ||||||||
1,250 | @ | Broadcom Corp. | 58,938 | |||||||
1,886 | @ | Freescale Semiconductor, Inc. | 47,471 | |||||||
45,140 | Intel Corp. | 1,126,684 | ||||||||
800 | Kla-Tencor Corp. | 39,464 | ||||||||
1,300 | Linear Technology Corp. | 46,891 | ||||||||
1,600 | @ | LSI Logic Corp. | 12,800 | |||||||
1,350 | Maxim Integrated Products | 48,924 | ||||||||
2,800 | @ | Micron Technology, Inc. | 37,268 | |||||||
2,500 | National Semiconductor Corp. | 64,950 | ||||||||
650 | @ | Novellus Systems, Inc. | 15,678 | |||||||
750 | @ | Nvidia Corp. | 27,420 | |||||||
700 | @ | QLogic Corp. | 22,757 | |||||||
10,850 | Texas Instruments, Inc. | 347,960 | ||||||||
2,115,265 | ||||||||||
Software: 1.4% | ||||||||||
2,240 | Adobe Systems, Inc. | 82,790 | ||||||||
1,420 | Autodesk, Inc. | 60,989 | ||||||||
3,500 | Automatic Data Processing, Inc. | 160,615 | ||||||||
1,460 | @ | BMC Software, Inc. | 29,915 | |||||||
1,200 | @ | Citrix Systems, Inc. | 34,536 | |||||||
2,150 | Computer Associates International, Inc. | 60,609 | ||||||||
2,450 | @ | Compuware Corp. | 21,977 | |||||||
1,270 | @ | Electronic Arts, Inc. | 66,434 | |||||||
3,478 | First Data Corp. | 149,589 |
88
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Software: (continued) | ||||||||||
900 | @ | Fiserv, Inc. | $ | 38,943 | ||||||
1,000 | IMS Health, Inc. | 24,920 | ||||||||
1,300 | @ | Intuit, Inc. | 69,290 | |||||||
400 | @ | Mercury Interactive Corp. | 11,116 | |||||||
41,250 | Microsoft Corp. | 1,078,688 | ||||||||
1,350 | @ | Novell, Inc. | 11,921 | |||||||
17,240 | @ | Oracle Corp. | 210,500 | |||||||
2,270 | @ | Parametric Technology Corp. | 13,847 | |||||||
1,940 | Siebel Systems, Inc. | 20,525 | ||||||||
2,147,204 | ||||||||||
Telecommunications: 2.1% | ||||||||||
1,750 | Alltel Corp. | 110,425 | ||||||||
23,708 | AT&T, Inc. | 580,609 | ||||||||
350 | @ | Avaya, Inc. | 3,735 | |||||||
8,500 | BellSouth Corp. | 230,350 | ||||||||
800 | CenturyTel, Inc. | 26,528 | ||||||||
29,750 | @ | Cisco Systems, Inc. | 509,320 | |||||||
1,200 | @ | Comverse Technology, Inc. | 31,908 | |||||||
6,850 | @ | Corning, Inc. | 134,671 | |||||||
18,780 | Motorola, Inc. | 424,240 | ||||||||
7,600 | Qualcomm, Inc. | 327,408 | ||||||||
1,050 | Scientific-Atlanta, Inc. | 45,222 | ||||||||
13,651 | Sprint Corp. — FON Group | 318,887 | ||||||||
3,000 | @ | Tellabs, Inc. | 32,700 | |||||||
12,850 | Verizon Communications, Inc. | 387,042 | ||||||||
3,163,045 | ||||||||||
Textiles: 0.0% | ||||||||||
800 | Cintas Corp. | 32,944 | ||||||||
32,944 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
1,300 | Hasbro, Inc. | 26,234 | ||||||||
350 | Mattel, Inc. | 5,537 | ||||||||
31,771 | ||||||||||
Transportation: 0.6% | ||||||||||
1,700 | Burlington Northern Santa Fe Corp. | 120,394 | ||||||||
1,320 | CSX Corp. | 67,016 | ||||||||
1,450 | FedEx Corp. | 149,916 | ||||||||
2,450 | Norfolk Southern Corp. | 109,834 | ||||||||
200 | Union Pacific Corp. | 16,102 | ||||||||
5,150 | United Parcel Service, Inc. | 387,023 | ||||||||
850,285 | ||||||||||
Total Common Stock (Cost $48,002,126) | 52,660,888 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 55.9% | ||||||||||
Federal Home Loan Mortgage Corporation: 25.0% | ||||||||||
$ | 40,000,000 | 4.740%, due 09/14/07 | $ | 36,974,760 | ||||||
538,000 | 4.750%, due 09/15/07 | 497,605 | ||||||||
37,472,365 | ||||||||||
Federal National Mortgage Association: 30.9% | ||||||||||
50,233,000 | 4.710%, due 10/05/07 | 46,324,621 | ||||||||
46,324,621 | ||||||||||
Total U.S. Government Agency Obligations (Cost $85,174,532) | 83,796,986 | |||||||||
U.S. TREASURY OBLIGATIONS: 0.9% | ||||||||||
U.S. Treasury STRIP: 0.9% | ||||||||||
1,503,000 | 0.000%, due 08/15/07 | 1,400,712 | ||||||||
Total U.S. Treasury Obligations (Cost $1,415,309) | 1,400,712 | |||||||||
OTHER BONDS: 7.1% | ||||||||||
Sovereign: 7.1% | ||||||||||
10,163,000 | Israel Trust, 4.660%, due 11/15/07 | 9,336,576 | ||||||||
1,450,000 | Turkey Trust, 4.660%, due 11/15/07 | 1,332,090 | ||||||||
Total Other Bonds (Cost $10,970,865) | 10,668,666 | |||||||||
Total Long-Term Investments (Cost $145,562,832) | $ | 148,527,252 | ||||||||
SHORT-TERM INVESTMENTS: 1.0% | ||||||||||
Repurchase Agreement: 1.0% | ||||||||||
1,446,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $1,446,683 to be received upon repurchase (Collaterallized by $1,500,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $1,459,215, due 09/15/08) | 1,446,000 | ||||||||
Total Short-Term Investments (Cost $1,446,000) | 1,446,000 | |||||||||
Total Investments in Securities (Cost $147,008,832)* | 100.1 | % | $ | 149,973,252 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (94,013 | ) | ||||||||
Net Assets | 100.0 | % | $ | 149,879,239 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $147,605,368. | |||||
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 5,711,436 | ||||
Gross Unrealized Depreciation | (3,343,552 | ) | ||||
Net Unrealized Appreciation | $ | 2,367,884 | ||||
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COMMON STOCK: 32.4% | ||||||||||
Advertising: 0.1% | ||||||||||
1,500 | @ | Interpublic Group of Cos., Inc. | $ | 14,475 | ||||||
650 | Omnicom Group | 55,335 | ||||||||
69,810 | ||||||||||
Aerospace/ Defense: 0.8% | ||||||||||
3,950 | Boeing Co. | 277,448 | ||||||||
950 | General Dynamics Corp. | 108,348 | ||||||||
450 | Goodrich Corp. | 18,495 | ||||||||
350 | L-3 Communications Holdings, Inc. | 26,023 | ||||||||
2,290 | Lockheed Martin Corp. | 145,713 | ||||||||
1,309 | Northrop Grumman Corp. | 78,684 | ||||||||
2,204 | Raytheon Co. | 88,491 | ||||||||
1,040 | Rockwell Collins, Inc. | 48,329 | ||||||||
3,750 | United Technologies Corp. | 209,663 | ||||||||
1,001,194 | ||||||||||
Agriculture: 0.6% | ||||||||||
7,300 | Altria Group, Inc. | 545,456 | ||||||||
3,900 | Archer-Daniels-Midland Co. | 96,174 | ||||||||
1,010 | Monsanto Co. | 78,305 | ||||||||
440 | Reynolds America, Inc. | 41,945 | ||||||||
550 | UST, Inc. | 22,457 | ||||||||
784,337 | ||||||||||
Airlines: 0.0% | ||||||||||
2,500 | Southwest Airlines Co. | 41,075 | ||||||||
41,075 | ||||||||||
Apparel: 0.2% | ||||||||||
2,300 | @ | Coach, Inc. | 76,682 | |||||||
400 | Jones Apparel Group, Inc. | 12,288 | ||||||||
560 | Liz Claiborne, Inc. | 20,059 | ||||||||
900 | Nike, Inc. | 78,111 | ||||||||
300 | Reebok International Ltd. | 17,469 | ||||||||
600 | VF Corp. | 33,204 | ||||||||
237,813 | ||||||||||
Auto Manufacturers: 0.1% | ||||||||||
9,240 | Ford Motor Co. | 71,333 | ||||||||
300 | @ | Navistar International Corp. | 8,586 | |||||||
79,919 | ||||||||||
Auto Parts & Equipment: 0.1% | ||||||||||
1,170 | @ | Goodyear Tire & Rubber Co. | 20,335 | |||||||
800 | Johnson Controls, Inc. | 58,328 | ||||||||
78,663 | ||||||||||
Banks: 2.1% | ||||||||||
1,300 | AmSouth Bancorp | 34,073 | ||||||||
19,210 | Bank of America Corp. | 886,522 | ||||||||
2,950 | Bank of New York | 93,958 | ||||||||
2,611 | BB&T Corp. | 109,427 | ||||||||
600 | Comerica, Inc. | 34,056 | ||||||||
400 | Compass Bancshares, Inc. | 19,316 | ||||||||
200 | First Horizon National Corp. | 7,688 | ||||||||
750 | Huntington Bancshares, Inc. | 17,813 | ||||||||
1,500 | Keycorp | 49,395 | ||||||||
350 | M&T Bank Corp. | 38,168 | ||||||||
700 | Marshall & Ilsley Corp. | 30,128 | ||||||||
1,600 | Mellon Financial Corp. | 54,800 | ||||||||
1,990 | National City Corp. | 66,804 | ||||||||
700 | Northern Trust Corp. | 36,274 | ||||||||
1,400 | PNC Financial Services Group, Inc. | 86,562 | ||||||||
1,700 | Regions Financial Corp. | 58,072 | ||||||||
1,150 | State Street Corp. | 63,756 | ||||||||
1,300 | SunTrust Banks, Inc. | 94,588 | ||||||||
1,138 | Synovus Financial Corp. | 30,737 | ||||||||
6,850 | US BanCorp. | 204,747 | ||||||||
5,846 | Wachovia Corp. | 309,020 | ||||||||
6,100 | Wells Fargo & Co. | 383,263 | ||||||||
350 | Zions Bancorporation | 26,446 | ||||||||
2,735,613 | ||||||||||
Beverages: 1.0% | ||||||||||
2,750 | Anheuser-Busch Cos., Inc. | 118,140 | ||||||||
300 | Brown-Forman Corp. | 20,796 | ||||||||
12,800 | Coca-Cola Co. | 515,968 | ||||||||
1,200 | Coca-Cola Enterprises, Inc. | 23,004 | ||||||||
600 | @ | Constellation Brands, Inc. | 15,738 | |||||||
850 | Pepsi Bottling Group, Inc. | 24,319 | ||||||||
10,010 | PepsiCo, Inc. | 591,391 | ||||||||
1,309,356 | ||||||||||
Biotechnology: 0.4% | ||||||||||
4,550 | @ | Amgen, Inc. | 358,813 | |||||||
200 | @ | Biogen Idec, Inc. | 9,066 | |||||||
400 | @ | Chiron Corp. | 17,784 | |||||||
850 | @ | Genzyme Corp. | 60,163 | |||||||
250 | @ | Millipore Corp. | 16,510 | |||||||
462,336 | ||||||||||
Building Materials: 0.1% | ||||||||||
650 | American Standard Cos, Inc. | 25,968 | ||||||||
1,600 | Masco Corp. | 48,304 | ||||||||
350 | Vulcan Materials Co. | 23,713 | ||||||||
97,985 | ||||||||||
Chemicals: 0.5% | ||||||||||
800 | Air Products & Chemicals, Inc. | 47,352 | ||||||||
3,600 | Dow Chemical Co. | 157,752 | ||||||||
550 | Eastman Chemical Co. | 28,375 | ||||||||
850 | Ecolab, Inc. | 30,830 | ||||||||
3,450 | EI Du Pont de Nemours & Co. | 146,625 | ||||||||
500 | Engelhard Corp. | 15,075 | ||||||||
300 | International Flavors & Fragrances, Inc. | 10,050 | ||||||||
1,100 | PPG Industries, Inc. | 63,690 | ||||||||
1,350 | Praxair, Inc. | 71,496 | ||||||||
750 | Rohm & Haas Co. | 36,315 | ||||||||
500 | Sherwin-Williams Co. | 22,710 | ||||||||
300 | Sigma-Aldrich Corp. | 18,987 | ||||||||
649,257 | ||||||||||
Commercial Services: 0.3% | ||||||||||
3,650 | Cendant Corp. | 62,963 | ||||||||
850 | Equifax, Inc. | 32,317 | ||||||||
1,200 | H&R Block, Inc. | 29,460 | ||||||||
1,800 | McKesson Corp. | 92,862 | ||||||||
900 | Moody’s Corp. | 55,278 | ||||||||
1,350 | Paychex, Inc. | 51,462 | ||||||||
900 | Robert Half International, Inc. | 34,101 | ||||||||
1,000 | RR Donnelley & Sons Co. | 34,210 | ||||||||
392,653 | ||||||||||
Computers: 1.5% | ||||||||||
450 | @ | Affiliated Computer Services, Inc. | 26,631 | |||||||
5,090 | @ | Apple Computer, Inc. | 365,920 | |||||||
100 | @ | Computer Sciences Corp. | 5,064 | |||||||
14,380 | @ | Dell, Inc. | 431,256 | |||||||
350 | Electronic Data Systems Corp. | 8,414 | ||||||||
11,950 | EMC Corp. | 162,759 | ||||||||
12,950 | Hewlett-Packard Co. | 370,759 | ||||||||
5,700 | International Business Machines Corp. | 468,540 | ||||||||
430 | @ | Lexmark International, Inc. | 19,277 | |||||||
650 | @ | NCR Corp. | 22,061 | |||||||
1,200 | @ | Network Appliance, Inc. | 32,400 |
90
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Computers: (continued) | ||||||||||
2,440 | @ | Sun Microsystems, Inc. | $ | 10,224 | ||||||
1,200 | @ | Unisys Corp. | 6,996 | |||||||
�� | 1,930,301 | |||||||||
Cosmetics/ Personal Care: 0.7% | ||||||||||
50 | Alberto-Culver Co. | 2,288 | ||||||||
2,550 | Colgate-Palmolive Co. | 139,868 | ||||||||
12,161 | Procter & Gamble Co. | 703,879 | ||||||||
846,035 | ||||||||||
Distribution/ Wholesale: 0.1% | ||||||||||
850 | Genuine Parts Co. | 37,332 | ||||||||
250 | WW Grainger, Inc. | 17,775 | ||||||||
55,107 | ||||||||||
Diversified Financial Services: 2.6% | ||||||||||
4,700 | American Express Co. | 241,862 | ||||||||
940 | Ameriprise Financial, Inc. | 38,540 | ||||||||
390 | Bear Stearns Cos, Inc. | 45,057 | ||||||||
1,000 | Capital One Financial Corp. | 86,400 | ||||||||
3,700 | Charles Schwab Corp. | 54,279 | ||||||||
700 | CIT Group, Inc. | 36,246 | ||||||||
18,500 | Citigroup, Inc. | 897,805 | ||||||||
418 | Countrywide Financial Corp. | 14,291 | ||||||||
1,200 | @ | E*Trade Financial Corp. | 25,032 | |||||||
3,600 | Fannie Mae | 175,716 | ||||||||
350 | Federated Investors, Inc. | 12,964 | ||||||||
500 | Franklin Resources, Inc. | 47,005 | ||||||||
2,200 | Goldman Sachs Group, Inc. | 280,962 | ||||||||
12,400 | JPMorgan Chase & Co. | 492,156 | ||||||||
1,340 | Lehman Brothers Holdings, Inc. | 171,748 | ||||||||
4,700 | MBNA Corp. | 127,605 | ||||||||
4,400 | Merrill Lynch & Co., Inc. | 298,012 | ||||||||
3,800 | Morgan Stanley | 215,612 | ||||||||
1,500 | SLM Corp. | 82,635 | ||||||||
400 | T. Rowe Price Group, Inc. | 28,812 | ||||||||
3,372,739 | ||||||||||
Electric: 0.9% | ||||||||||
2,450 | @ | AES Corp. | 38,784 | |||||||
600 | @ | Allegheny Energy, Inc. | 18,990 | |||||||
150 | Ameren Corp. | 7,686 | ||||||||
1,350 | American Electric Power Co., Inc. | 50,072 | ||||||||
1,050 | CenterPoint Energy Resources Corp. | 13,493 | ||||||||
700 | Cinergy Corp. | 29,722 | ||||||||
1,400 | @ | CMS Energy Corp. | 20,314 | |||||||
1,050 | Consolidated Edison, Inc. | 48,647 | ||||||||
650 | Constellation Energy Group, Inc. | 37,440 | ||||||||
1,250 | Dominion Resources, Inc. | 96,500 | ||||||||
600 | DTE Energy Co. | 25,914 | ||||||||
3,400 | Duke Energy Corp. | 93,330 | ||||||||
1,640 | Edison International | 71,520 | ||||||||
1,200 | FirstEnergy Corp. | 58,788 | ||||||||
1,400 | FPL Group, Inc. | 58,184 | ||||||||
1,050 | NiSource, Inc. | 21,903 | ||||||||
1,450 | Pacific Gas & Electric Co. | 53,824 | ||||||||
400 | Pinnacle West Capital Corp. | 16,540 | ||||||||
1,300 | PPL Corp. | 38,220 | ||||||||
900 | Progress Energy, Inc. | 39,528 | ||||||||
800 | Public Service Enterprise Group, Inc. | 51,976 | ||||||||
2,700 | Southern Co. | 93,231 | ||||||||
1,350 | TECO Energy, Inc. | 23,193 | ||||||||
3,180 | TXU Corp. | 159,604 | ||||||||
1,500 | Xcel Energy, Inc. | 27,690 | ||||||||
1,195,093 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
600 | American Power Conversion | 13,200 | ||||||||
1,950 | Emerson Electric Co. | 145,665 | ||||||||
158,865 | ||||||||||
Electronics: 0.2% | ||||||||||
2,450 | @ | Agilent Technologies, Inc. | 81,561 | |||||||
1,000 | Applera Corp. — Applied Biosystems Group | 26,560 | ||||||||
600 | @ | Jabil Circuit, Inc. | 22,254 | |||||||
400 | PerkinElmer, Inc. | 9,424 | ||||||||
1,800 | @ | Sanmina-SCI Corp. | 7,668 | |||||||
6,490 | @ | Solectron Corp. | 23,753 | |||||||
650 | @ | Thermo Electron Corp. | 19,585 | |||||||
550 | @ | Waters Corp. | 20,790 | |||||||
211,595 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
100 | Fluor Corp. | 7,726 | ||||||||
7,726 | ||||||||||
Entertainment: 0.0% | ||||||||||
1,250 | International Game Technology | 38,475 | ||||||||
38,475 | ||||||||||
Environmental Control: 0.1% | ||||||||||
1,950 | Waste Management, Inc. | 59,183 | ||||||||
59,183 | ||||||||||
Food: 0.4% | ||||||||||
1,100 | Campbell Soup Co. | 32,747 | ||||||||
1,850 | ConAgra Foods, Inc. | 37,518 | ||||||||
1,750 | General Mills, Inc. | 86,310 | ||||||||
800 | Hershey Foods Corp. | 44,200 | ||||||||
1,600 | HJ Heinz Co. | 53,952 | ||||||||
950 | Kellogg Co. | 41,059 | ||||||||
2,450 | @ | Kroger Co. | 46,256 | |||||||
650 | McCormick & Co., Inc. | 20,098 | ||||||||
1,600 | Safeway, Inc. | 37,856 | ||||||||
2,756 | Sara Lee Corp. | 52,088 | ||||||||
750 | Supervalu, Inc. | 24,360 | ||||||||
900 | Tyson Foods, Inc. | 15,390 | ||||||||
750 | WM Wrigley Jr. Co. | 49,868 | ||||||||
541,702 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
550 | Louisiana-Pacific Corp. | 15,109 | ||||||||
700 | MeadWestvaco Corp. | 19,621 | ||||||||
650 | Plum Creek Timber Co., Inc. | 23,433 | ||||||||
500 | Temple-Inland, Inc. | 22,425 | ||||||||
900 | Weyerhaeuser Co. | 59,706 | ||||||||
140,294 | ||||||||||
Gas: 0.0% | ||||||||||
200 | Nicor, Inc. | 7,862 | ||||||||
1,000 | Sempra Energy | 44,840 | ||||||||
52,702 | ||||||||||
Hand/ Machine Tools: 0.0% | ||||||||||
290 | Black & Decker Corp. | 25,218 | ||||||||
200 | Snap-On, Inc. | 7,512 | ||||||||
400 | Stanley Works | 19,216 | ||||||||
51,946 | ||||||||||
Healthcare — Products: 1.0% | ||||||||||
300 | Bausch & Lomb, Inc. | 20,370 | ||||||||
2,100 | Baxter International, Inc. | 79,065 | ||||||||
950 | Becton Dickinson & Co. | 57,076 | ||||||||
2,150 | @ | Boston Scientific Corp. | 52,654 | |||||||
500 | CR Bard, Inc. | 32,960 | ||||||||
1,170 | Guidant Corp. | 75,758 |
91
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Healthcare — Products: (continued) | ||||||||||
10,750 | Johnson & Johnson | $ | 646,075 | |||||||
4,400 | Medtronic, Inc. | 253,308 | ||||||||
1,350 | @ | St. Jude Medical, Inc. | 67,770 | |||||||
1,000 | Stryker Corp. | 44,430 | ||||||||
1,329,466 | ||||||||||
Healthcare — Services: 0.8% | ||||||||||
1,710 | Aetna, Inc. | 161,270 | ||||||||
765 | @ | Coventry Health Care, Inc. | 43,574 | |||||||
1,080 | @ | Humana, Inc. | 58,676 | |||||||
100 | @ | Laboratory Corp. of America Holdings | 5,385 | |||||||
300 | Quest Diagnostics | 15,444 | ||||||||
6,050 | UnitedHealth Group, Inc. | 375,947 | ||||||||
3,800 | @ | WellPoint, Inc. | 303,202 | |||||||
963,498 | ||||||||||
Home Builders: 0.0% | ||||||||||
500 | Lennar Corp. | 30,510 | ||||||||
30,510 | ||||||||||
Household Products/ Wares: 0.1% | ||||||||||
590 | Clorox Co. | 33,565 | ||||||||
500 | Fortune Brands, Inc. | 39,010 | ||||||||
1,800 | Kimberly-Clark Corp. | 107,370 | ||||||||
179,945 | ||||||||||
Housewares: 0.0% | ||||||||||
1,000 | Newell Rubbermaid, Inc. | 23,780 | ||||||||
23,780 | ||||||||||
Insurance: 1.8% | ||||||||||
1,090 | @@ | ACE Ltd | 58,250 | |||||||
1,800 | Aflac, Inc. | 83,556 | ||||||||
2,350 | Allstate Corp. | 127,065 | ||||||||
450 | AMBAC Financial Group, Inc. | 34,677 | ||||||||
9,400 | American International Group, Inc. | 641,362 | ||||||||
1,150 | AON Corp. | 41,343 | ||||||||
1,120 | Chubb Corp. | 109,368 | ||||||||
420 | Cigna Corp. | 46,914 | ||||||||
566 | Cincinnati Financial Corp. | 25,289 | ||||||||
1,300 | Genworth Financial, Inc. | 44,954 | ||||||||
1,100 | Hartford Financial Services Group, Inc. | 94,479 | ||||||||
450 | Jefferson-Pilot Corp. | 25,619 | ||||||||
800 | Lincoln National Corp. | 42,424 | ||||||||
450 | Loews Corp. | 42,683 | ||||||||
1,412 | Marsh & McLennan Cos., Inc. | 44,845 | ||||||||
450 | MBIA, Inc. | 27,072 | ||||||||
3,900 | Metlife, Inc. | 191,100 | ||||||||
550 | MGIC Investment Corp. | 36,201 | ||||||||
1,350 | Principal Financial Group | 64,031 | ||||||||
720 | Progressive Corp. | 84,082 | ||||||||
3,070 | Prudential Financial, Inc. | 224,693 | ||||||||
430 | Safeco Corp. | 24,295 | ||||||||
2,390 | St. Paul Cos. | 106,761 | ||||||||
450 | Torchmark Corp. | 25,020 | ||||||||
1,100 | UnumProvident Corp. | 25,025 | ||||||||
130 | @@ | XL Capital Ltd | 8,759 | |||||||
2,279,867 | ||||||||||
Internet: 0.3% | ||||||||||
1,500 | @ | Amazon.com, Inc. | 70,725 | |||||||
4,050 | @ | eBay, Inc. | 175,163 | |||||||
450 | @ | Monster Worldwide, Inc. | 18,369 | |||||||
3,863 | @ | Symantec Corp. | 67,603 | |||||||
900 | @ | Yahoo!, Inc. | 35,262 | |||||||
367,122 | ||||||||||
Iron/ Steel: 0.1% | ||||||||||
950 | Nucor Corp. | 63,384 | ||||||||
750 | United States Steel Corp. | 36,053 | ||||||||
99,437 | ||||||||||
Leisure Time: 0.1% | ||||||||||
560 | Brunswick Corp. | 22,770 | ||||||||
1,600 | Carnival Corp. | 85,552 | ||||||||
1,050 | Harley-Davidson, Inc. | 54,065 | ||||||||
50 | Sabre Holdings Corp. | 1,206 | ||||||||
163,593 | ||||||||||
Lodging: 0.1% | ||||||||||
1,150 | Hilton Hotels Corp. | 27,727 | ||||||||
740 | Marriott International, Inc. | 49,558 | ||||||||
800 | Starwood Hotels & Resorts Worldwide, Inc. | 51,088 | ||||||||
128,373 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
200 | Cummins, Inc. | 17,946 | ||||||||
600 | Rockwell Automation, Inc. | 35,496 | ||||||||
53,442 | ||||||||||
Media: 0.9% | ||||||||||
2,000 | Clear Channel Communications, Inc. | 62,900 | ||||||||
8,100 | @ | Comcast Corp. | 210,276 | |||||||
150 | Gannett Co., Inc. | 9,086 | ||||||||
2,480 | McGraw-Hill Cos, Inc. | 128,042 | ||||||||
150 | Meredith Corp. | 7,851 | ||||||||
500 | New York Times Co. | 13,225 | ||||||||
8,800 | News Corp., Inc. | 136,840 | ||||||||
17,250 | Time Warner, Inc. | 300,840 | ||||||||
200 | Tribune Co. | 6,052 | ||||||||
800 | @ | Univision Communications, Inc. | 23,512 | |||||||
5,850 | Viacom, Inc. | 190,710 | ||||||||
1,400 | Walt Disney Co. | 33,558 | ||||||||
1,122,892 | ||||||||||
Mining: 0.1% | ||||||||||
1,190 | Freeport-McMoRan Copper & Gold, Inc. | 64,022 | ||||||||
400 | Newmont Mining Corp. | 21,360 | ||||||||
430 | Phelps Dodge Corp. | 61,864 | ||||||||
147,246 | ||||||||||
Miscellaneous Manufacturing: 1.6% | ||||||||||
3,650 | 3M Co. | 282,875 | ||||||||
350 | @ | Cooper Industries Ltd. | 25,550 | |||||||
1,000 | Danaher Corp. | 55,780 | ||||||||
650 | Dover Corp. | 26,319 | ||||||||
650 | Eaton Corp. | 43,609 | ||||||||
37,450 | General Electric Co. | 1,312,603 | ||||||||
3,150 | Honeywell International, Inc. | 117,338 | ||||||||
750 | Illinois Tool Works, Inc. | 65,993 | ||||||||
1,150 | @@ | Ingersoll-Rand Co. | 46,426 | |||||||
330 | ITT Industries, Inc. | 33,931 | ||||||||
400 | Parker Hannifin Corp. | 26,384 | ||||||||
500 | Textron, Inc. | 38,490 | ||||||||
2,075,298 | ||||||||||
Office/ Business Equipment: 0.1% | ||||||||||
800 | Pitney Bowes, Inc. | 33,800 | ||||||||
3,400 | @ | Xerox Corp. | 49,810 | |||||||
83,610 | ||||||||||
Oil & Gas: 3.0% | ||||||||||
200 | Amerada Hess Corp. | 25,364 | ||||||||
700 | Anadarko Petroleum Corp. | 66,325 | ||||||||
1,004 | Apache Corp. | 68,794 | ||||||||
2,000 | Burlington Resources, Inc. | 172,400 |
92
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Oil & Gas: (continued) | ||||||||||
7,327 | ChevronTexaco Corp. | $ | 415,954 | |||||||
6,000 | ConocoPhillips | 349,080 | ||||||||
2,350 | Devon Energy Corp. | 146,969 | ||||||||
1,000 | EOG Resources, Inc. | 73,370 | ||||||||
34,750 | Exxon Mobil Corp. | 1,951,909 | ||||||||
400 | Kerr-McGee Corp. | 36,344 | ||||||||
1,150 | Marathon Oil Corp. | 70,116 | ||||||||
500 | Murphy Oil Corp. | 26,995 | ||||||||
400 | @,@@ | Nabors Industries Ltd. | 30,300 | |||||||
100 | @ | Noble Corp. | 7,054 | |||||||
1,250 | Occidental Petroleum Corp. | 99,850 | ||||||||
300 | Rowan Cos., Inc. | 10,692 | ||||||||
800 | Sunoco, Inc. | 62,704 | ||||||||
1,000 | @ | Transocean, Inc. | 69,690 | |||||||
3,300 | Valero Energy Corp. | 170,280 | ||||||||
3,854,190 | ||||||||||
Oil & Gas Services: 0.2% | ||||||||||
200 | Baker Hughes, Inc. | 12,156 | ||||||||
1,600 | Halliburton Co. | 99,136 | ||||||||
1,850 | Schlumberger Ltd. | 179,728 | ||||||||
291,020 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
600 | Ball Corp. | 23,832 | ||||||||
300 | @ | Sealed Air Corp. | 16,851 | |||||||
40,683 | ||||||||||
Pharmaceuticals: 1.7% | ||||||||||
5,700 | Abbott Laboratories | 224,751 | ||||||||
550 | Allergan, Inc. | 59,378 | ||||||||
1,380 | AmerisourceBergen Corp. | 57,132 | ||||||||
1,400 | Bristol-Myers Squibb Co. | 32,172 | ||||||||
1,540 | Cardinal Health, Inc. | 105,875 | ||||||||
1,680 | @ | Caremark Rx, Inc. | 87,007 | |||||||
500 | @ | Express Scripts, Inc. | 41,900 | |||||||
1,100 | @ | Forest Laboratories, Inc. | 44,748 | |||||||
1,650 | @ | Gilead Sciences, Inc. | 86,840 | |||||||
1,030 | @ | Hospira, Inc. | 44,063 | |||||||
1,590 | @ | King Pharmaceuticals, Inc. | 26,903 | |||||||
991 | @ | Medco Health Solutions, Inc. | 55,298 | |||||||
10,500 | Merck & Co., Inc. | 334,005 | ||||||||
800 | Mylan Laboratories | 15,968 | ||||||||
26,470 | Pfizer, Inc. | 617,281 | ||||||||
5,400 | Schering-Plough Corp. | 112,590 | ||||||||
400 | @ | Watson Pharmaceuticals, Inc. | 13,004 | |||||||
4,900 | Wyeth | 225,743 | ||||||||
2,184,658 | ||||||||||
Pipelines: 0.1% | ||||||||||
400 | El Paso Corp. | 4,864 | ||||||||
250 | Kinder Morgan, Inc. | 22,988 | ||||||||
1,800 | Williams Cos., Inc. | 41,706 | ||||||||
69,558 | ||||||||||
Real Estate Investment Trust: 0.2% | ||||||||||
350 | Apartment Investment & Management Co. | 13,255 | ||||||||
750 | Archstone-Smith Trust | 31,418 | ||||||||
1,500 | Equity Office Properties Trust | 45,495 | ||||||||
150 | Prologis | 7,008 | ||||||||
300 | Public Storage, Inc. | 20,316 | ||||||||
750 | Simon Property Group LP | 57,473 | ||||||||
100 | Vornado Realty Trust | 8,347 | ||||||||
183,312 | ||||||||||
Retail: 1.9% | ||||||||||
700 | @ | Autonation, Inc. | 15,211 | |||||||
200 | @ | Autozone, Inc. | 18,350 | |||||||
950 | @ | Bed Bath & Beyond, Inc. | 34,343 | |||||||
1,985 | Best Buy Co., Inc. | 86,308 | ||||||||
1,050 | Circuit City Stores, Inc. | 23,720 | ||||||||
1,700 | Costco Wholesale Corp. | 84,099 | ||||||||
850 | Darden Restaurants, Inc. | 33,048 | ||||||||
1,000 | Dollar General Corp. | 19,070 | ||||||||
300 | Family Dollar Stores, Inc. | 7,437 | ||||||||
1,311 | Federated Department Stores | 86,959 | ||||||||
2,790 | Gap, Inc. | 49,216 | ||||||||
7,850 | Home Depot, Inc. | 317,768 | ||||||||
1,200 | JC Penney Co., Inc. | 66,720 | ||||||||
200 | @ | Kohl’s Corp. | 9,720 | |||||||
250 | Limited Brands | 5,588 | ||||||||
2,840 | Lowe’s Cos., Inc. | 189,314 | ||||||||
6,000 | McDonald’s Corp. | 202,320 | ||||||||
1,400 | Nordstrom, Inc. | 52,360 | ||||||||
1,100 | @ | Office Depot, Inc. | 34,540 | |||||||
320 | @ | Sears Holding Corp. | 36,970 | |||||||
3,565 | Staples, Inc. | 80,961 | ||||||||
3,100 | @ | Starbucks Corp. | 93,031 | |||||||
3,300 | Target Corp. | 181,401 | ||||||||
250 | Tiffany & Co. | 9,573 | ||||||||
1,450 | TJX Cos., Inc. | 33,684 | ||||||||
8,800 | Wal-Mart Stores, Inc. | 411,841 | ||||||||
3,640 | Walgreen Co. | 161,106 | ||||||||
400 | Wendy’s International, Inc. | 22,104 | ||||||||
1,350 | Yum! Brands, Inc. | 63,288 | ||||||||
2,430,050 | ||||||||||
Savings & Loans: 0.2% | ||||||||||
1,120 | Golden West Financial Corp. | 73,920 | ||||||||
3,580 | Washington Mutual, Inc. | 155,730 | ||||||||
229,650 | ||||||||||
Semiconductors: 1.3% | ||||||||||
1,000 | @ | Altera Corp. | 18,530 | |||||||
1,150 | Analog Devices, Inc. | 41,251 | ||||||||
5,950 | Applied Materials, Inc. | 106,743 | ||||||||
1,000 | @ | Broadcom Corp. | 47,150 | |||||||
1,484 | @ | Freescale Semiconductor, Inc. | 37,352 | |||||||
36,470 | Intel Corp. | 910,291 | ||||||||
650 | Kla-Tencor Corp. | 32,065 | ||||||||
1,050 | Linear Technology Corp. | 37,874 | ||||||||
1,300 | @ | LSI Logic Corp. | 10,400 | |||||||
1,100 | Maxim Integrated Products | 39,864 | ||||||||
2,200 | @ | Micron Technology, Inc. | 29,282 | |||||||
2,000 | National Semiconductor Corp. | 51,960 | ||||||||
500 | @ | Novellus Systems, Inc. | 12,060 | |||||||
600 | @ | Nvidia Corp. | 21,936 | |||||||
300 | @ | QLogic Corp. | 9,753 | |||||||
9,150 | Texas Instruments, Inc. | 293,441 | ||||||||
1,699,952 | ||||||||||
Software: 1.3% | ||||||||||
1,780 | Adobe Systems, Inc. | 65,789 | ||||||||
1,100 | Autodesk, Inc. | 47,245 | ||||||||
2,750 | Automatic Data Processing, Inc. | 126,198 | ||||||||
1,450 | @ | BMC Software, Inc. | 29,711 | |||||||
950 | @ | Citrix Systems, Inc. | 27,341 | |||||||
1,700 | Computer Associates International, Inc. | 47,923 | ||||||||
2,590 | @ | Compuware Corp. | 23,232 | |||||||
1,050 | @ | Electronic Arts, Inc. | 54,926 | |||||||
2,760 | First Data Corp. | 118,708 | ||||||||
600 | @ | Fiserv, Inc. | 25,962 | |||||||
1,050 | IMS Health, Inc. | 26,166 | ||||||||
1,000 | @ | Intuit, Inc. | 53,300 | |||||||
350 | @ | Mercury Interactive Corp. | 9,727 | |||||||
33,050 | Microsoft Corp. | 864,258 | ||||||||
1,100 | @ | Novell, Inc. | 9,713 | |||||||
13,640 | @ | Oracle Corp. | 166,544 | |||||||
1,800 | @ | Parametric Technology Corp. | 10,980 | |||||||
1,620 | Siebel Systems, Inc. | 17,140 | ||||||||
1,724,863 | ||||||||||
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Telecommunications: 2.0% | ||||||||||
1,350 | Alltel Corp. | $ | 85,185 | |||||||
18,747 | AT&T, Inc. | 459,115 | ||||||||
1,250 | @ | Avaya, Inc. | 13,338 | |||||||
6,700 | BellSouth Corp. | 181,570 | ||||||||
800 | CenturyTel, Inc. | 26,528 | ||||||||
23,500 | @ | Cisco Systems, Inc. | 402,320 | |||||||
600 | @ | Comverse Technology, Inc. | 15,954 | |||||||
5,400 | @ | Corning, Inc. | 106,164 | |||||||
14,820 | Motorola, Inc. | 334,784 | ||||||||
5,950 | Qualcomm, Inc. | 256,326 | ||||||||
850 | Scientific-Atlanta, Inc. | 36,610 | ||||||||
10,767 | Sprint Corp. — FON Group | 251,517 | ||||||||
1,900 | @ | Tellabs, Inc. | 20,710 | |||||||
10,150 | Verizon Communications, Inc. | 305,718 | ||||||||
2,495,839 | ||||||||||
Textiles: 0.0% | ||||||||||
500 | Cintas Corp. | 20,590 | ||||||||
20,590 | ||||||||||
Toys/ Games/ Hobbies: 0.0% | ||||||||||
800 | Hasbro, Inc. | 16,144 | ||||||||
250 | Mattel, Inc. | 3,955 | ||||||||
20,099 | ||||||||||
Transportation: 0.5% | ||||||||||
1,400 | Burlington Northern Santa Fe Corp. | 99,148 | ||||||||
1,020 | CSX Corp. | 51,785 | ||||||||
1,150 | FedEx Corp. | 118,899 | ||||||||
2,000 | Norfolk Southern Corp. | 89,660 | ||||||||
200 | Union Pacific Corp. | 16,102 | ||||||||
4,050 | United Parcel Service, Inc. | 304,358 | ||||||||
679,952 | ||||||||||
Total Common Stock (Cost $38,535,809) | 41,574,269 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 40.7% | ||||||||||
Federal Home Loan Mortgage Corporation: 19.4% | ||||||||||
$ | 27,363,000 | @ | 4.750%, due 01/15/08 | $ | 24,914,422 | |||||
24,914,422 | ||||||||||
Federal National Mortgage Association: 21.3% | ||||||||||
30,226,000 | 4.770%, due 02/15/08 | 27,410,509 | ||||||||
27,410,509 | ||||||||||
Total U.S. Government Agency Obligations (Cost $53,558,107) | 52,324,931 | |||||||||
U.S. TREASURY OBLIGATIONS: 6.3% | ||||||||||
U.S. Treasury STRIP: 6.3% | ||||||||||
8,759,000 | 4.440%, due 11/15/07 | 8,074,554 | ||||||||
Total U.S. Treasury Obligations (Cost $8,070,229) | 8,074,554 | |||||||||
OTHER BONDS: 20.0% | ||||||||||
Sovereign: 20.0% | ||||||||||
28,037,000 | Turkey Trust, 4.660%, due 11/15/07 | 25,757,115 | ||||||||
Total Other Bonds (Cost $26,356,673) | 25,757,115 | |||||||||
Total Long-Term Investments (Cost $126,520,818) | $ | 127,730,869 | ||||||||
SHORT-TERM INVESTMENTS: 0.7% | ||||||||||
Repurchase Agreement: 0.7% | ||||||||||
876,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $876,414 to be received upon repurchase (Collateralized by $909,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $893,895, due 09/15/08) | 876,000 | ||||||||
Total Short-Term Investments (Cost $876,000) | 876,000 | |||||||||
Total Investments in Securities (Cost $127,396,818)* | 100.1 | % | $ | 128,606,869 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (113,322 | ) | ||||||||
Net Assets | 100.0 | % | $ | 128,493,547 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $128,131,192. | |||||
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 3,621,812 | ||||
Gross Unrealized Depreciation | (3,146,135 | ) | ||||
Net Unrealized Appreciation | $ | 475,677 | ||||
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COMMON STOCK: 36.3% | ||||||||||
Advertising: 0.1% | ||||||||||
1,800 | @ | Interpublic Group of Cos., Inc. | $ | 17,370 | ||||||
850 | Omnicom Group | 72,361 | ||||||||
89,731 | ||||||||||
Aerospace/Defense: 0.9% | ||||||||||
4,800 | Boeing Co. | 337,152 | ||||||||
1,250 | General Dynamics Corp. | 142,563 | ||||||||
450 | Goodrich Corp. | 18,495 | ||||||||
450 | L-3 Communications Holdings, Inc. | 33,458 | ||||||||
2,810 | Lockheed Martin Corp. | 178,800 | ||||||||
1,669 | Northrop Grumman Corp. | 100,324 | ||||||||
2,674 | Raytheon Co. | 107,361 | ||||||||
1,300 | Rockwell Collins, Inc. | 60,411 | ||||||||
4,600 | United Technologies Corp. | 257,186 | ||||||||
1,235,750 | ||||||||||
Agriculture: 0.7% | ||||||||||
9,100 | Altria Group, Inc. | 679,952 | ||||||||
5,140 | Archer-Daniels-Midland Co. | 126,752 | ||||||||
1,270 | Monsanto Co. | 98,463 | ||||||||
500 | Reynolds America, Inc. | 47,665 | ||||||||
750 | UST, Inc. | 30,623 | ||||||||
983,455 | ||||||||||
Airlines: 0.0% | ||||||||||
3,000 | Southwest Airlines Co. | 49,290 | ||||||||
49,290 | ||||||||||
Apparel: 0.2% | ||||||||||
3,130 | @ | Coach, Inc. | 104,354 | |||||||
550 | Jones Apparel Group, Inc. | 16,896 | ||||||||
550 | Liz Claiborne, Inc. | 19,701 | ||||||||
1,180 | Nike, Inc. | 102,412 | ||||||||
300 | Reebok International Ltd. | 17,469 | ||||||||
700 | VF Corp. | 38,738 | ||||||||
299,570 | ||||||||||
Auto Manufacturers: 0.1% | ||||||||||
13,720 | Ford Motor Co. | 105,918 | ||||||||
300 | @ | Navistar International Corp. | 8,586 | |||||||
114,504 | ||||||||||
Auto Parts & Equipment: 0.1% | ||||||||||
1,440 | @ | Goodyear Tire & Rubber Co. | 25,027 | |||||||
1,050 | Johnson Controls, Inc. | 76,556 | ||||||||
101,583 | ||||||||||
Banks: 2.4% | ||||||||||
1,500 | AmSouth Bancorp | 39,315 | ||||||||
23,696 | Bank of America Corp. | 1,093,570 | ||||||||
3,600 | Bank of New York | 114,660 | ||||||||
3,244 | BB&T Corp. | 135,956 | ||||||||
800 | Comerica, Inc. | 45,408 | ||||||||
550 | Compass Bancshares, Inc. | 26,560 | ||||||||
250 | First Horizon National Corp. | 9,610 | ||||||||
1,000 | Huntington Bancshares, Inc. | 23,750 | ||||||||
1,800 | Keycorp | 59,274 | ||||||||
500 | M&T Bank Corp. | 54,525 | ||||||||
1,100 | Marshall & Ilsley Corp. | 47,344 | ||||||||
1,950 | Mellon Financial Corp. | 66,788 | ||||||||
2,520 | National City Corp. | 84,596 | ||||||||
850 | Northern Trust Corp. | 44,047 | ||||||||
1,400 | PNC Financial Services Group, Inc. | 86,562 | ||||||||
2,000 | Regions Financial Corp. | 68,320 | ||||||||
1,400 | State Street Corp. | 77,616 | ||||||||
1,650 | SunTrust Banks, Inc. | 120,054 | ||||||||
1,463 | Synovus Financial Corp. | 39,516 | ||||||||
8,450 | US BanCorp. | 252,571 | ||||||||
7,157 | Wachovia Corp. | 378,319 | ||||||||
7,500 | Wells Fargo & Co. | 471,225 | ||||||||
500 | Zions Bancorporation | 37,780 | ||||||||
3,377,366 | ||||||||||
Beverages: 1.1% | ||||||||||
3,450 | Anheuser-Busch Cos., Inc. | 148,212 | ||||||||
400 | Brown-Forman Corp. | 27,728 | ||||||||
15,750 | Coca-Cola Co. | 634,883 | ||||||||
1,450 | Coca-Cola Enterprises, Inc. | 27,797 | ||||||||
800 | @ | Constellation Brands, Inc. | 20,984 | |||||||
850 | Pepsi Bottling Group, Inc. | 24,319 | ||||||||
12,540 | PepsiCo, Inc. | 740,863 | ||||||||
1,624,786 | ||||||||||
Biotechnology: 0.4% | ||||||||||
5,600 | @ | Amgen, Inc. | 441,616 | |||||||
300 | @ | Biogen Idec, Inc. | 13,599 | |||||||
500 | @ | Chiron Corp. | 22,230 | |||||||
1,050 | @ | Genzyme Corp. | 74,319 | |||||||
200 | @ | Millipore Corp. | 13,208 | |||||||
564,972 | ||||||||||
Building Materials: 0.1% | ||||||||||
800 | American Standard Cos, Inc. | 31,960 | ||||||||
1,950 | Masco Corp. | 58,871 | ||||||||
500 | Vulcan Materials Co. | 33,875 | ||||||||
124,706 | ||||||||||
Chemicals: 0.6% | ||||||||||
1,100 | Air Products & Chemicals, Inc. | 65,109 | ||||||||
4,400 | Dow Chemical Co. | 192,808 | ||||||||
550 | Eastman Chemical Co. | 28,375 | ||||||||
1,000 | Ecolab, Inc. | 36,270 | ||||||||
4,250 | EI Du Pont de Nemours & Co. | 180,625 | ||||||||
500 | Engelhard Corp. | 15,075 | ||||||||
600 | International Flavors & Fragrances, Inc. | 20,100 | ||||||||
1,410 | PPG Industries, Inc. | 81,639 | ||||||||
1,450 | Praxair, Inc. | 76,792 | ||||||||
900 | Rohm & Haas Co. | 43,578 | ||||||||
650 | Sherwin-Williams Co. | 29,523 | ||||||||
400 | Sigma-Aldrich Corp. | 25,316 | ||||||||
795,210 | ||||||||||
Commercial Services: 0.3% | ||||||||||
1 | @ | CCE Spinco, Inc. | 7 | |||||||
4,600 | Cendant Corp. | 79,350 | ||||||||
1,000 | Equifax, Inc. | 38,020 | ||||||||
1,500 | H&R Block, Inc. | 36,825 | ||||||||
2,420 | McKesson Corp. | 124,848 | ||||||||
1,100 | Moody’s Corp. | 67,562 | ||||||||
1,600 | Paychex, Inc. | 60,992 | ||||||||
900 | Robert Half International, Inc. | 34,101 | ||||||||
900 | RR Donnelley & Sons Co. | 30,789 | ||||||||
472,494 | ||||||||||
Computers: 1.7% | ||||||||||
600 | @ | Affiliated Computer Services, Inc. | 35,508 | |||||||
6,380 | @ | Apple Computer, Inc. | 458,651 | |||||||
150 | @ | Computer Sciences Corp. | 7,596 | |||||||
18,420 | @ | Dell, Inc. | 552,416 | |||||||
450 | Electronic Data Systems Corp. | 10,818 | ||||||||
14,800 | EMC Corp. | 201,576 | ||||||||
13,300 | Hewlett-Packard Co. | 380,779 | ||||||||
7,200 | International Business Machines Corp. | 591,840 | ||||||||
550 | @ | Lexmark International, Inc. | 24,657 | |||||||
900 | @ | NCR Corp. | 30,546 | |||||||
1,500 | @ | Network Appliance, Inc. | 40,500 |
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Computers (continued) | ||||||||||
2,930 | @ | Sun Microsystems, Inc. | $ | 12,277 | ||||||
1,900 | @ | Unisys Corp. | 11,077 | |||||||
2,358,241 | ||||||||||
Cosmetics/Personal Care: 0.8% | ||||||||||
450 | Alberto-Culver Co. | 20,588 | ||||||||
3,150 | Colgate-Palmolive Co. | 172,778 | ||||||||
15,295 | Procter & Gamble Co. | 885,275 | ||||||||
1,078,641 | ||||||||||
Distribution/Wholesale: 0.1% | ||||||||||
1,072 | Genuine Parts Co. | 47,082 | ||||||||
350 | WW Grainger, Inc. | 24,885 | ||||||||
71,967 | ||||||||||
Diversified Financial Services: 2.9% | ||||||||||
5,750 | American Express Co. | 295,895 | ||||||||
1,150 | Ameriprise Financial, Inc. | 47,150 | ||||||||
450 | Bear Stearns Cos, Inc. | 51,989 | ||||||||
1,250 | Capital One Financial Corp. | 108,000 | ||||||||
4,650 | Charles Schwab Corp. | 68,216 | ||||||||
900 | CIT Group, Inc. | 46,602 | ||||||||
22,500 | Citigroup, Inc. | 1,091,925 | ||||||||
480 | Countrywide Financial Corp. | 16,411 | ||||||||
1,500 | @ | E*Trade Financial Corp. | 31,290 | |||||||
4,500 | Fannie Mae | 219,645 | ||||||||
200 | Federated Investors, Inc. | 7,408 | ||||||||
650 | Franklin Resources, Inc. | 61,107 | ||||||||
2,750 | Goldman Sachs Group, Inc. | 351,203 | ||||||||
15,300 | JPMorgan Chase & Co. | 607,257 | ||||||||
1,660 | Lehman Brothers Holdings, Inc. | 212,762 | ||||||||
5,800 | MBNA Corp. | 157,470 | ||||||||
5,450 | Merrill Lynch & Co., Inc. | 369,129 | ||||||||
4,750 | Morgan Stanley | 269,515 | ||||||||
1,950 | SLM Corp. | 107,426 | ||||||||
550 | T. Rowe Price Group, Inc. | 39,617 | ||||||||
4,160,017 | ||||||||||
Electric: 1.1% | ||||||||||
3,050 | @ | AES Corp. | 48,282 | |||||||
650 | @ | Allegheny Energy, Inc. | 20,573 | |||||||
150 | Ameren Corp. | 7,686 | ||||||||
1,800 | American Electric Power Co., Inc. | 66,762 | ||||||||
1,400 | CenterPoint Energy Resources Corp. | 17,990 | ||||||||
900 | Cinergy Corp. | 38,214 | ||||||||
1,750 | @ | CMS Energy Corp. | 25,393 | |||||||
1,200 | Consolidated Edison, Inc. | 55,596 | ||||||||
850 | Constellation Energy Group, Inc. | 48,960 | ||||||||
1,500 | Dominion Resources, Inc. | 115,800 | ||||||||
800 | DTE Energy Co. | 34,552 | ||||||||
4,250 | Duke Energy Corp. | 116,663 | ||||||||
2,020 | Edison International | 88,092 | ||||||||
1,650 | FirstEnergy Corp. | 80,834 | ||||||||
1,800 | FPL Group, Inc. | 74,808 | ||||||||
1,250 | NiSource, Inc. | 26,075 | ||||||||
1,700 | Pacific Gas & Electric Co. | 63,104 | ||||||||
500 | Pinnacle West Capital Corp. | 20,675 | ||||||||
2,100 | PPL Corp. | 61,740 | ||||||||
1,100 | Progress Energy, Inc. | 48,312 | ||||||||
1,200 | Public Service Enterprise Group, Inc. | 77,964 | ||||||||
3,300 | Southern Co. | 113,949 | ||||||||
1,100 | TECO Energy, Inc. | 18,898 | ||||||||
3,800 | TXU Corp. | 190,722 | ||||||||
1,800 | Xcel Energy, Inc. | 33,228 | ||||||||
1,494,872 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
800 | American Power Conversion | 17,600 | ||||||||
2,400 | Emerson Electric Co. | 179,280 | ||||||||
196,880 | ||||||||||
Electronics: 0.2% | ||||||||||
3,000 | @ | Agilent Technologies, Inc. | 99,870 | |||||||
1,200 | Applera Corp. — Applied Biosystems Group | 31,872 | ||||||||
1,050 | @ | Jabil Circuit, Inc. | 38,945 | |||||||
550 | PerkinElmer, Inc. | 12,958 | ||||||||
2,200 | @ | Sanmina-SCI Corp. | 9,372 | |||||||
8,000 | @ | Solectron Corp. | 29,280 | |||||||
700 | @ | Thermo Electron Corp. | 21,091 | |||||||
550 | @ | Waters Corp. | 20,790 | |||||||
264,178 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
400 | Fluor Corp. | 30,904 | ||||||||
30,904 | ||||||||||
Entertainment: 0.0% | ||||||||||
1,500 | International Game Technology | 46,170 | ||||||||
46,170 | ||||||||||
Environmental Control: 0.1% | ||||||||||
2,350 | Waste Management, Inc. | 71,323 | ||||||||
71,323 | ||||||||||
Food: 0.5% | ||||||||||
1,350 | Campbell Soup Co. | 40,190 | ||||||||
2,300 | ConAgra Foods, Inc. | 46,644 | ||||||||
2,150 | General Mills, Inc. | 106,038 | ||||||||
900 | Hershey Foods Corp. | 49,725 | ||||||||
1,500 | HJ Heinz Co. | 50,580 | ||||||||
1,150 | Kellogg Co. | 49,703 | ||||||||
3,000 | @ | Kroger Co. | 56,640 | |||||||
950 | McCormick & Co., Inc. | 29,374 | ||||||||
2,300 | Safeway, Inc. | 54,418 | ||||||||
3,394 | Sara Lee Corp. | 64,147 | ||||||||
1,070 | Supervalu, Inc. | 34,754 | ||||||||
1,100 | Tyson Foods, Inc. | 18,810 | ||||||||
900 | WM Wrigley Jr. Co. | 59,841 | ||||||||
660,864 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
700 | Louisiana-Pacific Corp. | 19,229 | ||||||||
900 | MeadWestvaco Corp. | 25,227 | ||||||||
850 | Plum Creek Timber Co., Inc. | 30,643 | ||||||||
700 | Temple-Inland, Inc. | 31,395 | ||||||||
1,100 | Weyerhaeuser Co. | 72,974 | ||||||||
179,468 | ||||||||||
Gas: 0.0% | ||||||||||
1,250 | Sempra Energy | 56,050 | ||||||||
56,050 | ||||||||||
Hand/Machine Tools: 0.0% | ||||||||||
350 | Black & Decker Corp. | 30,436 | ||||||||
200 | Snap-On, Inc. | 7,512 | ||||||||
400 | Stanley Works | 19,216 | ||||||||
57,164 | ||||||||||
Healthcare — Products: 1.1% | ||||||||||
200 | Bausch & Lomb, Inc. | 13,580 | ||||||||
2,600 | Baxter International, Inc. | 97,890 | ||||||||
1,180 | Becton Dickinson & Co. | 70,894 | ||||||||
2,600 | @ | Boston Scientific Corp. | 63,674 | |||||||
450 | CR Bard, Inc. | 29,664 | ||||||||
1,470 | Guidant Corp. | 95,183 | ||||||||
13,200 | Johnson & Johnson | 793,320 |
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Healthcare — Products (continued) | ||||||||||
5,500 | Medtronic, Inc. | $ | 316,635 | |||||||
1,550 | @ | St. Jude Medical, Inc. | 77,810 | |||||||
1,300 | Stryker Corp. | 57,759 | ||||||||
1,616,409 | ||||||||||
Healthcare — Services: 0.9% | ||||||||||
2,160 | Aetna, Inc. | 203,710 | ||||||||
1,320 | @ | Coventry Health Care, Inc. | 75,187 | |||||||
1,300 | @ | Humana, Inc. | 70,629 | |||||||
100 | @ | Laboratory Corp. of America Holdings | 5,385 | |||||||
400 | Manor Care, Inc. | 15,908 | ||||||||
100 | Quest Diagnostics | 5,148 | ||||||||
7,480 | UnitedHealth Group, Inc. | 464,807 | ||||||||
4,740 | @ | WellPoint, Inc. | 378,205 | |||||||
1,218,979 | ||||||||||
Home Builders: 0.0% | ||||||||||
600 | Lennar Corp. | 36,612 | ||||||||
36,612 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
300 | Whirlpool Corp. | 25,128 | ||||||||
25,128 | ||||||||||
Household Products/Wares: 0.2% | ||||||||||
700 | Clorox Co. | 39,823 | ||||||||
650 | Fortune Brands, Inc. | 50,713 | ||||||||
2,250 | Kimberly-Clark Corp. | 134,213 | ||||||||
224,749 | ||||||||||
Housewares: 0.0% | ||||||||||
1,400 | Newell Rubbermaid, Inc. | 33,292 | ||||||||
33,292 | ||||||||||
Insurance: 2.0% | ||||||||||
1,350 | @@ | ACE Ltd | 72,144 | |||||||
2,100 | Aflac, Inc. | 97,482 | ||||||||
2,960 | Allstate Corp. | 160,047 | ||||||||
500 | AMBAC Financial Group, Inc. | 38,530 | ||||||||
11,600 | American International Group, Inc. | 791,468 | ||||||||
1,650 | AON Corp. | 59,318 | ||||||||
1,520 | Chubb Corp. | 148,428 | ||||||||
610 | Cigna Corp. | 68,137 | ||||||||
642 | Cincinnati Financial Corp. | 28,685 | ||||||||
1,600 | Genworth Financial, Inc. | 55,328 | ||||||||
1,350 | Hartford Financial Services Group, Inc. | 115,952 | ||||||||
600 | Jefferson-Pilot Corp. | 34,158 | ||||||||
1,050 | Lincoln National Corp. | 55,682 | ||||||||
840 | Loews Corp. | 79,674 | ||||||||
1,710 | Marsh & McLennan Cos., Inc. | 54,310 | ||||||||
750 | MBIA, Inc. | 45,120 | ||||||||
4,740 | Metlife, Inc. | 232,260 | ||||||||
400 | MGIC Investment Corp. | 26,328 | ||||||||
1,650 | Principal Financial Group | 78,260 | ||||||||
920 | Progressive Corp. | 107,438 | ||||||||
3,100 | Prudential Financial, Inc. | 226,889 | ||||||||
540 | Safeco Corp. | 30,510 | ||||||||
3,030 | St. Paul Cos. | 135,350 | ||||||||
600 | Torchmark Corp. | 33,360 | ||||||||
1,600 | UnumProvident Corp. | 36,400 | ||||||||
140 | @@ | XL Capital Ltd. | 9,433 | |||||||
2,820,691 | ||||||||||
Internet: 0.3% | ||||||||||
1,800 | @ | Amazon.com, Inc. | 84,870 | |||||||
5,000 | @ | eBay, Inc. | 216,250 | |||||||
500 | @ | Monster Worldwide, Inc. | 20,410 | |||||||
4,729 | @ | Symantec Corp. | 82,758 | |||||||
1,100 | @ | Yahoo!, Inc. | 43,098 | |||||||
447,386 | ||||||||||
Iron/Steel: 0.1% | ||||||||||
1,010 | Nucor Corp. | 67,387 | ||||||||
800 | United States Steel Corp. | 38,456 | ||||||||
105,843 | ||||||||||
Leisure Time: 0.1% | ||||||||||
400 | Brunswick Corp. | 16,264 | ||||||||
1,950 | Carnival Corp. | 104,267 | ||||||||
1,200 | Harley-Davidson, Inc. | 61,788 | ||||||||
100 | Sabre Holdings Corp. | 2,411 | ||||||||
184,730 | ||||||||||
Lodging: 0.1% | ||||||||||
2,100 | Hilton Hotels Corp. | 50,631 | ||||||||
900 | Marriott International, Inc. | 60,273 | ||||||||
1,150 | Starwood Hotels & Resorts Worldwide, Inc. | 73,439 | ||||||||
184,343 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
250 | Cummins, Inc. | 22,433 | ||||||||
750 | Rockwell Automation, Inc. | 44,370 | ||||||||
66,803 | ||||||||||
Media: 1.0% | ||||||||||
2,500 | Clear Channel Communications, Inc. | 78,625 | ||||||||
9,900 | @ | Comcast Corp. | 257,004 | |||||||
250 | Gannett Co., Inc. | 15,143 | ||||||||
2,810 | McGraw-Hill Cos, Inc. | 145,080 | ||||||||
150 | Meredith Corp. | 7,851 | ||||||||
600 | New York Times Co. | 15,870 | ||||||||
10,900 | News Corp., Inc. | 169,495 | ||||||||
21,300 | Time Warner, Inc. | 371,472 | ||||||||
250 | Tribune Co. | 7,565 | ||||||||
1,000 | @ | Univision Communications, Inc. | 29,390 | |||||||
7,150 | Viacom, Inc. | 233,090 | ||||||||
1,800 | Walt Disney Co. | 43,146 | ||||||||
1,373,731 | ||||||||||
Mining: 0.1% | ||||||||||
1,450 | Freeport-McMoRan Copper & Gold, Inc. | 78,010 | ||||||||
500 | Newmont Mining Corp. | 26,700 | ||||||||
490 | Phelps Dodge Corp. | 70,496 | ||||||||
175,206 | ||||||||||
Miscellaneous Manufacturing: 1.8% | ||||||||||
4,550 | 3M Co. | 352,625 | ||||||||
400 | @ | Cooper Industries Ltd. | 29,200 | |||||||
1,250 | Danaher Corp. | 69,725 | ||||||||
850 | Dover Corp. | 34,417 | ||||||||
650 | Eaton Corp. | 43,609 | ||||||||
46,200 | General Electric Co. | 1,619,310 | ||||||||
3,900 | Honeywell International, Inc. | 145,275 | ||||||||
950 | Illinois Tool Works, Inc. | 83,591 | ||||||||
2,000 | @@ | Ingersoll-Rand Co. | 80,740 | |||||||
500 | ITT Industries, Inc. | 51,410 | ||||||||
500 | Parker Hannifin Corp. | 32,980 | ||||||||
600 | Textron, Inc. | 46,188 | ||||||||
2,589,070 | ||||||||||
Office/Business Equipment: 0.1% | ||||||||||
950 | Pitney Bowes, Inc. | 40,138 | ||||||||
4,850 | @ | Xerox Corp. | 71,053 | |||||||
111,191 | ||||||||||
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Oil & Gas: 3.4% | ||||||||||
350 | Amerada Hess Corp. | $ | 44,387 | |||||||
850 | Anadarko Petroleum Corp. | 80,538 | ||||||||
1,290 | Apache Corp. | 88,391 | ||||||||
2,700 | Burlington Resources, Inc. | 232,740 | ||||||||
8,983 | ChevronTexaco Corp. | 509,965 | ||||||||
7,400 | ConocoPhillips | 430,532 | ||||||||
3,000 | Devon Energy Corp. | 187,620 | ||||||||
1,300 | EOG Resources, Inc. | 95,381 | ||||||||
42,950 | Exxon Mobil Corp. | 2,412,502 | ||||||||
550 | Kerr-McGee Corp. | 49,973 | ||||||||
1,500 | Marathon Oil Corp. | 91,455 | ||||||||
700 | Murphy Oil Corp. | 37,793 | ||||||||
500 | @,@@ | Nabors Industries Ltd. | 37,875 | |||||||
100 | @ | Noble Corp. | 7,054 | |||||||
1,610 | Occidental Petroleum Corp. | 128,607 | ||||||||
300 | Rowan Cos., Inc. | 10,692 | ||||||||
1,000 | Sunoco, Inc. | 78,380 | ||||||||
1,300 | @ | Transocean, Inc. | 90,597 | |||||||
4,100 | Valero Energy Corp. | 211,560 | ||||||||
4,826,042 | ||||||||||
Oil & Gas Services: 0.3% | ||||||||||
300 | Baker Hughes, Inc. | 18,234 | ||||||||
2,050 | Halliburton Co. | 127,018 | ||||||||
2,300 | Schlumberger Ltd. | 223,445 | ||||||||
368,697 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
600 | Ball Corp. | 23,832 | ||||||||
350 | @ | Sealed Air Corp. | 19,660 | |||||||
43,492 | ||||||||||
Pharmaceuticals: 1.9% | ||||||||||
7,000 | Abbott Laboratories | 276,010 | ||||||||
600 | Allergan, Inc. | 64,776 | ||||||||
1,700 | AmerisourceBergen Corp. | 70,380 | ||||||||
1,700 | Bristol-Myers Squibb Co. | 39,066 | ||||||||
1,820 | Cardinal Health, Inc. | 125,125 | ||||||||
2,000 | @ | Caremark Rx, Inc. | 103,580 | |||||||
1,000 | @ | Express Scripts, Inc. | 83,800 | |||||||
1,350 | @ | Forest Laboratories, Inc. | 54,918 | |||||||
1,950 | @ | Gilead Sciences, Inc. | 102,629 | |||||||
1,260 | @ | Hospira, Inc. | 53,903 | |||||||
1,750 | @ | King Pharmaceuticals, Inc. | 29,610 | |||||||
1,346 | @ | Medco Health Solutions, Inc. | 75,107 | |||||||
12,900 | Merck & Co., Inc. | 410,349 | ||||||||
1,000 | Mylan Laboratories | 19,960 | ||||||||
32,630 | Pfizer, Inc. | 760,932 | ||||||||
6,650 | Schering-Plough Corp. | 138,653 | ||||||||
500 | @ | Watson Pharmaceuticals, Inc. | 16,255 | |||||||
6,050 | Wyeth | 278,724 | ||||||||
2,703,777 | ||||||||||
Pipelines: 0.1% | ||||||||||
500 | El Paso Corp. | 6,080 | ||||||||
350 | Kinder Morgan, Inc. | 32,183 | ||||||||
1,950 | Williams Cos., Inc. | 45,182 | ||||||||
83,445 | ||||||||||
Real Estate Investment Trust: 0.2% | ||||||||||
450 | Apartment Investment & Management Co. | 17,042 | ||||||||
1,000 | Archstone-Smith Trust | 41,890 | ||||||||
1,800 | Equity Office Properties Trust | 54,594 | ||||||||
200 | Prologis | 9,344 | ||||||||
400 | Public Storage, Inc. | 27,088 | ||||||||
900 | Simon Property Group LP | 68,967 | ||||||||
100 | Vornado Realty Trust | 8,347 | ||||||||
227,272 | ||||||||||
Retail: 2.1% | ||||||||||
800 | @ | Autonation, Inc. | 17,384 | |||||||
300 | @ | Autozone, Inc. | 27,525 | |||||||
1,450 | @ | Bed Bath & Beyond, Inc. | 52,418 | |||||||
2,400 | Best Buy Co., Inc. | 104,352 | ||||||||
1,350 | Circuit City Stores, Inc. | 30,497 | ||||||||
1,950 | Costco Wholesale Corp. | 96,467 | ||||||||
1,050 | Darden Restaurants, Inc. | 40,824 | ||||||||
1,300 | Dollar General Corp. | 24,791 | ||||||||
350 | Family Dollar Stores, Inc. | 8,677 | ||||||||
1,554 | Federated Department Stores | 103,077 | ||||||||
2,550 | Gap, Inc. | 44,982 | ||||||||
9,700 | Home Depot, Inc. | 392,656 | ||||||||
1,550 | JC Penney Co., Inc. | 86,180 | ||||||||
350 | @ | Kohl’s Corp. | 17,010 | |||||||
350 | Limited Brands | 7,823 | ||||||||
3,570 | Lowe’s Cos., Inc. | 237,976 | ||||||||
7,350 | McDonald’s Corp. | 247,842 | ||||||||
1,700 | Nordstrom, Inc. | 63,580 | ||||||||
1,350 | @ | Office Depot, Inc. | 42,390 | |||||||
460 | @ | Sears Holding Corp. | 53,144 | |||||||
4,420 | Staples, Inc. | 100,378 | ||||||||
3,700 | @ | Starbucks Corp. | 111,037 | |||||||
4,000 | Target Corp. | 219,880 | ||||||||
300 | Tiffany & Co. | 11,487 | ||||||||
2,050 | TJX Cos., Inc. | 47,622 | ||||||||
10,850 | Wal-Mart Stores, Inc. | 507,780 | ||||||||
4,460 | Walgreen Co. | 197,400 | ||||||||
500 | Wendy’s International, Inc. | 27,630 | ||||||||
1,700 | Yum! Brands, Inc. | 79,696 | ||||||||
3,002,505 | ||||||||||
Savings & Loans: 0.2% | ||||||||||
1,200 | Golden West Financial Corp. | 79,200 | ||||||||
4,465 | Washington Mutual, Inc. | 194,228 | ||||||||
273,428 | ||||||||||
Semiconductors: 1.4% | ||||||||||
1,600 | @ | Altera Corp. | 29,648 | |||||||
1,550 | Analog Devices, Inc. | 55,599 | ||||||||
7,050 | Applied Materials, Inc. | 126,477 | ||||||||
1,300 | @ | Broadcom Corp. | 61,295 | |||||||
1,772 | @ | Freescale Semiconductor, Inc. | 44,601 | |||||||
37,770 | Intel Corp. | 942,729 | ||||||||
800 | Kla-Tencor Corp. | 39,464 | ||||||||
1,250 | Linear Technology Corp. | 45,088 | ||||||||
1,600 | @ | LSI Logic Corp. | 12,800 | |||||||
1,350 | Maxim Integrated Products | 48,924 | ||||||||
2,700 | @ | Micron Technology, Inc. | 35,937 | |||||||
2,450 | National Semiconductor Corp. | 63,651 | ||||||||
700 | @ | Novellus Systems, Inc. | 16,884 | |||||||
850 | @ | Nvidia Corp. | 31,076 | |||||||
450 | @ | QLogic Corp. | 14,630 | |||||||
11,850 | Texas Instruments, Inc. | 380,030 | ||||||||
1,948,833 | ||||||||||
Software: 1.5% | ||||||||||
2,180 | Adobe Systems, Inc. | 80,573 | ||||||||
1,400 | Autodesk, Inc. | 60,130 | ||||||||
3,450 | Automatic Data Processing, Inc. | 158,321 | ||||||||
1,550 | @ | BMC Software, Inc. | 31,760 | |||||||
1,200 | @ | Citrix Systems, Inc. | 34,536 | |||||||
2,150 | Computer Associates International, Inc. | 60,609 | ||||||||
2,800 | @ | Compuware Corp. | 25,116 | |||||||
1,300 | @ | Electronic Arts, Inc. | 68,003 | |||||||
3,333 | First Data Corp. | 143,352 | ||||||||
1,000 | @ | Fiserv, Inc. | 43,270 | |||||||
1,100 | IMS Health, Inc. | 27,412 | ||||||||
1,300 | @ | Intuit, Inc. | 69,290 | |||||||
350 | @ | Mercury Interactive Corp. | 9,727 | |||||||
40,200 | Microsoft Corp. | 1,051,220 | ||||||||
2,450 | @ | Novell, Inc. | 21,634 |
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Software (continued) | ||||||||||
16,800 | @ | Oracle Corp. | $ | 205,128 | ||||||
2,200 | @ | Parametric Technology Corp. | 13,420 | |||||||
1,950 | Siebel Systems, Inc. | 20,631 | ||||||||
2,124,132 | ||||||||||
Telecommunications: 2.2% | ||||||||||
1,650 | Alltel Corp. | 104,115 | ||||||||
23,119 | AT&T, Inc. | 566,184 | ||||||||
400 | @ | Avaya, Inc. | 4,268 | |||||||
8,300 | BellSouth Corp. | 224,930 | ||||||||
900 | CenturyTel, Inc. | 29,844 | ||||||||
28,950 | @ | Cisco Systems, Inc. | 495,614 | |||||||
850 | @ | Comverse Technology, Inc. | 22,602 | |||||||
6,700 | @ | Corning, Inc. | 131,722 | |||||||
18,280 | Motorola, Inc. | 412,945 | ||||||||
7,350 | Qualcomm, Inc. | 316,638 | ||||||||
1,040 | Scientific-Atlanta, Inc. | 44,793 | ||||||||
13,298 | Sprint Corp. — FON Group | 310,641 | ||||||||
2,300 | @ | Tellabs, Inc. | 25,070 | |||||||
12,550 | Verizon Communications, Inc. | 378,006 | ||||||||
3,067,372 | ||||||||||
Textiles: 0.0% | ||||||||||
650 | Cintas Corp. | 26,767 | ||||||||
26,767 | ||||||||||
Toys/Games/Hobbies: 0.0% | ||||||||||
1,200 | Hasbro, Inc. | 24,216 | ||||||||
350 | Mattel, Inc. | 5,537 | ||||||||
29,753 | ||||||||||
Transportation: 0.6% | ||||||||||
1,900 | Burlington Northern Santa Fe Corp. | 134,558 | ||||||||
1,270 | CSX Corp. | 64,478 | ||||||||
1,400 | FedEx Corp. | 144,746 | ||||||||
2,400 | Norfolk Southern Corp. | 107,592 | ||||||||
250 | Union Pacific Corp. | 20,128 | ||||||||
5,000 | United Parcel Service, Inc. | 375,750 | ||||||||
847,252 | ||||||||||
Total Common Stock (Cost $47,165,580) | 51,347,086 | |||||||||
CORPORATE BONDS/NOTES: 7.0% | ||||||||||
Diversified Financial Services: 7.0% | ||||||||||
10,000,000 | General Electric Capital Corp., 4.250%, due 01/15/08 | 9,888,470 | ||||||||
Total Corporate Bonds/Notes (Cost $10,175,221) | 9,888,470 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 47.8% | ||||||||||
Federal National Mortgage Association: 28.8% | ||||||||||
7,340,000 | 4.800%, due 05/15/08 | 6,580,024 | ||||||||
38,000,000 | 4.820%, due 05/15/08 | 34,054,422 | ||||||||
40,634,446 | ||||||||||
Other U.S. Agency Obligations: 19.0% | ||||||||||
30,065,000 | FICO STRIP, 4.800%, due 06/06/08 | 26,882,259 | ||||||||
26,882,259 | ||||||||||
Total U.S. Government Agency Obligations (Cost $70,191,586) | 67,516,705 | |||||||||
U.S. TREASURY OBLIGATION: 1.4% | ||||||||||
U.S. Treasury STRIP: 1.4% | ||||||||||
2,213,000 | 4.450%, due 02/15/08 | 2,019,252 | ||||||||
Total U.S. Treasury Obligations (Cost $2,019,991) | 2,019,252 | |||||||||
OTHER BONDS: 6.7% | ||||||||||
Sovereign: 6.7% | ||||||||||
10,429,000 | Israel Trust, 4.670%, due 02/15/08 | 9,443,491 | ||||||||
Total Other Bonds (Cost $9,816,683) | 9,443,491 | |||||||||
Total Long-Term Investments (Cost $139,369,061) | $ | 140,215,004 | ||||||||
SHORT-TERM INVESTMENTS: 1.0% | ||||||||||
Repurchase Agreement: 1.0% | ||||||||||
1,400,000 | Goldman Sachs Repurchase Agreement dated 12/30/05, 4.250%, due 01/03/06, $1,400,661 to be received upon repurchase (Collateralized by $1,453,000 Resolution Funding Corporation, 3,625%, Market Value plus accrued interest $1,428,855, due 09/15/08) | 1,400,000 | ||||||||
Total Short-Term Investments (Cost $1,400,000) | 1,400,000 | |||||||||
Total Investments In Securities (Cost $140,769,061)* | 100.2 | % | $ | 141,615,004 | ||||||||
Other Assets and Liabilities-Net | (0.2 | ) | (276,556 | ) | ||||||||
Net Assets | 100.0 | % | $ | 141,338,448 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities | |||||
* | Cost for federal income tax purposes is $141,578,239. Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 4,963,938 | ||||
Gross Unrealized Depreciation | (4,927,173 | ) | ||||
Net Unrealized Appreciation | $ | 36,765 | ||||
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COMMON STOCK: 15.7% | ||||||||||
Advertising: 0.0% | ||||||||||
1,050 | @ | Interpublic Group of Cos., Inc. | $ | 10,133 | ||||||
550 | Omnicom Group | 46,822 | ||||||||
56,955 | ||||||||||
Aerospace/Defense: 0.4% | ||||||||||
3,250 | Boeing Co. | 228,280 | ||||||||
850 | General Dynamics Corp. | 96,943 | ||||||||
350 | Goodrich Corp. | 14,385 | ||||||||
350 | L-3 Communications Holdings, Inc. | 26,023 | ||||||||
1,920 | Lockheed Martin Corp. | 122,170 | ||||||||
1,084 | Northrop Grumman Corp. | 65,159 | ||||||||
1,783 | Raytheon Co. | 71,587 | ||||||||
850 | Rockwell Collins, Inc. | 39,500 | ||||||||
3,100 | United Technologies Corp. | 173,321 | ||||||||
837,368 | ||||||||||
Agriculture: 0.3% | ||||||||||
6,150 | Altria Group, Inc. | 459,528 | ||||||||
3,460 | Archer-Daniels-Midland Co. | 85,324 | ||||||||
890 | Monsanto Co. | 69,002 | ||||||||
350 | Reynolds America, Inc. | 33,366 | ||||||||
500 | UST, Inc. | 20,415 | ||||||||
667,635 | ||||||||||
Airlines: 0.0% | ||||||||||
2,100 | Southwest Airlines Co. | 34,503 | ||||||||
34,503 | ||||||||||
Apparel: 0.1% | ||||||||||
2,090 | @ | Coach, Inc. | 69,681 | |||||||
450 | Jones Apparel Group, Inc. | 13,824 | ||||||||
550 | Liz Claiborne, Inc. | 19,701 | ||||||||
840 | Nike, Inc. | 72,904 | ||||||||
300 | Reebok International Ltd. | 17,469 | ||||||||
530 | VF Corp. | 29,330 | ||||||||
222,909 | ||||||||||
Auto Manufacturers: 0.0% | ||||||||||
7,700 | Ford Motor Co. | 59,444 | ||||||||
200 | @ | Navistar International Corp. | 5,724 | |||||||
65,168 | ||||||||||
Auto Parts & Equipment: 0.0% | ||||||||||
970 | @ | Goodyear Tire & Rubber Co. | 16,859 | |||||||
550 | Johnson Controls, Inc. | 40,101 | ||||||||
56,960 | ||||||||||
Banks: 1.0% | ||||||||||
1,150 | AmSouth Bancorp | 30,142 | ||||||||
16,000 | Bank of America Corp. | 738,400 | ||||||||
2,400 | Bank of New York | 76,440 | ||||||||
2,172 | BB&T Corp. | 91,029 | ||||||||
550 | Comerica, Inc. | 31,218 | ||||||||
350 | Compass Bancshares, Inc. | 16,902 | ||||||||
200 | First Horizon National Corp. | 7,688 | ||||||||
700 | Huntington Bancshares, Inc. | 16,625 | ||||||||
1,200 | Keycorp | 39,516 | ||||||||
200 | M&T Bank Corp. | 21,810 | ||||||||
750 | Marshall & Ilsley Corp. | 32,280 | ||||||||
1,300 | Mellon Financial Corp. | 44,525 | ||||||||
1,720 | National City Corp. | 57,740 | ||||||||
600 | Northern Trust Corp. | 31,092 | ||||||||
1,150 | PNC Financial Services Group, Inc. | 71,105 | ||||||||
1,400 | Regions Financial Corp. | 47,824 | ||||||||
950 | State Street Corp. | 52,668 | ||||||||
1,100 | SunTrust Banks, Inc. | 80,036 | ||||||||
985 | Synovus Financial Corp. | 26,605 | ||||||||
5,800 | US BanCorp. | 173,362 | ||||||||
4,818 | Wachovia Corp. | 254,679 | ||||||||
5,150 | Wells Fargo & Co. | 323,575 | ||||||||
300 | Zions Bancorporation | 22,668 | ||||||||
2,287,929 | ||||||||||
Beverages: 0.5% | ||||||||||
2,300 | Anheuser-Busch Cos., Inc. | 98,808 | ||||||||
260 | Brown-Forman Corp. | 18,023 | ||||||||
10,100 | Coca-Cola Co. | 407,131 | ||||||||
1,000 | Coca-Cola Enterprises, Inc. | 19,170 | ||||||||
500 | @ | Constellation Brands, Inc. | 13,115 | |||||||
550 | Pepsi Bottling Group, Inc. | 15,736 | ||||||||
8,480 | PepsiCo, Inc. | 500,998 | ||||||||
1,072,981 | ||||||||||
Biotechnology: 0.2% | ||||||||||
3,650 | @ | Amgen, Inc. | 287,839 | |||||||
200 | @ | Biogen Idec, Inc. | 9,066 | |||||||
300 | @ | Chiron Corp. | 13,338 | |||||||
800 | @ | Genzyme Corp. | 56,624 | |||||||
150 | @ | Millipore Corp. | 9,906 | |||||||
376,773 | ||||||||||
Building Materials: 0.0% | ||||||||||
550 | American Standard Cos, Inc. | 21,973 | ||||||||
1,300 | Masco Corp. | 39,247 | ||||||||
400 | Vulcan Materials Co. | 27,100 | ||||||||
88,320 | ||||||||||
Chemicals: 0.2% | ||||||||||
700 | Air Products & Chemicals, Inc. | 41,433 | ||||||||
2,950 | Dow Chemical Co. | 129,269 | ||||||||
400 | Eastman Chemical Co. | 20,636 | ||||||||
700 | Ecolab, Inc. | 25,389 | ||||||||
2,900 | EI Du Pont de Nemours & Co. | 123,250 | ||||||||
200 | Engelhard Corp. | 6,030 | ||||||||
300 | International Flavors & Fragrances, Inc. | 10,050 | ||||||||
900 | PPG Industries, Inc. | 52,110 | ||||||||
1,150 | Praxair, Inc. | 60,904 | ||||||||
600 | Rohm & Haas Co. | 29,052 | ||||||||
500 | Sherwin-Williams Co. | 22,710 | ||||||||
250 | Sigma-Aldrich Corp. | 15,823 | ||||||||
536,656 | ||||||||||
Commercial Services: 0.2% | ||||||||||
1 | @ | CCE Spinco, Inc. | 7 | |||||||
3,100 | Cendant Corp. | 53,475 | ||||||||
700 | Equifax, Inc. | 26,614 | ||||||||
1,700 | H&R Block, Inc. | 41,735 | ||||||||
1,620 | McKesson Corp. | 83,576 | ||||||||
700 | Moody’s Corp. | 42,994 | ||||||||
1,100 | Paychex, Inc. | 41,932 | ||||||||
550 | Robert Half International, Inc. | 20,840 | ||||||||
700 | RR Donnelley & Sons Co. | 23,947 | ||||||||
335,120 | ||||||||||
Computers: 0.7% | ||||||||||
400 | @ | Affiliated Computer Services, Inc. | 23,672 | |||||||
4,280 | @ | Apple Computer, Inc. | 307,689 | |||||||
150 | @ | Computer Sciences Corp. | 7,596 | |||||||
12,030 | @ | Dell, Inc. | 360,780 | |||||||
350 | Electronic Data Systems Corp. | 8,414 | ||||||||
10,050 | EMC Corp. | 136,881 | ||||||||
9,400 | Hewlett-Packard Co. | 269,122 | ||||||||
4,850 | International Business Machines Corp. | 398,670 | ||||||||
50 | @ | Lexmark International, Inc. | 2,242 | |||||||
700 | @ | NCR Corp. | 23,758 | |||||||
1,000 | @ | Network Appliance, Inc. | 27,000 |
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Computers (continued) | ||||||||||
1,970 | @ | Sun Microsystems, Inc. | $ | 8,254 | ||||||
1,050 | @ | Unisys Corp. | 6,122 | |||||||
1,580,200 | ||||||||||
Cosmetics/Personal Care: 0.3% | ||||||||||
250 | Alberto-Culver Co. | 11,438 | ||||||||
2,100 | Colgate-Palmolive Co. | 115,185 | ||||||||
10,377 | Procter & Gamble Co. | 600,621 | ||||||||
727,244 | ||||||||||
Distribution/Wholesale: 0.0% | ||||||||||
722 | Genuine Parts Co. | 31,710 | ||||||||
250 | WW Grainger, Inc. | 17,775 | ||||||||
49,485 | ||||||||||
Diversified Financial Services: 1.3% | ||||||||||
3,650 | American Express Co. | 187,829 | ||||||||
790 | Ameriprise Financial, Inc. | 32,390 | ||||||||
300 | Bear Stearns Cos, Inc. | 34,659 | ||||||||
900 | Capital One Financial Corp. | 77,760 | ||||||||
3,100 | Charles Schwab Corp. | 45,477 | ||||||||
550 | CIT Group, Inc. | 28,479 | ||||||||
15,300 | Citigroup, Inc. | 742,509 | ||||||||
398 | Countrywide Financial Corp. | 13,608 | ||||||||
1,000 | @ | E*Trade Financial Corp. | 20,860 | |||||||
3,050 | Fannie Mae | 148,871 | ||||||||
150 | Federated Investors, Inc. | 5,556 | ||||||||
550 | Franklin Resources, Inc. | 51,706 | ||||||||
1,850 | Goldman Sachs Group, Inc. | 236,264 | ||||||||
10,400 | JPMorgan Chase & Co. | 412,776 | ||||||||
1,130 | Lehman Brothers Holdings, Inc. | 144,832 | ||||||||
4,000 | MBNA Corp. | 108,600 | ||||||||
3,650 | Merrill Lynch & Co., Inc. | 247,215 | ||||||||
3,200 | Morgan Stanley | 181,568 | ||||||||
1,200 | SLM Corp. | 66,108 | ||||||||
350 | T. Rowe Price Group, Inc. | 25,211 | ||||||||
2,812,278 | ||||||||||
Electric: 0.5% | ||||||||||
2,080 | @ | AES Corp. | 32,926 | |||||||
450 | @ | Allegheny Energy, Inc. | 14,243 | |||||||
150 | Ameren Corp. | 7,686 | ||||||||
1,250 | American Electric Power Co., Inc. | 46,363 | ||||||||
850 | CenterPoint Energy Resources Corp. | 10,923 | ||||||||
600 | Cinergy Corp. | 25,476 | ||||||||
1,190 | @ | CMS Energy Corp. | 17,267 | |||||||
700 | Consolidated Edison, Inc. | 32,431 | ||||||||
500 | Constellation Energy Group, Inc. | 28,800 | ||||||||
1,050 | Dominion Resources, Inc. | 81,060 | ||||||||
500 | DTE Energy Co. | 21,595 | ||||||||
2,850 | Duke Energy Corp. | 78,233 | ||||||||
1,350 | Edison International | 58,874 | ||||||||
950 | FirstEnergy Corp. | 46,541 | ||||||||
1,200 | FPL Group, Inc. | 49,872 | ||||||||
850 | NiSource, Inc. | 17,731 | ||||||||
1,200 | Pacific Gas & Electric Co. | 44,544 | ||||||||
300 | Pinnacle West Capital Corp. | 12,405 | ||||||||
1,400 | PPL Corp. | 41,160 | ||||||||
800 | Progress Energy, Inc. | 35,136 | ||||||||
700 | Public Service Enterprise Group, Inc. | 45,479 | ||||||||
2,250 | Southern Co. | 77,693 | ||||||||
1,150 | TECO Energy, Inc. | 19,757 | ||||||||
2,600 | TXU Corp. | 130,494 | ||||||||
1,200 | Xcel Energy, Inc. | 22,152 | ||||||||
998,841 | ||||||||||
Electrical Components & Equipment: 0.1% | ||||||||||
500 | American Power Conversion | 11,000 | ||||||||
1,600 | Emerson Electric Co. | 119,520 | ||||||||
130,520 | ||||||||||
Electronics: 0.1% | ||||||||||
2,050 | @ | Agilent Technologies, Inc. | 68,245 | |||||||
650 | Applera Corp. — Applied Biosystems Group | 17,264 | ||||||||
800 | @ | Jabil Circuit, Inc. | 29,672 | |||||||
550 | PerkinElmer, Inc. | 12,958 | ||||||||
1,500 | @ | Sanmina-SCI Corp. | 6,390 | |||||||
5,430 | @ | Solectron Corp. | 19,874 | |||||||
700 | @ | Thermo Electron Corp. | 21,091 | |||||||
350 | @ | Waters Corp. | 13,230 | |||||||
188,724 | ||||||||||
Engineering & Construction: 0.0% | ||||||||||
300 | Fluor Corp. | 23,178 | ||||||||
23,178 | ||||||||||
Entertainment: 0.0% | ||||||||||
1,050 | International Game Technology | 32,319 | ||||||||
32,319 | ||||||||||
Environmental Control: 0.0% | ||||||||||
1,600 | Waste Management, Inc. | 48,560 | ||||||||
48,560 | ||||||||||
Food: 0.2% | ||||||||||
550 | Campbell Soup Co. | 16,374 | ||||||||
1,550 | ConAgra Foods, Inc. | 31,434 | ||||||||
1,500 | General Mills, Inc. | 73,980 | ||||||||
700 | Hershey Foods Corp. | 38,675 | ||||||||
1,350 | HJ Heinz Co. | 45,522 | ||||||||
750 | Kellogg Co. | 32,415 | ||||||||
2,000 | @ | Kroger Co. | 37,760 | |||||||
550 | McCormick & Co., Inc. | 17,006 | ||||||||
1,350 | Safeway, Inc. | 31,941 | ||||||||
2,269 | Sara Lee Corp. | 42,884 | ||||||||
650 | Supervalu, Inc. | 21,112 | ||||||||
800 | Tyson Foods, Inc. | 13,680 | ||||||||
650 | WM Wrigley Jr. Co. | 43,219 | ||||||||
446,002 | ||||||||||
Forest Products & Paper: 0.1% | ||||||||||
600 | Louisiana-Pacific Corp. | 16,482 | ||||||||
700 | MeadWestvaco Corp. | 19,621 | ||||||||
550 | Plum Creek Timber Co., Inc. | 19,828 | ||||||||
400 | Temple-Inland, Inc. | 17,940 | ||||||||
800 | Weyerhaeuser Co. | 53,072 | ||||||||
126,943 | ||||||||||
Gas: 0.0% | ||||||||||
850 | Sempra Energy | 38,114 | ||||||||
38,114 | ||||||||||
Hand/Machine Tools: 0.0% | ||||||||||
220 | Black & Decker Corp. | 19,131 | ||||||||
200 | Snap-On, Inc. | 7,512 | ||||||||
250 | Stanley Works | 12,010 | ||||||||
38,653 | ||||||||||
Healthcare — Products: 0.5% | ||||||||||
250 | Bausch & Lomb, Inc. | 16,975 | ||||||||
1,950 | Baxter International, Inc. | 73,418 | ||||||||
790 | Becton Dickinson & Co. | 47,463 | ||||||||
1,850 | @ | Boston Scientific Corp. | 45,307 | |||||||
350 | CR Bard, Inc. | 23,072 | ||||||||
990 | Guidant Corp. | 64,103 | ||||||||
8,950 | Johnson & Johnson | 537,895 |
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Healthcare — Products (continued) | ||||||||||
3,700 | Medtronic, Inc. | $ | 213,009 | |||||||
1,200 | @ | St. Jude Medical, Inc. | 60,240 | |||||||
900 | Stryker Corp. | 39,987 | ||||||||
1,121,469 | ||||||||||
Healthcare — Services: 0.4% | ||||||||||
1,410 | Aetna, Inc. | 132,977 | ||||||||
615 | @ | Coventry Health Care, Inc. | 35,030 | |||||||
800 | @ | Humana, Inc. | 43,464 | |||||||
50 | @ | Laboratory Corp. of America Holdings | 2,693 | |||||||
300 | Quest Diagnostics | 15,444 | ||||||||
5,060 | UnitedHealth Group, Inc. | 314,428 | ||||||||
3,210 | @ | WellPoint, Inc. | 256,126 | |||||||
800,162 | ||||||||||
Home Builders: 0.0% | ||||||||||
400 | Lennar Corp. | 24,408 | ||||||||
24,408 | ||||||||||
Home Furnishings: 0.0% | ||||||||||
100 | Whirlpool Corp. | 8,376 | ||||||||
8,376 | ||||||||||
Household Products/Wares: 0.1% | ||||||||||
450 | Clorox Co. | 25,601 | ||||||||
450 | Fortune Brands, Inc. | 35,109 | ||||||||
1,500 | Kimberly-Clark Corp. | 89,475 | ||||||||
150,185 | ||||||||||
Housewares: 0.0% | ||||||||||
850 | Newell Rubbermaid, Inc. | 20,213 | ||||||||
20,213 | ||||||||||
Insurance: 0.8% | ||||||||||
890 | @@ | ACE Ltd | 47,562 | |||||||
1,600 | Aflac, Inc. | 74,272 | ||||||||
2,020 | Allstate Corp. | 109,221 | ||||||||
200 | AMBAC Financial Group, Inc. | 15,412 | ||||||||
7,800 | American International Group, Inc. | 532,194 | ||||||||
900 | AON Corp. | 32,355 | ||||||||
860 | Chubb Corp. | 83,979 | ||||||||
400 | Cigna Corp. | 44,680 | ||||||||
443 | Cincinnati Financial Corp. | 19,793 | ||||||||
1,100 | Genworth Financial, Inc. | 38,038 | ||||||||
950 | Hartford Financial Services Group, Inc. | 81,596 | ||||||||
150 | Jefferson-Pilot Corp. | 8,540 | ||||||||
700 | Lincoln National Corp. | 37,121 | ||||||||
380 | Loews Corp. | 36,043 | ||||||||
1,189 | Marsh & McLennan Cos., Inc. | 37,763 | ||||||||
400 | MBIA, Inc. | 24,064 | ||||||||
3,200 | Metlife, Inc. | 156,800 | ||||||||
430 | MGIC Investment Corp. | 28,303 | ||||||||
1,150 | Principal Financial Group | 54,545 | ||||||||
590 | Progressive Corp. | 68,900 | ||||||||
2,390 | Prudential Financial, Inc. | 174,924 | ||||||||
350 | Safeco Corp. | 19,775 | ||||||||
2,050 | St. Paul Cos | 91,574 | ||||||||
450 | Torchmark Corp. | 25,020 | ||||||||
900 | UnumProvident Corp. | 20,475 | ||||||||
100 | @@ | XL Capital Ltd | 6,738 | |||||||
1,869,687 | ||||||||||
Internet: 0.1% | ||||||||||
1,200 | @ | Amazon.com, Inc. | 56,580 | |||||||
3,400 | @ | eBay, Inc. | 147,050 | |||||||
500 | @ | Monster Worldwide, Inc. | 20,410 | |||||||
3,146 | @ | Symantec Corp. | 55,055 | |||||||
800 | @ | Yahoo!, Inc. | 31,344 | |||||||
310,439 | ||||||||||
Iron/Steel: 0.0% | ||||||||||
800 | Nucor Corp. | 53,376 | ||||||||
320 | United States Steel Corp. | 15,382 | ||||||||
68,758 | ||||||||||
Leisure Time: 0.1% | ||||||||||
300 | Brunswick Corp. | 12,198 | ||||||||
1,250 | Carnival Corp. | 66,838 | ||||||||
850 | Harley-Davidson, Inc. | 43,767 | ||||||||
450 | Sabre Holdings Corp. | 10,850 | ||||||||
133,653 | ||||||||||
Lodging: 0.1% | ||||||||||
1,000 | Hilton Hotels Corp. | 24,110 | ||||||||
630 | Marriott International, Inc. | 42,191 | ||||||||
650 | Starwood Hotels & Resorts Worldwide, Inc. | 41,509 | ||||||||
107,810 | ||||||||||
Machinery — Diversified: 0.0% | ||||||||||
500 | Rockwell Automation, Inc. | 29,580 | ||||||||
29,580 | ||||||||||
Media: 0.4% | ||||||||||
1,700 | Clear Channel Communications, Inc. | 53,465 | ||||||||
6,700 | @ | Comcast Corp. | 173,932 | |||||||
150 | Gannett Co., Inc. | 9,086 | ||||||||
2,070 | McGraw-Hill Cos, Inc. | 106,874 | ||||||||
200 | Meredith Corp. | 10,468 | ||||||||
400 | New York Times Co. | 10,580 | ||||||||
8,050 | News Corp., Inc. | 125,178 | ||||||||
14,450 | Time Warner, Inc. | 252,008 | ||||||||
200 | Tribune Co. | 6,052 | ||||||||
700 | @ | Univision Communications, Inc. | 20,573 | |||||||
4,900 | Viacom, Inc. | 159,740 | ||||||||
1,200 | Walt Disney Co. | 28,764 | ||||||||
956,720 | ||||||||||
Mining: 0.1% | ||||||||||
980 | Freeport-McMoRan Copper & Gold, Inc. | 52,724 | ||||||||
300 | Newmont Mining Corp. | 16,020 | ||||||||
350 | Phelps Dodge Corp. | 50,355 | ||||||||
119,099 | ||||||||||
Miscellaneous Manufacturing: 0.8% | ||||||||||
3,100 | 3M Co. | 240,250 | ||||||||
250 | @ | Cooper Industries Ltd. | 18,250 | |||||||
850 | Danaher Corp. | 47,413 | ||||||||
600 | Dover Corp. | 24,294 | ||||||||
400 | Eaton Corp. | 26,836 | ||||||||
31,300 | General Electric Co. | 1,097,055 | ||||||||
2,600 | Honeywell International, Inc. | 96,850 | ||||||||
650 | Illinois Tool Works, Inc. | 57,194 | ||||||||
1,000 | @@ | Ingersoll-Rand Co. | 40,370 | |||||||
250 | ITT Industries, Inc. | 25,705 | ||||||||
600 | Leggett & Platt, Inc. | 13,776 | ||||||||
350 | Parker Hannifin Corp. | 23,086 | ||||||||
400 | Textron, Inc. | 30,792 | ||||||||
1,741,871 | ||||||||||
Office/Business Equipment: 0.0% | ||||||||||
800 | Pitney Bowes, Inc. | 33,800 | ||||||||
2,750 | @ | Xerox Corp. | 40,288 | |||||||
74,088 | ||||||||||
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Oil & Gas: 1.5% | ||||||||||
200 | Amerada Hess Corp. | $ | 25,364 | |||||||
650 | Anadarko Petroleum Corp. | 61,588 | ||||||||
850 | Apache Corp. | 58,242 | ||||||||
1,650 | Burlington Resources, Inc. | 142,230 | ||||||||
6,081 | ChevronTexaco Corp. | 345,218 | ||||||||
5,000 | ConocoPhillips | 290,900 | ||||||||
2,000 | Devon Energy Corp. | 125,080 | ||||||||
800 | EOG Resources, Inc. | 58,696 | ||||||||
29,050 | Exxon Mobil Corp. | 1,631,729 | ||||||||
350 | Kerr-McGee Corp. | 31,801 | ||||||||
1,000 | Marathon Oil Corp. | 60,970 | ||||||||
300 | Murphy Oil Corp. | 16,197 | ||||||||
400 | @,@@ | Nabors Industries Ltd. | 30,300 | |||||||
100 | @ | Noble Corp. | 7,054 | |||||||
1,050 | Occidental Petroleum Corp. | 83,874 | ||||||||
250 | Rowan Cos., Inc. | 8,910 | ||||||||
700 | Sunoco, Inc. | 54,866 | ||||||||
800 | @ | Transocean, Inc. | 55,752 | |||||||
2,800 | Valero Energy Corp. | 144,480 | ||||||||
3,233,251 | ||||||||||
Oil & Gas Services: 0.1% | ||||||||||
200 | Baker Hughes, Inc. | 12,156 | ||||||||
1,400 | Halliburton Co. | 86,744 | ||||||||
1,500 | Schlumberger Ltd. | 145,725 | ||||||||
244,625 | ||||||||||
Packaging & Containers: 0.0% | ||||||||||
350 | Ball Corp. | 13,902 | ||||||||
250 | @ | Sealed Air Corp. | 14,043 | |||||||
27,945 | ||||||||||
Pharmaceuticals: 0.8% | ||||||||||
4,800 | Abbott Laboratories | 189,264 | ||||||||
500 | Allergan, Inc. | 53,980 | ||||||||
1,000 | AmerisourceBergen Corp. | 41,400 | ||||||||
1,200 | Bristol-Myers Squibb Co. | 27,576 | ||||||||
1,300 | Cardinal Health, Inc. | 89,375 | ||||||||
1,370 | @ | Caremark Rx, Inc. | 70,952 | |||||||
700 | @ | Express Scripts, Inc. | 58,660 | |||||||
900 | @ | Forest Laboratories, Inc. | 36,612 | |||||||
1,300 | @ | Gilead Sciences, Inc. | 68,419 | |||||||
860 | @ | Hospira, Inc. | 36,791 | |||||||
1,350 | @ | King Pharmaceuticals, Inc. | 22,842 | |||||||
808 | @ | Medco Health Solutions, Inc. | 45,086 | |||||||
8,750 | Merck & Co., Inc. | 278,338 | ||||||||
700 | Mylan Laboratories | 13,972 | ||||||||
22,100 | Pfizer, Inc. | 515,362 | ||||||||
4,450 | Schering-Plough Corp. | 92,783 | ||||||||
350 | @ | Watson Pharmaceuticals, Inc. | 11,379 | |||||||
4,150 | Wyeth | 191,191 | ||||||||
1,843,982 | ||||||||||
Pipelines: 0.0% | ||||||||||
400 | El Paso Corp. | 4,864 | ||||||||
200 | Kinder Morgan, Inc. | 18,390 | ||||||||
1,250 | Williams Cos., Inc. | 28,963 | ||||||||
52,217 | ||||||||||
Real Estate Investment Trust: 0.1% | ||||||||||
400 | Apartment Investment & Management Co. | 15,148 | ||||||||
700 | Archstone-Smith Trust | 29,323 | ||||||||
1,200 | Equity Office Properties Trust | 36,396 | ||||||||
150 | Prologis | 7,008 | ||||||||
300 | Public Storage, Inc. | 20,316 | ||||||||
500 | Simon Property Group LP | 38,315 | ||||||||
100 | Vornado Realty Trust | 8,347 | ||||||||
154,853 | ||||||||||
Retail: 0.9% | ||||||||||
550 | @ | Autonation, Inc. | 11,952 | |||||||
200 | @ | Autozone, Inc. | 18,350 | |||||||
850 | @ | Bed Bath & Beyond, Inc. | 30,728 | |||||||
1,610 | Best Buy Co., Inc. | 70,003 | ||||||||
800 | Circuit City Stores, Inc. | 18,072 | ||||||||
1,400 | Costco Wholesale Corp. | 69,258 | ||||||||
750 | Darden Restaurants, Inc. | 29,160 | ||||||||
850 | Dollar General Corp. | 16,210 | ||||||||
250 | Family Dollar Stores, Inc. | 6,198 | ||||||||
1,049 | Federated Department Stores | 69,580 | ||||||||
1,750 | Gap, Inc. | 30,870 | ||||||||
6,620 | Home Depot, Inc. | 267,978 | ||||||||
1,000 | JC Penney Co., Inc. | 55,600 | ||||||||
200 | @ | Kohl’s Corp. | 9,720 | |||||||
200 | Limited Brands | 4,470 | ||||||||
2,400 | Lowe’s Cos., Inc. | 159,984 | ||||||||
4,950 | McDonald’s Corp. | 166,914 | ||||||||
1,200 | Nordstrom, Inc. | 44,880 | ||||||||
900 | @ | Office Depot, Inc. | 28,260 | |||||||
330 | @ | Sears Holding Corp. | 38,125 | |||||||
2,950 | Staples, Inc. | 66,995 | ||||||||
2,500 | @ | Starbucks Corp. | 75,025 | |||||||
2,700 | Target Corp. | 148,419 | ||||||||
200 | Tiffany & Co. | 7,658 | ||||||||
1,400 | TJX Cos., Inc. | 32,522 | ||||||||
7,350 | Wal-Mart Stores, Inc. | 343,980 | ||||||||
2,990 | Walgreen Co. | 132,337 | ||||||||
350 | Wendy’s International, Inc. | 19,341 | ||||||||
1,200 | Yum! Brands, Inc. | 56,256 | ||||||||
2,028,845 | ||||||||||
Savings & Loans: 0.1% | ||||||||||
800 | Golden West Financial Corp. | 52,800 | ||||||||
3,002 | Washington Mutual, Inc. | 130,587 | ||||||||
183,387 | ||||||||||
Semiconductors: 0.7% | ||||||||||
1,150 | @ | Altera Corp. | 21,310 | |||||||
1,150 | Analog Devices, Inc. | 41,251 | ||||||||
4,900 | Applied Materials, Inc. | 87,906 | ||||||||
850 | @ | Broadcom Corp. | 40,078 | |||||||
1,213 | @ | Freescale Semiconductor, Inc. | 30,531 | |||||||
30,540 | �� | Intel Corp. | 762,268 | |||||||
550 | Kla-Tencor Corp. | 27,132 | ||||||||
850 | Linear Technology Corp. | 30,660 | ||||||||
1,100 | @ | LSI Logic Corp. | 8,800 | |||||||
900 | Maxim Integrated Products | 32,616 | ||||||||
1,800 | @ | Micron Technology, Inc. | 23,958 | |||||||
1,650 | National Semiconductor Corp. | 42,867 | ||||||||
50 | @ | Novellus Systems, Inc. | 1,206 | |||||||
500 | @ | Nvidia Corp. | 18,280 | |||||||
350 | @ | QLogic Corp. | 11,379 | |||||||
8,250 | Texas Instruments, Inc. | 264,578 | ||||||||
1,444,820 | ||||||||||
Software: 0.7% | ||||||||||
1,520 | Adobe Systems, Inc. | 56,179 | ||||||||
970 | Autodesk, Inc. | 41,662 | ||||||||
2,350 | Automatic Data Processing, Inc. | 107,842 | ||||||||
900 | @ | BMC Software, Inc. | 18,441 | |||||||
700 | @ | Citrix Systems, Inc. | 20,146 | |||||||
1,450 | Computer Associates International, Inc. | 40,876 | ||||||||
1,550 | @ | Compuware Corp. | 13,904 | |||||||
850 | @ | Electronic Arts, Inc. | 44,464 | |||||||
2,272 | First Data Corp. | 97,719 | ||||||||
700 | @ | Fiserv, Inc. | 30,289 | |||||||
650 | IMS Health, Inc. | 16,198 | ||||||||
900 | @ | Intuit, Inc. | 47,970 | |||||||
350 | @ | Mercury Interactive Corp. | 9,727 | |||||||
27,600 | Microsoft Corp. | 721,740 | ||||||||
1,000 | @ | Novell, Inc. | 8,830 |
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Software (continued) | ||||||||||
11,450 | @ | Oracle Corp. | $ | 139,805 | ||||||
1,490 | @ | Parametric Technology Corp. | 9,089 | |||||||
1,700 | Siebel Systems, Inc. | 17,986 | ||||||||
1,442,867 | ||||||||||
Telecommunications: 0.9% | ||||||||||
1,150 | Alltel Corp. | 72,565 | ||||||||
15,702 | AT&T, Inc. | 384,542 | ||||||||
1,200 | @ | Avaya, Inc. | 12,804 | |||||||
5,650 | BellSouth Corp. | 153,115 | ||||||||
600 | CenturyTel, Inc. | 19,896 | ||||||||
19,600 | @ | Cisco Systems, Inc. | 335,552 | |||||||
650 | @ | Comverse Technology, Inc. | 17,284 | |||||||
4,500 | @ | Corning, Inc. | 88,470 | |||||||
12,420 | Motorola, Inc. | 280,568 | ||||||||
5,000 | Qualcomm, Inc. | 215,400 | ||||||||
650 | Scientific-Atlanta, Inc. | 27,996 | ||||||||
8,966 | Sprint Corp. — FON Group | 209,446 | ||||||||
1,400 | @ | Tellabs, Inc. | 15,260 | |||||||
8,500 | Verizon Communications, Inc. | 256,020 | ||||||||
2,088,918 | ||||||||||
Textiles: 0.0% | ||||||||||
600 | Cintas Corp. | 24,708 | ||||||||
24,708 | ||||||||||
Toys/Games/Hobbies: 0.0% | ||||||||||
650 | Hasbro, Inc. | 13,117 | ||||||||
200 | Mattel, Inc. | 3,164 | ||||||||
16,281 | ||||||||||
Transportation: 0.3% | ||||||||||
1,100 | Burlington Northern Santa Fe Corp. | 77,902 | ||||||||
900 | CSX Corp. | 45,693 | ||||||||
950 | FedEx Corp. | 98,221 | ||||||||
1,600 | Norfolk Southern Corp. | 71,728 | ||||||||
200 | Union Pacific Corp. | 16,102 | ||||||||
3,350 | United Parcel Service, Inc. | 251,753 | ||||||||
561,399 | ||||||||||
Total Common Stock (Cost $32,088,773) | 34,764,954 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 81.6% | ||||||||||
Federal Home Loan Mortgage Corporation: 33.9% | ||||||||||
$ | 5,375,000 | STRIP, 7.800%, due 07/15/08 | $ | 4,783,825 | ||||||
80,000,000 | STRIP, 4.720%, due 10/15/08 | 70,340,400 | ||||||||
75,124,225 | ||||||||||
Federal National Mortgage Association: 25.8% | ||||||||||
64,000,000 | STRIP, 4.820%, due 05/15/08 | 57,354,816 | ||||||||
57,354,816 | ||||||||||
Other U.S. Agency Obligations: 21.9% | ||||||||||
14,205,000 | FICO STRIP, 4.800%, due 06/27/08 | 12,668,233 | ||||||||
5,763,000 | FICO STRIP, 4.850%, due 10/06/08 | 5,072,581 | ||||||||
30,000,000 | Resolution Funding Corp. Interest STRIP, 4.520%, due 07/15/08 | 26,873,670 | ||||||||
4,604,000 | Tennessee Valley Authority, 4.860%, due 07/15/08 | 4,091,533 | ||||||||
48,706,017 | ||||||||||
Total U.S. Government Agency Obligations (Cost $191,951,612) | 181,185,058 | |||||||||
U.S. TREASURY OBLIGATIONS: 1.9% | ||||||||||
U.S. Treasury STRIP: 1.9% | ||||||||||
4,740,000 | 4.430%, due 05/15/08 | 4,277,528 | ||||||||
Total U.S. Treasury Obligations (Cost $4,319,524) | 4,277,528 | |||||||||
Total Long-Term Investments (Cost $228,359,909) | 220,227,540 | |||||||||
SHORT-TERM INVESTMENTS: 0.9% | ||||||||||
Repurchase Agreement: 0.9% | ||||||||||
2,027,000 | Goldman Sachs Repurchase Agreement dated, 12/30/05, 4.250%, due 01/03/06 $2,027,957 to be received upon repurchase (Collateralized by $2,103,000 Federal Home Loan Mortgage Corporation, 3.625%, Market Value plus accrued interest $2,068,054, due 09/15/08) | 2,027,000 | ||||||||
Total Short-Term Investments (Cost $2,027,000) | 2,027,000 | |||||||||
Total Investments In Securities (Cost $230,386,909)* | 100.1 | % | $ | 222,254,540 | ||||||||
Other Assets and Liabilities-Net | (0.1 | ) | (270,913 | ) | ||||||||
Net Assets | 100.0 | % | $ | 221,983,627 | ||||||||
@ | Non-income producing security | |||||
@@ | Foreign Issuer | |||||
STRIP | Separate Trading of Registered Interest and Principal of Securities Net unrealized appreciation consists of: | |||||
* | Cost for federal income tax purposes is $230,905,538. Net unrealized depreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 3,289,005 | ||||
Gross Unrealized Depreciation | (11,940,003 | ) | ||||
Net Unrealized Depreciation | $ | (8,650,998 | ) | |||
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Dividends paid during the year ended December 31, 2005 were as follows:
Fund Name | Type | Per Share Amount | ||||||
ING GET Fund — Series L | NII | $ | 0.3808 | |||||
ING GET Fund — Series M | NII | $ | 0.4573 | |||||
ING GET Fund — Series N | NII | $ | 0.3855 | |||||
ING GET Fund — Series P | NII | $ | 0.3810 | |||||
ING GET Fund — Series Q | NII | $ | 0.4091 | |||||
ING GET Fund — Series R | NII | $ | 0.3545 | |||||
STCG | $ | 0.0224 | ||||||
LTCG | $ | 0.2410 | ||||||
ING GET Fund — Series S | NII | $ | 0.2652 | |||||
STCG | $ | 0.0215 | ||||||
LTCG | $ | 0.2800 | ||||||
ING GET Fund — Series T | NII | $ | 0.2781 | |||||
STCG | $ | 0.0464 | ||||||
LTCG | $ | 0.3021 | ||||||
ING GET Fund — Series U | NII | $ | 0.2313 | |||||
STCG | $ | 0.1949 | ||||||
LTCG | $ | 0.3597 | ||||||
ING GET Fund — Series V | NII | $ | 0.1966 |
NII — Net investment income
Of the ordinary distributions made during the year ended December 31, 2005, the following percentages qualify for the dividends received deduction (DRD) available to corporate shareholders:
ING GET Fund — Series L | 2.70 | % | ||
ING GET Fund — Series M | 3.80 | % | ||
ING GET Fund — Series N | 8.40 | % | ||
ING GET Fund — Series P | 7.14 | % | ||
ING GET Fund — Series Q | 10.44 | % | ||
ING GET Fund — Series R | 15.62 | % | ||
ING GET Fund — Series S | 20.50 | % | ||
ING GET Fund — Series T | 18.31 | % | ||
ING GET Fund — Series U | 18.60 | % | ||
ING GET Fund — Series V | 20.91 | % |
Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. generally accepted accounting principles (book) purposes and Internal Revenue Service (tax) purposes.
Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Funds. In January, shareholders, excluding corporate shareholders, receive an IRS 1099-DIV regarding the federal tax status of the dividends and distributions they received in the calendar year.
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The business and affairs of the Series are managed under the direction of the Funds’ Board of Trustees. A trustee who is not an interested person of the Series, as defined in the 1940 Act, is an independent trustee (“Non-Interested Trustee”). The Trustees of the Series are listed below. The Statement of Additional Information includes additional information about Trustees of the Registrant and is available, without charge, upon request at 1-800-992-0180.
Principal | ||||||
Position(s) | Term of Office | Occupation(s) | ||||
held with | and Length of | during the Past | ||||
Name, Address and Age | the Trust | Time Served(1) | Five Years | |||
Non-Interested Directors: | ||||||
Albert E. DePrince, Jr. 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 64 | Trustee | June 1998 — Present | Professor of Economics and Finance, Middle Tennessee State University (August 1991 — Present) and Director, Business and Economic Research Center (August 1999 — August 2002). | |||
Maria Teresa Fighetti 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 62 | Trustee | April 1994 — Present | Retired. Formerly, Attorney, New York City Department of Mental Health (June 1973 — October 2002) and Associate Commissioner (1995 — 2002). | |||
Sidney Koch 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 70 | Trustee | April 1994 — Present | Self-Employed Consultant (January 1993 — Present). | |||
Dr. Corine T. Norgaard 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 68 | Trustee | June 1991 — Present | President, Thompson Enterprises (October 2004 — Present). Formerly, Dean, Barney School of Business, University of Hartford (August 1996 — June 2004). | |||
Edward T. O’Dell 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 70 | Trustee | June 2002 — Present | Retired. Formerly, Partner of Goodwin Proctor LLP (June 1966 — September 2000). | |||
Joseph E. Obermeyer 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 48 | Trustee | January 2003 — Present | President, Obermeyer & Associates, Inc. (November 1999 — Present). |
[Additional columns below]
[Continued from above table, first column(s) repeated]
Number of | ||||
Portfolios | ||||
in Fund | ||||
Complex | ||||
Overseen | Other Directorships | |||
Name, Address and Age | by Trustee | held by Trustee | ||
Non-Interested Directors: | ||||
Albert E. DePrince, Jr. 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 64 | 40 | President-Elect, Academy of Economics and Finance (February 2005 — Present). | ||
Maria Teresa Fighetti 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 62 | 40 | None | ||
Sidney Koch 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 70 | 40 | Northwest Center for the Arts, Torrington, CT. | ||
Dr. Corine T. Norgaard 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 68 | 40 | Mass Mutual Corporate and Participation Investors (April 1997 — Present); Advest Trust Company (1998 — Present); and Connecticut Health Foundation (2002 — Present). | ||
Edward T. O’Dell 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 70 | 40 | None | ||
Joseph E. Obermeyer 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 48 | 40 | None |
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Principal | ||||||
Position(s) | Term of Office | Occupation(s) | ||||
held with | and Length of | during the Past | ||||
Name, Address and Age | the Trust | Time Served(1) | Five Years | |||
Directors who are “Interested Persons” | ||||||
J. Scott Fox(2) 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 50 | Trustee | December 1997 — Present | Vice Chairman and Chief Operating Officer, ING Investment Management, LLC (September 2002 — Present); President and Chief Executive Officer (April 2001 — Present). Formerly, Managing Director and Chief Operating Officer, ING Investment Management Co. (April 1994 — April 2001). | |||
Thomas J. McInerney(3) 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 49 | Trustee | April 2002 — Present | Chief Executive Officer, ING U.S. Financial Services (January 2005 — Present); General Manager and Chief Executive Officer, U.S. Financial Services (December 2003 — December 2004); Chief Executive Officer, ING U.S. Financial Services (September 2001 — December 2003); and General Manager and Chief Executive Officer, U.S. Worksite Financial Services (December 2000 — September 2001). |
[Additional columns below]
[Continued from above table, first column(s) repeated]
Number of | ||||
Portfolios | ||||
in Fund | ||||
Complex | ||||
Overseen | Other Directorships | |||
Name, Address and Age | by Trustee | held by Trustee | ||
Directors who are “Interested Persons” | ||||
J. Scott Fox(2) 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 50 | 40 | The Greater Hartford Arts Council (July 2002 — Present). | ||
Thomas J. McInerney(3) 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 49 | 212 | Equitable Life Insurance Co., Golden American Life Insurance Co., Life Insurance Company of Georgia, Midwestern United Life Insurance Co., RealiaStar Life Insurance Co., Security Life of Denver, Security Connecticut Life Insurance Co., Southland Life Insurance Co., USG Annuity and Life Company, and United Life and Annuity Insurance Co., Inc.; Ameribest Life Insurance Co.; First Columbine Life Insurance Co.; and Metro Atlanta Chamber of Commerce (January 2003 — Present). |
(1) | Trustees serve until their successors are duly elected and qualified, subject to the Board’s retirement policy. |
(2) | Mr. Fox is an “interested person,” as defined under the 1940 Act, because of his relationship with ING Investment Management Co., an affiliate of ING Investments. |
(3) | Mr. McInerney is an “interested person,” as defined under the 1940 Act, because of his affiliation with ING Groep N.V., the parent corporation of the Investment Manager, ING Investments, LLC and the Distributor, ING Funds Distributor, LLC. |
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Term of Office | ||||||
Position(s) Held | and Length of | Principal Occupation(s) | ||||
Name, Address and Age | with the Trust | Time Served(1) | during the Past Five Years | |||
James M. Hennessy 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 56 | President, Chief Executive Officer and Chief Operating Officer | March 2002 — Present | President, Chief Executive Officer and Chief Operating Officer, ING Investments, LLC (December 2000 — Present). Formerly, Senior Executive Vice President and Chief Operating Officer, ING Investments, LLC (April 1995 — December 2000). | |||
Michael J. Roland 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 47 | Executive Vice President | April 2002 — Present | Executive Vice President (December 2001 — Present) and Formerly Chief Compliance Officer, ING Investments LLC (October 2004 — December 2005), ING Investments, LLC. Formerly, Chief Financial Officer and Treasurer, ING Investments, LLC (December 2001 — March 2005) and Senior Vice President, ING Investments, LLC (June 1998 — December 2001). | |||
Stanley D. Vyner 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 55 | Executive Vice President | March 2002 — Present | Executive Vice President (July 2000 — Present) and Chief Investment Risk Officer ING Investments, LLC (January 2003 — Present); Formerly, Chief Investment Officer of the International Portfolios, ING Investments, LLC (August 2000 — January 2003). | |||
Joseph M. O’Donnell 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 51 | Chief Compliance Officer | November 2004 — Present | Chief Compliance Officer of the ING Funds (November 2004 — Present) and ING Investment LLC and Directed Services, Inc. (January 2006 — Present). Formerly, Vice President, Chief Legal Counsel, Chief Compliance Officer and Secretary of Atlas Securities, Inc., Atlas Advisers, Inc. and Atlas Funds (October 2001 — October 2004); and Chief Operating Officer and General Counsel of Matthews International Capital Management LLC and Vice President and Secretary of Matthews International Funds (August 1999 — May 2001). | |||
Todd Modic 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 38 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005 — Present | Senior Vice President and Assistant Secretary, ING Funds Services, LLC (April 2005 — Present). Formerly, Vice President, ING Funds Services, LLC (September 2002 — March 2005); Director of Financial Reporting, ING Investments, LLC (March 2001 — September 2002) and Director of Financial Reporting, Axient Communications, Inc. (May 2000 — January 2001). | |||
Robert S. Naka 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 42 | Senior Vice President and Assistant Secretary | March 2002 — Present | Senior Vice President (August 1999 — Present) and Assistant Secretary (October 2001 — Present) ING Funds Services, LLC. | |||
Kimberly A. Anderson 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 41 | Senior Vice President | December 2003 — Present | Senior Vice President, ING Investments, LLC (October 2003 — Present). Formerly, Vice President and Assistant Secretary, ING Investments, LLC (January 2001 — October 2003) and Assistant Vice President, ING Funds Services, LLC (November 1999 — January 2001). |
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Term of Office | ||||||
Position(s) Held | and Length of | Principal Occupation(s) | ||||
Name, Address and Age | with the Trust | Time Served(1) | during the Past Five Years | |||
Robyn L. Ichilov 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 38 | Vice President and Treasurer | March 2002 — Present | Vice President and Treasurer, ING Funds Services, LLC (October 2001 — Present) and ING Investments, LLC (August 1997 — Present). | |||
Lauren D. Bensinger 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 51 | Vice President | March 2003 — Present | Vice President and Chief Compliance Officer, ING Funds Distributor, LLC (July 1995 — Present) and Vice President ING Investments, LLC (February 2003 — Present). Formerly, Chief Compliance Officer, ING Investments, LLC (October 2001 — October 2004). | |||
Maria M. Anderson 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 47 | Vice President | September 2004 — Present | Vice President, ING Funds Services, LLC (September 2004 — Present). Formerly, Assistant Vice President, ING Funds Services, LLC (October 2001 — September 2004) and Manager of Fund Accounting and Fund Compliance, ING Investments, LLC (September 1999 — October 2001). | |||
Mary A. Gaston 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 39 | Vice President | March 2005 — Present | Vice President, ING Funds Services, LLC (April 2005 — Present). Formerly, Assistant Vice President, Financial Reporting, ING Investments, LLC (April 2004 — April 2005); Manager, Financial Reporting, ING Investments, LLC (August 2002 — April 2004); and Controller, Z Seven Fund, Inc. and Ziskin Asset Management, Inc. (January 2000 — March 2002). | |||
Susan P. Kinens 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 28 | Assistant Vice President | March 2003 — Present | Assistant Vice President, ING Funds Services, LLC (December 2002 — Present); and has held various other positions with ING Funds Services, LLC for more than the last five years. | |||
Kimberly K. Palmer 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 48 | Assistant Vice President | September 2004 — Present | Assistant Vice President, ING Funds Services, LLC (August 2004 — Present). Formerly, Manager, Registration Statements, ING Funds Services, LLC (May 2003 — August 2004); Associate Partner, AMVESCAP PL (October 2000 — May 2003) and Director of Federal Filings and Blue Sky Filings, INVESCO Funds Group, Inc. (March 1994 — May 2003). | |||
Theresa K. Kelety 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 42 | Secretary | September 2003 — Present | Counsel, ING Americas, U.S. Legal Services (April 2003 — Present). Formerly, Senior Associate with Shearman & Sterling (February 2000 — April 2003). | |||
Huey P. Falgout, Jr. 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 41 | Assistant Secretary | September 2003 — Present | Chief Counsel, ING Americas, U.S. Legal Services (September 2003 — Present). Formerly, Counsel, ING Americas, U.S. Legal Services (November 2002 — September 2003); and Associate General Counsel of AIG American General (January 1999 — November 2002). |
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Term of Office | ||||||
Position(s) Held | and Length of | Principal Occupation(s) | ||||
Name, Address and Age | with the Trust | Time Served(1) | during the Past Five Years | |||
Robin R. Nesbitt 7337 E. Doubletree Ranch Rd. Scottsdale, Arizona 85258 Age: 32 | Assistant Secretary | September 2004 — Present | Supervisor, Board Operations, ING Funds Services, LLC (August 2003 — Present). Formerly, Senior Legal Analyst, ING Funds Services, LLC (August 2002 — August 2003); Associate, PricewaterhouseCoopers (January 2001 — August 2001); and Paralegal, McManis, Faulkner & Morgan (May 2000 — December 2000). |
(1) | The officers hold office until the next annual meeting of the Trustees and until their successors have been elected and qualified. |
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The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement and sub-advisory agreement for a Fund will terminate automatically after the initial term of the agreement (which term may not exceed two years), unless continuation of the agreement is approved annually by the Board of Trustees (the “Board”) of the Fund, including a majority of the Trustees who have no direct or indirect interest in the agreement and who are not “interested persons” of the Fund (the “Independent Trustees”). Consistent with this requirement of the 1940 Act, the Board has established a process for considering on an annual basis approval of the continuation of the Investment Management Agreement for each Fund (the “Advisory Agreement”) with ING Investments, LLC (the “Adviser”) and the sub-advisory agreement for each Fund (collectively, the “Sub-Advisory Agreements”) with each sub-adviser of the Funds (the “Sub-Advisers”). Set forth below is a description of the process followed by the Board in considering approval of the continuation of each Advisory and Sub-Advisory Agreement (collectively, the “Agreements”), together with an explanation of many of the factors considered and related conclusions reached by the Board in voting to approve the continuation of each Agreement for an additional one-year period commencing January 1, 2006.
Overview of the Review Process
At a meeting of the Board held on December 14, 2005, the Board, including all of the Independent Trustees, voted to approve continuation of each of the existing Advisory and Sub-Advisory Agreements for the Funds. Prior to voting such approvals, the Board received the affirmative recommendation of the Contracts Committee of the Board, which is a Committee of the Board comprised of all of the Independent Trustees and exclusively of the Independent Trustees. The Contracts Committee recommended approval of the Advisory and Sub-Advisory Agreements after completing an extensive review of information requested by the Committee from the Adviser and each Sub-Adviser, including the following: (1) comparative performance data for each Fund for various time periods; (2) comparative data regarding management fees, including data regarding the fees charged by the Adviser and Sub-Advisers for managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing the Funds; (3) comparative data regarding the total expenses of each Fund; (4) copies of each form of Advisory Agreement and Sub-Advisory Agreement; (5) copies of the codes of ethics of the Adviser and each Sub-Adviser, together with information relating to the manner in which each code is administered; (6) financial statements of the Adviser and each Sub-Adviser; (7) profitability analyses for the Adviser and each Sub-Adviser with respect to each Fund, and all Funds as a group; (8) descriptions of the qualifications of the investment personnel responsible for managing each Fund, their compensation and their responsibilities with respect to managing other accounts or mutual funds; (9) descriptions of the services provided to the Funds, including the investment strategies and techniques used by each Sub-Adviser in managing the Funds; (10) data relating to portfolio turnover and brokerage practices, including practices with respect to the acquisition of research through “soft dollar” benefits received in connection with the Funds’ brokerage; (11) data comparing the performance of certain Funds against “static portfolios” of the Funds over various time periods; (12) descriptions of the business continuity and disaster recovery plans of the Adviser and each Sub-Adviser; (13) descriptions of various compliance programs of the Adviser and Sub-Advisers, including the Adviser’s programs for monitoring and enforcing compliance with the Funds’ policies with respect to market-timing, late trading and selective portfolio disclosure; and (14) other information relevant to an evaluation of the nature, extent and quality of the services provided by the Adviser and each Sub-Adviser in response to a series of detailed questions presented by independent legal counsel on behalf of the Independent Trustees.
The Contracts Committee began the formal review process in July 2005 when it met separately with independent legal counsel to review the information to be requested from management and the methodology to be used in determining the selected peer groups for comparing performance and expenses. The Contracts Committee then held meetings on November 1 and 2, 2005 and December 13, 2005, during which the Independent Trustees, meeting separately with independent legal counsel, reviewed and evaluated the information described above. As part of the review process, the Contracts Committee also met with representatives from the Adviser and the Sub-Advisers to discuss the information provided to the Committee. The Contracts Committee also considered information
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that had been provided by the Adviser and Sub-Advisers throughout the year at other meetings of the Contracts Committee, the Audit Committee, the Compliance Committee and the Board.
The Independent Trustees were assisted by Goodwin Procter LLP, their independent legal counsel, throughout the contract review process. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each Advisory and Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Independent Trustees were based on a comprehensive evaluation of all of the information provided and was not the result of any one factor. Moreover, each Independent Trustee may have afforded different weight to the various factors in reaching his or her conclusions with respect to each Advisory and Sub-Advisory Agreement.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory and Sub-Advisory Agreements for the Funds for the year commencing January 1, 2006, the Board evaluated the nature, extent and quality of services provided to the Funds by the Adviser and Sub-Advisers. The Board considered the investment management and related services provided by the Adviser and Sub-Advisers, including the quantity and quality of the resources available to provide such services. Among other things, the Board considered the qualifications of the individuals responsible for performing various investment related services. With respect to Funds sub-advised by an affiliate of the Adviser, the Board also received information regarding the compensation paid by the Sub-Adviser to attract and retain individuals to perform these services on both an absolute basis and relative to amounts paid by others in the investment management industry.
The Board also considered the quality of the compliance programs of the Adviser and each Sub-Adviser, including the manner in which the Adviser and each Sub-Adviser monitor for compliance with the investment policies and restrictions of a Fund, the Codes of Ethics of the Adviser and Sub-Advisers with respect to personal trading by employees with access to portfolio information, and other compliance related matters. The Board also considered the actions taken by the Adviser and Sub-Advisers to establish and maintain effective disaster recovery and business continuity plans.
The Board considered the actions taken by the Adviser and its affiliated companies to administer the Funds’ policies and procedures for voting proxies, valuing the Funds’ assets, selective disclosure of portfolio holdings and preventing late-trading and frequent trading of Fund shares. With respect to these and related compliance matters, the Board also considered the responsiveness of the Adviser and its affiliated companies over the course of the past several years to the inquiries of various regulatory authorities, including the Securities and Exchange Commission and the National Association of Securities Dealers, Inc.
The Board also took into account the efforts of the Adviser and its affiliated companies to reduce the expenses of the Funds, including fees and expenses for transfer agency, custody and audit services. With respect to those Funds that are sub-advised by an affiliate of the Adviser, the Board specifically noted that the Adviser and its affiliated companies have significantly reduced the Funds’ brokerage costs and portfolio turnover rates, as well as the quantity of research acquired through the use of soft dollars from the Funds’ brokerage. The Board also noted the efforts of the Adviser to optimize the number of Funds in the ING complex of mutual funds and to standardize the asset management characteristics and policies across the ING mutual fund platform. Consideration was also given to the benefits that shareholders of the Funds realize because the Funds are part of a larger ING family of mutual funds, including, in most cases, the ability of shareholders to exchange or transfer investments within the same class of shares among a wide variety of mutual funds without incurring additional sales charges.
The Board concluded that the nature, extent and quality of advisory and related services provided by the Adviser and each of the Sub-Advisers, taken as a whole, are consistent with the terms of the respective Advisory and Sub-Advisory Agreements and justify the fees paid by the Funds for such services.
Fund Performance
The Board reviewed each Fund’s investment performance over various time periods on an absolute basis and relative to the performance of (i) one or more appropriate benchmark indexes (such as the S&P 500 Composite Stock Price Index), (ii) a group of similarly managed mutual funds identified by Lipper,
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Inc. and/or Morningstar, Inc., and (iii) similarly managed mutual funds within a specified peer group determined based upon a methodology approved by the Contracts Committee (each, a “Selected Peer Group”). The Board reviewed comparative performance data for the one-, three-, five-, and ten-year periods, where applicable, ending June 30, 2005 and September 30, 2005. Summaries of selected portions of the performance information reviewed by the Board, together with the Board’s conclusions regarding the performance of each Fund, is set forth below under “Fund-by-Fund Analysis.”
Management Fees, Sub-Advisory Fees and Expenses
Consideration was given to the contractual investment advisory fee rates, inclusive of administrative fee rates, payable by the Funds to the Adviser and its affiliated companies (referred to collectively as “management fees”) and the contractual sub-advisory fee rates payable by the Adviser to each Sub-Adviser for sub-advisory services. As part of its review, the Board considered each Fund’s management fee and total expense ratio, as compared to its Selected Peer Group, both before and after giving effect to any undertaking by the Adviser to waive fees and/or limit the total expenses of a Fund. In addition, the Trustees received information regarding the fees charged by each Sub-Adviser to similarly-managed institutional accounts and other mutual funds, if any, and the comparability (or lack thereof) of the services provided by the Sub-Adviser in managing such accounts and other mutual funds to the services provided in managing the Funds. With respect to the Funds sub-advised by an affiliate of the Adviser, the Board evaluated the reasonableness of the fees payable under the Advisory and Sub-Advisory Agreements as a whole. With respect to the Funds sub-advised by Sub-Advisers that are not affiliated with the Adviser, the Board considered the reasonableness of the fees payable to the Sub-Advisers by the Adviser in light of the ability of the Adviser to negotiate such fees on an arms-length basis. Summaries of selected portions of the fee and expense information reviewed are set forth below under “Fund-by-Fund Analysis.” After reviewing the foregoing information, and in light of the nature extent and quality of the services provided by the Adviser and each Sub-Adviser, the Board concluded with respect to each Fund that the management fee charged to the Fund for advisory, sub-advisory and related services is fair and reasonable and that the total expense ratio of the Fund is reasonable.
Profitability
The Board considered information relating to revenues, expenses, and profits realized by the Adviser and each Sub-Adviser attributable to performing advisory, sub-advisory and administrative services for the Funds. With respect to Funds sub-advised by an unaffiliated Sub-Adviser, the Board did not consider the profitability of the Sub-Adviser to be a material factor because the Board believes that the Adviser negotiates sub-advisory fees with the unaffiliated Sub-Adviser on an arms-length basis. The Board reviewed profitability data for the Adviser and its affiliated companies, including the distributor of the Funds, relating to (i) each Fund separately, (ii) all Funds as a group, (iii) all “retail” Funds as a group, and (iv) all variable insurance product Funds as a group, in each case for the one-year periods ended December 31, 2004 and December 31, 2003, the nine-month period ended September 30, 2005 and the six-month period ended June 30, 2005. With respect to the Adviser and its affiliated companies, such information was prepared in accordance with a methodology approved by the Contracts Committee. The Board considered the profitability of the Adviser and its affiliated companies attributable to managing and operating each Fund both with and without the profitability of the distributor of the Funds and both before and after giving effect to any expenses incurred by the Adviser or any affiliated company in making revenue sharing or other payments to third parties, including affiliated insurance companies, for distribution and administrative services. With respect to Funds sub-advised by an affiliate of the Adviser, the Board considered the profitability of the Adviser and the Sub-Adviser attributable to managing and operating each Fund as a whole. The Board also considered other direct or indirect benefits that the Adviser and Sub-Advisers, and any affiliated companies thereof, derive from their relationships with the Funds, including the receipt by ING U.S. Financial Services, an affiliate of the Adviser, of fees relating to the offering of bundled financial products, such as annuity contracts, and the receipt by Sub-Advisers of “soft dollar” benefits from the Funds’ brokerage. The Board concluded that, in light of the nature, extent and quality of the services provided, the profits realized by the Adviser and its affiliated companies, taken as a whole, with respect to
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providing advisory, sub-advisory and administrative services for each Fund are reasonable.
Economies of Scale
In considering the reasonableness of the management fee of each Fund, the Board considered the extent to which economies of scale can be expected to be realized by a Fund’s Adviser and its affiliated companies, on the one hand, and by the Fund, on the other hand, as the assets of the Fund increase. The Board noted that the advisory fee for certain Funds includes breakpoints such that, as the assets of the Fund increase, the Fund’s management fee will decrease, as a percentage of the Fund’s total assets. The Board recognized the inherent difficulties in measuring precisely the impact of any economies of scale being realized by the Adviser and its affiliated companies with respect to their management of any one or more Funds. In an effort to determine the extent to which economies of scale, if any, will be realized by the Adviser and its affiliated companies as the assets of the Funds grow, the Board considered the profitability data described above relating to the Adviser and its affiliated companies in light of changes in the assets of the Funds over various time periods. The Board noted that the total assets under management of many Funds have decreased during the past several years and concluded that the economies of scale realized by the Adviser and its affiliated companies from managing the Funds have not increased with respect to such Funds. The Board also reviewed information regarding the expense ratio of each Fund in light of changes in the assets of the Funds over various time periods, noting that, as the assets of a Fund increase, the fixed expenses of the Fund, as a percentage of the total assets of the Fund, can be expected to decrease. The Board considered such expense information in light of projections provided by the Adviser with respect to the future growth of assets of the Funds. Based upon the foregoing, the Board concluded that the economies of scale being realized by the Adviser and its affiliated companies do not mandate the implementation of breakpoints or additional breakpoints, as the case may be, with respect to any Fund at this time.
Fund-by-Fund Analysis
In deciding to approve the continuation of each Advisory and Sub-Advisory Agreement for an additional one-year period beginning January 1, 2006, the Board took into account the specific data and factors identified below relating to the performance, fees and expenses of each Fund and actions being taken by the Adviser or Sub-Adviser, as the case may be, with respect to these matters. Except as otherwise indicated, the performance data described below for each Fund is for periods ended September 30, 2005 and the management fees and expense data described below are as of June 30, 2005.
ING GET Fund — Series L
In evaluating the investment performance of ING GET Fund — Series L, the Board noted that: (1) the Fund’s fixed-income component outperformed its fixed income benchmark for the all periods presented; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its equity benchmark, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series L, the Board noted that the management fee for the Fund is above the median and the average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 55 basis points.
ING GET Fund — Series M
In evaluating the investment performance of ING GET Fund — Series M, the Board noted that: (1) the Fund’s fixed-income component outperformed its fixed-income benchmark for the all periods presented; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its equity benchmark, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series M, the Board noted that the management fee for the
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Fund is above the median and the average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 55 basis points.
ING GET Fund — Series N
In evaluating the investment performance of ING GET Fund — Series N, the Board noted that: (1) the Fund’s fixed-income component outperformed its fixed-income benchmark for the most recent calendar quarter and three-year periods, but underperformed for the year-to-date and one-year periods; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its equity benchmark, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series N, the Board noted that the management fee for the Fund is above the median and the average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 55 basis points.
ING GET Fund — Series P
In evaluating the investment performance of ING GET Fund — Series P, the Board noted that: (1) the Fund’s fixed-income component outperformed its fixed-income benchmark for the most recent calendar quarter and three-year periods, but underperformed for the year-to-date and one-year periods; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its equity benchmark, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series P, the Board noted that the management fee for the Fund is below the median and the average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 80 basis points.
ING GET Fund — Series Q
In evaluating the investment performance of ING GET Fund — Series Q, the Board noted that: (1) the Fund’s fixed-income component underperformed its fixed-income benchmark for all periods presented except outperformed for the three-year period; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its benchmarks, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series Q, the Board reviewed comparative information provided by the Adviser and noted that the management fee for the Fund is below the median and the average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 80 basis points.
ING GET Fund — Series R
In evaluating the investment performance of ING GET Fund — Series R, the Board noted that: (1) the Fund’s fixed-income component underperformed its fixed-income benchmark for all periods presented; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented, except it outperformed for the year-to-date period. The Board
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further noted that, although the Fund has generally underperformed its benchmarks, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series R, the Board reviewed comparative information provided by the Adviser and noted that the management fee (inclusive of the administration fee) for the Fund is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 80 basis points.
ING GET Fund — Series S
In evaluating the investment performance of ING GET Fund — Series S, the Board noted that: (1) the Fund’s fixed-income component underperformed its fixed-income benchmark for all periods presented except outperformed for the one-year period; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its benchmarks, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series S, the Board noted that the management fee for the Fund is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 80 basis points.
ING GET Fund — Series T
In evaluating the investment performance of ING GET Fund — Series T, the Board noted that: (1) the Fund’s fixed-income component underperformed its fixed income benchmark for all periods presented; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its benchmarks, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series T, the Board noted that the management fee for the Fund is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 80 basis points.
ING GET Fund — Series U
In evaluating the investment performance of ING GET Fund — Series U, the Board noted that: (1) the Fund’s fixed-income component underperformed its fixed income benchmark for all periods presented; and (2) the Fund’s equity component underperformed its equity benchmark for all periods presented. The Board further noted that, although the Fund has generally underperformed its benchmarks, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee and expense ratio for ING GET Fund — Series U, the Board noted that the management fee for the Fund is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is significantly below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses of the Fund to 80 basis points.
ING GET Fund — Series V
In evaluating the investment performance of ING GET Fund — Series V, the Board noted that: (1) the Fund’s fixed-income component underperformed its fixed-
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income benchmark for all periods presented; and (2) the Fund’s equity component outperformed its equity benchmark for the year-to-date and one-year periods, but underperformed for the most recent calendar quarter. The Board further noted that, although the Fund has at times underperformed its benchmarks, the Fund is successfully pursuing its investment objective of meeting the guarantee of principal for its shareholders during the Guarantee Period.
In assessing the reasonableness of the management fee for ING GET Fund — Series V, the Board reviewed comparative information provided by the Adviser and noted that the management fee (inclusive of the administration fee) for the Fund is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Fund is significantly below the median and the average expense ratios of the funds in its Selected Peer Group. The Board also considered the fact that, at the request of the Board, the Adviser has agreed to waive fees or otherwise pay expenses of the Fund to limit the total expenses the Fund to 80 basis points.
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Administrator
Transfer Agent
Custodian
Legal Counsel
Independent Registered Public Accounting Firm
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
VPAR-AGET (1205-022306) |
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(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP (“KPMG”), the principal accountant for the audit of the registrant’s annual financial statements, for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $146,550 for year ended December 31, 2005 and $191,250 for year ended December 31, 2004. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by KPMG that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $22,800 for year ended December 31, 2005 and $0 for year ended December 31, 2004. |
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by KPMG for tax compliance, tax advice, and tax planning were $56,695 in the year ended December 31, 2005 and $97,737 in the year ended December 31, 2004. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by KPMG, other than the services reported in paragraphs (a) through (c) of this Item. | |
None |
(e) | (1) Audit Committee Pre-Approval Policies and Procedures |
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PRE-APPROVAL POLICY
I. | Statement of Principles |
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II. | Audit Services |
III. | Audit-related Services |
IV. | Tax Services |
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V. | Other Services |
VI. | Pre-approval of Fee levels and Budgeted Amounts |
VII. | Procedures |
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VIII. | Delegation |
IX. | Additional Requirements |
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Service | ||||
The Fund(s) | Fee Range | |||
Statutory audits or financial audits (including tax services associated with audit services) | ü | As presented to Audit Committee1 | ||
Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters. | ü | Not to exceed $9,300 per filing | ||
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. | ü | Not to exceed $8,000 during the Pre-Approval Period |
1 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in KPMG’s Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
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Service | ||||||
The Fund(s) | Fund Affiliates | Fee Range | ||||
Services related to Fund mergers (Excluding tax services — See Appendix C for tax services associated with fund mergers) | ü | ü | Not to exceed $10,000 per merger | |||
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. [Note: Under SEC rules some consultations may be “audit” services and others may be “audit-related” services.] | ü | Not to exceed $5,000 per occurrence during the Pre-Approval Period | ||||
Review of the Funds’ semi-annual financial statements | ü | Not to exceed $2,100 per set of financial statements per fund | ||||
Reports to regulatory or government agencies related to the annual engagement | ü | Up to $5,000 per occurrence during the Pre-Approval Period | ||||
Regulatory compliance assistance | ü | ü | Not to exceed $5,000 per quarter | |||
Training courses | ü | ü | Not to exceed $2,000 per course | |||
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Service | ||||||
The Fund(s) | Fund Affiliates | Fee Range | ||||
Preparation of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions. | ü | As presented to Audit Committee2 | ||||
Review of IRC Sections 851(b) and 817(h) diversification testing on a real-time basis | ü | As presented to Audit Committee2 | ||||
Assistance and advice regarding year-end reporting for 1099’s | ü | As presented to Audit Committee2 | ||||
Tax assistance and advice regarding statutory, regulatory or administrative developments | ü | ü | Not to exceed $5,000 in aggregate for the Funds or for the Funds’ investment adviser during the Pre-Approval Period | |||
Tax training courses | ü | ü | Not to exceed $2,000 per course during the Pre-Approval Period | |||
Loan Staff Services | ü | Not to exceed $15,000 during the Pre-Approval Period |
2 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, as provided in KPMG’s Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
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Service | ||||||
The Fund(s) | Fund Affiliates | Fee Range | ||||
Tax services associated with Fund mergers | ü | ü | Not to exceed $4,000 per fund per merger during the Pre-Approval Period | |||
Other tax-related assistance and consultation, including, without limitation, assistance in evaluating derivative financial instruments and international tax issues, qualification and distribution issues, and similar routine tax consultations | ü | Not to exceed $50,000 during the Pre-Approval Period |
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Service | ||||||
The Fund(s) | Fund Affiliates | Fee Range | ||||
Agreed-upon procedures for Class B share 12b-1 programs | ü | Not to exceed $50,000 during the Pre-Approval Period | ||||
Security counts performed pursuant to Rule 17f-2 of the 1940 Act (i.e., counts for Funds holding securities with affiliated sub-custodians) | ü | Not to exceed $5,000 per Fund during the Pre-Approval Period |
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Dated: 2006
• | Bookkeeping or other services related to the accounting records or financial statements of the Funds | ||
• | Financial information systems design and implementation | ||
• | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports | ||
• | Actuarial services | ||
• | Internal audit outsourcing services | ||
• | Management functions | ||
• | Human resources | ||
• | Broker-dealer, investment adviser, or investment banking services | ||
• | Legal services | ||
• | Expert services unrelated to the audit | ||
• | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible |
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(e) | (2) Percentage of services referred to in 4(b) — (4)(d) that were approved by the audit committee | |
100% of the services were approved by the audit committee. |
(f) | Percentage of hours expended attributable to work performed by other than full time employees of KPMG if greater than 50%. | |
Not applicable. |
(g) | Non-Audit Fees: The non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $333,334 for year ended December 31, 2005 and $525,067 for year ended December 31, 2004. |
(h) | Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining KPMG’s independence. |
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(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. | |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. | ||
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. | ||
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT | |
(3) | Not applicable. |
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'
(Registrant): ING GET Fund | ||||
By | /s/ James M. Hennessy | |||
James M. Hennessy | ||||
President and Chief Executive Officer | ||||
Date: | March 10, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By | /s/ James M. Hennessy | |||
James M. Hennessy | ||||
President and Chief Executive Officer | ||||
Date: | March 10, 2006 | |||
By | /s/ Todd Modic | |||
Todd Modic | ||||
Senior Vice President and Chief Financial Officer | ||||
Date: | March 10, 2006 | |||
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