Security | Shares | Value | ||||||
Aerospace & Defense 2.9%
|
||||||||
Boeing Co. (The)
|
26,422 | $ | 1,598,795 | |||||
Honeywell International, Inc.
|
55,258 | 2,426,379 | ||||||
Huntington Ingalls Industries,
Inc.(1)
|
3,600 | 87,588 | ||||||
Northrop Grumman Corp.
|
21,600 | 1,126,656 | ||||||
Rockwell Collins, Inc.
|
16,000 | 844,160 | ||||||
Textron, Inc.
|
11,648 | 205,471 | ||||||
United Technologies Corp.
|
44,353 | 3,120,677 | ||||||
$ | 9,409,726 | |||||||
Air Freight & Logistics 1.3%
|
||||||||
CH Robinson Worldwide, Inc.
|
15,365 | $ | 1,052,042 | |||||
Expeditors International of Washington, Inc.
|
21,522 | 872,717 | ||||||
United Parcel Service, Inc., Class B
|
36,126 | 2,281,357 | ||||||
$ | 4,206,116 | |||||||
Airlines 0.1%
|
||||||||
Southwest Airlines Co.
|
36,616 | $ | 294,393 | |||||
$ | 294,393 | |||||||
Auto Components 0.6%
|
||||||||
Dana Holding
Corp.(1)
|
31,658 | $ | 332,409 | |||||
Goodyear Tire & Rubber Co.
(The)(1)
|
13,476 | 135,973 | ||||||
Johnson Controls, Inc.
|
37,662 | 993,147 | ||||||
Lear Corp.
|
8,572 | 367,739 | ||||||
$ | 1,829,268 | |||||||
Automobiles 0.2%
|
||||||||
Ford Motor
Co.(1)
|
83,365 | $ | 806,140 | |||||
$ | 806,140 | |||||||
Beverages 2.9%
|
||||||||
Coca-Cola
Co. (The)
|
86,673 | $ | 5,855,628 | |||||
PepsiCo, Inc.
|
55,700 | 3,447,830 | ||||||
$ | 9,303,458 | |||||||
Biotechnology 1.4%
|
||||||||
Amgen, Inc.
|
32,247 | $ | 1,771,973 | |||||
Celgene
Corp.(1)
|
32,350 | 2,003,112 | ||||||
Gilead Sciences,
Inc.(1)
|
21,919 | 850,457 | ||||||
$ | 4,625,542 | |||||||
Capital Markets 1.4%
|
||||||||
Greenhill & Co., Inc.
|
14,014 | $ | 400,660 | |||||
Invesco, Ltd.
|
38,480 | 596,825 | ||||||
Legg Mason, Inc.
|
18,049 | 464,040 | ||||||
Morgan Stanley
|
71,870 | 970,245 | ||||||
State Street Corp.
|
27,413 | 881,602 | ||||||
T. Rowe Price Group, Inc.
|
28,399 | 1,356,620 | ||||||
$ | 4,669,992 | |||||||
Chemicals 1.3%
|
||||||||
Dow Chemical Co. (The)
|
40,267 | $ | 904,397 | |||||
E.I. Du Pont de Nemours & Co.
|
51,275 | 2,049,462 |
Security | Shares | Value | ||||||
Eastman Chemical Co.
|
1,804 | $ | 123,628 | |||||
Sherwin-Williams Co. (The)
|
13,337 | 991,206 | ||||||
$ | 4,068,693 | |||||||
Commercial Banks 3.1%
|
||||||||
Banco Bilbao Vizcaya Argentaria SA ADR
|
36,793 | $ | 299,127 | |||||
Bank of Montreal
|
4,957 | 276,848 | ||||||
Fifth Third Bancorp
|
91,535 | 924,504 | ||||||
First Horizon National Corp.
|
16,952 | 101,034 | ||||||
KeyCorp
|
25,580 | 151,689 | ||||||
M&T Bank Corp.
|
12,600 | 880,740 | ||||||
PNC Financial Services Group, Inc.
|
14,634 | 705,213 | ||||||
Royal Bank of Scotland Group PLC
ADR(1)
|
8,242 | 58,765 | ||||||
U.S. Bancorp
|
53,344 | 1,255,718 | ||||||
Wells Fargo & Co.
|
219,413 | 5,292,242 | ||||||
$ | 9,945,880 | |||||||
Commercial Services & Supplies 0.6%
|
||||||||
Avery Dennison Corp.
|
15,307 | $ | 383,900 | |||||
RR Donnelley & Sons Co.
|
10,000 | 141,200 | ||||||
Waste Management, Inc.
|
39,000 | 1,269,840 | ||||||
$ | 1,794,940 | |||||||
Communications Equipment 2.6%
|
||||||||
Aviat Networks,
Inc.(1)
|
6,710 | $ | 15,768 | |||||
Brocade Communications Systems,
Inc.(1)
|
42,403 | 183,181 | ||||||
Cisco Systems, Inc.
|
222,878 | 3,452,380 | ||||||
Harris Corp.
|
23,222 | 793,496 | ||||||
QUALCOMM, Inc.
|
82,146 | 3,994,760 | ||||||
$ | 8,439,585 | |||||||
Computers & Peripherals 4.5%
|
||||||||
Apple,
Inc.(1)
|
30,468 | $ | 11,613,793 | |||||
Hewlett-Packard Co.
|
103,916 | 2,332,914 | ||||||
QLogic
Corp.(1)
|
20,459 | 259,420 | ||||||
SanDisk
Corp.(1)
|
8,289 | 334,461 | ||||||
$ | 14,540,588 | |||||||
Consumer Finance 1.0%
|
||||||||
American Express Co.
|
49,193 | $ | 2,208,765 | |||||
Discover Financial Services
|
40,754 | 934,897 | ||||||
$ | 3,143,662 | |||||||
Containers & Packaging 0.2%
|
||||||||
Sealed Air Corp.
|
49,091 | $ | 819,820 | |||||
$ | 819,820 | |||||||
Distributors 0.5%
|
||||||||
Genuine Parts Co.
|
34,078 | $ | 1,731,162 | |||||
$ | 1,731,162 | |||||||
Diversified Financial Services 2.8%
|
||||||||
Bank of America Corp.
|
274,847 | $ | 1,682,064 | |||||
Citigroup, Inc.
|
31,921 | 817,816 | ||||||
CME Group, Inc.
|
3,193 | 786,755 | ||||||
JPMorgan Chase & Co.
|
158,700 | 4,780,044 | ||||||
Moodys Corp.
|
29,272 | 891,332 | ||||||
$ | 8,958,011 | |||||||
Diversified Telecommunication
Services 3.7%
|
||||||||
AT&T, Inc.
|
190,600 | $ | 5,435,912 | |||||
Frontier Communications Corp.
|
167,840 | 1,025,502 |
Security | Shares | Value | ||||||
Verizon Communications, Inc.
|
134,938 | $ | 4,965,719 | |||||
Windstream Corp.
|
46,200 | 538,692 | ||||||
$ | 11,965,825 | |||||||
Electric Utilities 1.0%
|
||||||||
Duke Energy Corp.
|
88,867 | $ | 1,776,451 | |||||
Edison International
|
20,090 | 768,442 | ||||||
FirstEnergy Corp.
|
10,281 | 461,720 | ||||||
Pinnacle West Capital Corp.
|
7,168 | 307,794 | ||||||
$ | 3,314,407 | |||||||
Electrical Equipment 0.7%
|
||||||||
Emerson Electric Co.
|
53,488 | $ | 2,209,589 | |||||
$ | 2,209,589 | |||||||
Electronic Equipment, Instruments &
Components 0.4%
|
||||||||
Corning, Inc.
|
90,675 | $ | 1,120,743 | |||||
Molex, Inc.
|
13,181 | 268,497 | ||||||
$ | 1,389,240 | |||||||
Energy Equipment & Services 2.0%
|
||||||||
Baker Hughes, Inc.
|
12,214 | $ | 563,798 | |||||
Diamond Offshore Drilling, Inc.
|
13,574 | 743,041 | ||||||
Halliburton Co.
|
62,164 | 1,897,245 | ||||||
Schlumberger, Ltd.
|
56,392 | 3,368,294 | ||||||
$ | 6,572,378 | |||||||
Food & Staples Retailing 2.5%
|
||||||||
CVS Caremark Corp.
|
86,869 | $ | 2,917,061 | |||||
Wal-Mart Stores, Inc.
|
81,955 | 4,253,464 | ||||||
Walgreen Co.
|
27,903 | 917,730 | ||||||
$ | 8,088,255 | |||||||
Food Products 2.2%
|
||||||||
ConAgra Foods, Inc.
|
36,224 | $ | 877,345 | |||||
General Mills, Inc.
|
19,286 | 741,932 | ||||||
Green Mountain Coffee Roasters,
Inc.(1)
|
15,366 | 1,428,116 | ||||||
Kellogg Co.
|
31,044 | 1,651,230 | ||||||
Kraft Foods, Inc., Class A
|
54,344 | 1,824,872 | ||||||
Tyson Foods, Inc., Class A
|
28,696 | 498,163 | ||||||
$ | 7,021,658 | |||||||
Gas Utilities 0.2%
|
||||||||
Nicor, Inc.
|
11,699 | $ | 643,562 | |||||
$ | 643,562 | |||||||
Health Care Equipment &
Supplies 1.8%
|
||||||||
Baxter International, Inc.
|
42,233 | $ | 2,370,961 | |||||
Boston Scientific
Corp.(1)
|
94,420 | 558,022 | ||||||
Covidien PLC
|
24,361 | 1,074,320 | ||||||
Medtronic, Inc.
|
41,406 | 1,376,335 | ||||||
Stryker Corp.
|
4,220 | 198,889 | ||||||
Zimmer Holdings,
Inc.(1)
|
5,294 | 283,229 | ||||||
$ | 5,861,756 | |||||||
Health Care Providers &
Services 1.9%
|
||||||||
Catalyst Health Solutions,
Inc.(1)
|
5,847 | $ | 337,313 | |||||
HCA Holdings,
Inc.(1)
|
12,216 | 246,274 | ||||||
Humana, Inc.
|
5,455 | 396,742 | ||||||
Medco Health Solutions,
Inc.(1)
|
26,655 | 1,249,853 | ||||||
MEDNAX,
Inc.(1)
|
4,666 | 292,278 | ||||||
Quest Diagnostics, Inc.
|
21,510 | 1,061,734 | ||||||
Team Health Holdings,
Inc.(1)
|
8,564 | 140,621 |
Security | Shares | Value | ||||||
UnitedHealth Group, Inc.
|
49,739 | $ | 2,293,963 | |||||
VCA Antech,
Inc.(1)
|
18,558 | 296,557 | ||||||
$ | 6,315,335 | |||||||
Hotels, Restaurants & Leisure 1.4%
|
||||||||
McDonalds Corp.
|
43,448 | $ | 3,815,603 | |||||
Wyndham Worldwide Corp.
|
26,139 | 745,223 | ||||||
$ | 4,560,826 | |||||||
Household Durables 0.5%
|
||||||||
Leggett & Platt, Inc.
|
11,383 | $ | 225,270 | |||||
Lennar Corp., Class A
|
21,018 | 284,584 | ||||||
Newell Rubbermaid, Inc.
|
76,798 | 911,592 | ||||||
Pulte Group,
Inc.(1)
|
13,636 | 53,862 | ||||||
$ | 1,475,308 | |||||||
Household Products 2.0%
|
||||||||
Clorox Co. (The)
|
14,825 | $ | 983,342 | |||||
Kimberly-Clark Corp.
|
19,850 | 1,409,549 | ||||||
Procter & Gamble Co.
|
65,845 | 4,160,087 | ||||||
$ | 6,552,978 | |||||||
Industrial Conglomerates 1.4%
|
||||||||
3M Co.
|
17,125 | $ | 1,229,404 | |||||
General Electric Co.
|
225,767 | 3,440,689 | ||||||
$ | 4,670,093 | |||||||
Insurance 4.0%
|
||||||||
ACE, Ltd.
|
14,012 | $ | 849,127 | |||||
Allstate Corp. (The)
|
8,347 | 197,740 | ||||||
AON Corp.
|
15,101 | 633,940 | ||||||
Berkshire Hathaway, Inc.,
Class B(1)
|
34,964 | 2,483,843 | ||||||
Cincinnati Financial Corp.
|
23,600 | 621,388 | ||||||
Genworth Financial, Inc.,
Class A(1)
|
4,317 | 24,780 | ||||||
Hartford Financial Services Group, Inc.
|
12,039 | 194,309 | ||||||
Marsh & McLennan Cos., Inc.
|
50,188 | 1,331,989 | ||||||
MetLife, Inc.
|
51,866 | 1,452,767 | ||||||
Principal Financial Group, Inc.
|
44,928 | 1,018,518 | ||||||
Prudential Financial, Inc.
|
28,337 | 1,327,872 | ||||||
Travelers Companies, Inc. (The)
|
43,007 | 2,095,731 | ||||||
XL Group PLC
|
38,726 | 728,049 | ||||||
$ | 12,960,053 | |||||||
Internet & Catalog Retail 0.7%
|
||||||||
Amazon.com,
Inc.(1)
|
5,804 | $ | 1,254,999 | |||||
priceline.com,
Inc.(1)
|
2,341 | 1,052,186 | ||||||
$ | 2,307,185 | |||||||
Internet Software & Services 2.2%
|
||||||||
AOL,
Inc.(1)
|
2,315 | $ | 27,780 | |||||
Google, Inc.,
Class A(1)
|
10,119 | 5,205,011 | ||||||
VeriSign, Inc.
|
43,013 | 1,230,602 | ||||||
Yahoo!
Inc.(1)
|
47,544 | 625,679 | ||||||
$ | 7,089,072 | |||||||
IT Services 3.0%
|
||||||||
Computer Sciences Corp.
|
26,107 | $ | 700,973 | |||||
Fidelity National Information Services, Inc.
|
26,132 | 635,530 | ||||||
International Business Machines Corp.
|
33,173 | 5,806,270 | ||||||
MasterCard, Inc., Class A
|
7,359 | 2,333,981 | ||||||
SAIC,
Inc.(1)
|
8,928 | 105,440 | ||||||
$ | 9,582,194 | |||||||
Security | Shares | Value | ||||||
Leisure Equipment & Products 0.5%
|
||||||||
Mattel, Inc.
|
59,998 | $ | 1,553,348 | |||||
$ | 1,553,348 | |||||||
Life Sciences Tools & Services 0.2%
|
||||||||
Agilent Technologies,
Inc.(1)
|
17,303 | $ | 540,719 | |||||
Thermo Fisher Scientific,
Inc.(1)
|
3,866 | 195,774 | ||||||
$ | 736,493 | |||||||
Machinery 1.1%
|
||||||||
Caterpillar, Inc.
|
31,778 | $ | 2,346,488 | |||||
Eaton Corp.
|
9,192 | 326,316 | ||||||
Snap-On, Inc.
|
6,380 | 283,272 | ||||||
Stanley Black & Decker, Inc.
|
10,773 | 528,954 | ||||||
$ | 3,485,030 | |||||||
Marine 0.0%(2)
|
||||||||
Kirby
Corp.(1)
|
1,985 | $ | 104,490 | |||||
$ | 104,490 | |||||||
Media 3.8%
|
||||||||
CBS Corp., Class B
|
64,211 | $ | 1,308,620 | |||||
Comcast Corp., Class A
|
121,712 | 2,543,781 | ||||||
McGraw-Hill Cos., Inc. (The)
|
51,266 | 2,101,906 | ||||||
Omnicom Group, Inc.
|
40,818 | 1,503,735 | ||||||
Scripps Networks Interactive, Class A
|
8,535 | 317,246 | ||||||
Time Warner, Inc.
|
25,474 | 763,456 | ||||||
Time Warner Cable, Inc.
|
9,267 | 580,763 | ||||||
Walt Disney Co. (The)
|
102,056 | 3,078,009 | ||||||
$ | 12,197,516 | |||||||
Metals & Mining 1.1%
|
||||||||
Allegheny Technologies, Inc.
|
16,248 | $ | 601,014 | |||||
Cliffs Natural Resources, Inc.
|
4,838 | 247,560 | ||||||
Freeport-McMoRan Copper & Gold, Inc.
|
56,000 | 1,705,200 | ||||||
Newmont Mining Corp.
|
9,148 | 575,409 | ||||||
Nucor Corp.
|
18,291 | 578,727 | ||||||
$ | 3,707,910 | |||||||
Multi-Utilities 2.9%
|
||||||||
Centerpoint Energy, Inc.
|
17,504 | $ | 343,428 | |||||
CMS Energy Corp.
|
91,625 | 1,813,259 | ||||||
Dominion Resources, Inc.
|
17,163 | 871,366 | ||||||
DTE Energy Co.
|
10,342 | 506,965 | ||||||
Integrys Energy Group, Inc.
|
10,554 | 513,135 | ||||||
NiSource, Inc.
|
49,999 | 1,068,979 | ||||||
Public Service Enterprise Group, Inc.
|
69,335 | 2,313,709 | ||||||
TECO Energy, Inc.
|
92,229 | 1,579,883 | ||||||
Xcel Energy, Inc.
|
12,009 | 296,502 | ||||||
$ | 9,307,226 | |||||||
Multiline Retail 1.2%
|
||||||||
Kohls Corp.
|
26,447 | $ | 1,298,548 | |||||
Macys, Inc.
|
72,452 | 1,906,936 | ||||||
Nordstrom, Inc.
|
12,248 | 559,489 | ||||||
$ | 3,764,973 | |||||||
Oil, Gas & Consumable Fuels 9.9%
|
||||||||
Alpha Natural Resources,
Inc.(1)
|
12,635 | $ | 223,513 | |||||
Chevron Corp.
|
65,682 | 6,076,899 | ||||||
ConocoPhillips
|
66,837 | 4,232,119 | ||||||
El Paso Corp.
|
53,383 | 933,135 | ||||||
EOG Resources, Inc.
|
20,592 | 1,462,238 | ||||||
Exxon Mobil Corp.
|
168,492 | 12,237,574 |
Security | Shares | Value | ||||||
Occidental Petroleum Corp.
|
41,073 | $ | 2,936,720 | |||||
Peabody Energy Corp.
|
15,263 | 517,110 | ||||||
Range Resources Corp.
|
22,418 | 1,310,556 | ||||||
Tesoro
Corp.(1)
|
25,722 | 500,807 | ||||||
Williams Cos., Inc.
|
72,366 | 1,761,388 | ||||||
$ | 32,192,059 | |||||||
Paper & Forest Products 0.2%
|
||||||||
MeadWestvaco Corp.
|
21,446 | $ | 526,714 | |||||
$ | 526,714 | |||||||
Personal
Products 0.0%(2)
|
||||||||
Estee Lauder Cos., Inc. (The), Class A
|
1,663 | $ | 146,078 | |||||
$ | 146,078 | |||||||
Pharmaceuticals 7.1%
|
||||||||
Abbott Laboratories
|
81,588 | $ | 4,172,410 | |||||
Bristol-Myers Squibb Co.
|
83,905 | 2,632,939 | ||||||
Johnson & Johnson
|
110,764 | 7,056,774 | ||||||
Merck & Co., Inc.
|
149,461 | 4,888,869 | ||||||
Pfizer, Inc.
|
222,842 | 3,939,847 | ||||||
Warner Chilcott PLC,
Class A(1)
|
23,015 | 329,115 | ||||||
$ | 23,019,954 | |||||||
Professional Services 0.3%
|
||||||||
Dun & Bradstreet Corp.
|
1,472 | $ | 90,175 | |||||
Manpower, Inc.
|
4,353 | 146,348 | ||||||
Robert Half International, Inc.
|
28,288 | 600,271 | ||||||
$ | 836,794 | |||||||
Real Estate Investment Trusts
(REITs) 1.6%
|
||||||||
Apartment Investment & Management Co., Class A
|
12,428 | $ | 274,907 | |||||
AvalonBay Communities, Inc.
|
11,002 | 1,254,778 | ||||||
Equity Residential
|
14,774 | 766,327 | ||||||
Host Hotels & Resorts, Inc.
|
65,976 | 721,778 | ||||||
Kimco Realty Corp.
|
78,276 | 1,176,488 | ||||||
Plum Creek Timber Co., Inc.
|
12,612 | 437,763 | ||||||
ProLogis, Inc.
|
23,932 | 580,351 | ||||||
$ | 5,212,392 | |||||||
Real Estate Management &
Development 0.1%
|
||||||||
CB Richard Ellis Group, Inc.,
Class A(1)
|
19,604 | $ | 263,870 | |||||
$ | 263,870 | |||||||
Road & Rail 0.8%
|
||||||||
J.B. Hunt Transport Services, Inc.
|
3,521 | $ | 127,179 | |||||
Kansas City
Southern(1)
|
13,949 | 696,892 | ||||||
Norfolk Southern Corp.
|
28,268 | 1,724,913 | ||||||
$ | 2,548,984 | |||||||
Semiconductors & Semiconductor
Equipment 2.3%
|
||||||||
Analog Devices, Inc.
|
24,272 | $ | 758,500 | |||||
Applied Materials, Inc.
|
15,313 | 158,490 | ||||||
Broadcom Corp.,
Class A(1)
|
42,173 | 1,403,939 | ||||||
Cirrus Logic,
Inc.(1)
|
8,422 | 124,140 | ||||||
Cypress Semiconductor
Corp.(1)
|
32,222 | 482,363 | ||||||
Intel Corp.
|
154,529 | 3,296,104 | ||||||
Microchip Technology, Inc.
|
15,385 | 478,627 | ||||||
Micron Technology,
Inc.(1)
|
56,773 | 286,136 | ||||||
Teradyne,
Inc.(1)
|
32,470 | 357,495 | ||||||
$ | 7,345,794 | |||||||
Security | Shares | Value | ||||||
Software 3.9%
|
||||||||
Concur Technologies,
Inc.(1)
|
33,500 | $ | 1,246,870 | |||||
Microsoft Corp.
|
287,979 | 7,167,797 | ||||||
Oracle Corp.
|
103,117 | 2,963,583 | ||||||
Quest Software,
Inc.(1)
|
11,338 | 180,047 | ||||||
Symantec
Corp.(1)
|
56,043 | 913,501 | ||||||
$ | 12,471,798 | |||||||
Specialty Retail 1.9%
|
||||||||
Abercrombie & Fitch Co., Class A
|
5,734 | $ | 352,985 | |||||
Advance Auto Parts, Inc.
|
4,927 | 286,259 | ||||||
Home Depot, Inc.
|
65,676 | 2,158,770 | ||||||
Limited Brands, Inc.
|
35,932 | 1,383,741 | ||||||
RadioShack Corp.
|
19,049 | 221,349 | ||||||
Staples, Inc.
|
67,464 | 897,271 | ||||||
Tiffany & Co.
|
14,641 | 890,466 | ||||||
$ | 6,190,841 | |||||||
Textiles, Apparel & Luxury
Goods 0.3%
|
||||||||
Coach, Inc.
|
4,244 | $ | 219,966 | |||||
Hanesbrands,
Inc.(1)
|
6,900 | 172,569 | ||||||
NIKE, Inc., Class B
|
7,588 | 648,850 | ||||||
$ | 1,041,385 | |||||||
Thrifts & Mortgage Finance 0.3%
|
||||||||
BankUnited, Inc.
|
24,813 | $ | 515,118 | |||||
Hudson City Bancorp, Inc.
|
67,464 | 381,846 | ||||||
$ | 896,964 | |||||||
Tobacco 2.2%
|
||||||||
Altria Group, Inc.
|
50,128 | $ | 1,343,932 | |||||
Philip Morris International, Inc.
|
73,821 | 4,604,954 | ||||||
Reynolds American, Inc.
|
27,499 | 1,030,662 | ||||||
$ | 6,979,548 | |||||||
Trading Companies &
Distributors 0.1%
|
||||||||
Fastenal Co.
|
10,080 | $ | 335,462 | |||||
$ | 335,462 | |||||||
Total Common Stocks
(identified cost $281,247,264) |
$ | 326,032,313 | ||||||
Number of |
Strike |
Expiration |
||||||||||||
Description | Contracts | Price | Date | Value | ||||||||||
S&P 500 Index
|
1,275 | $ | 1,175 | 10/22/11 | $ | (2,792,250 | ) | |||||||
S&P 500 Index
|
1,410 | 1,225 | 10/22/11 | (944,700 | ) | |||||||||
Total Call Options Written
(premiums received $8,951,797) |
$ | (3,736,950 | ) | |||||||||||
Other Assets, Less Liabilities 0.4%
|
$ | 1,081,494 | ||||||||||||
Net Assets 100.0%
|
$ | 323,376,857 | ||||||||||||
The percentage shown for each investment category in the
Portfolio of Investments is based on net assets.
|
||||||
ADR
|
- | American Depositary Receipt | ||||
(1)
|
Non-income producing security. | |||||
(2)
|
Amount is less than 0.05%. |
Aggregate cost
|
$ | 281,233,645 | ||
Gross unrealized appreciation
|
$ | 56,666,933 | ||
Gross unrealized depreciation
|
(11,868,265 | ) | ||
Net unrealized appreciation
|
$ | 44,798,668 | ||
Number of |
Premiums |
|||||||
Contracts | Received | |||||||
Outstanding, beginning of period
|
2,960 | $ | 5,118,535 | |||||
Options written
|
24,180 | 43,640,557 | ||||||
Options terminated in closing purchase transactions
|
(20,885 | ) | (33,203,529 | ) | ||||
Options expired
|
(3,570 | ) | (6,603,766 | ) | ||||
Outstanding, end of period
|
2,685 | $ | 8,951,797 | |||||
| Level 1 quoted prices in active markets for identical investments | |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks
|
$ | 326,032,313 | $ | | $ | | $ | 326,032,313 | ||||||||
Total Investments
|
$ | 326,032,313 | $ | | $ | | $ | 326,032,313 | ||||||||
Liability Description | ||||||||||||||||
Call Options Written
|
$ | (3,736,950 | ) | $ | | $ | | $ | (3,736,950 | ) | ||||||
Total
|
$ | (3,736,950 | ) | $ | | $ | | $ | (3,736,950 | ) | ||||||
By: | /s/ Walter A. Row, III | |||
Walter A. Row, III | ||||
President |
By: | /s/ Walter A. Row, III | |||
Walter A. Row, III | ||||
President |
By: | /s/ Barbara E. Campbell | |||
Barbara E. Campbell | ||||
Treasurer |