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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

Quarterly Schedule of Portfolio Holdings of Registered

Management Investment Company

 

Investment Company Act file number:   811-21938

 

ING Risk Managed Natural Resources Fund

(Exact name of registrant as specified in charter)

 

7337 East Doubletree Ranch Rd., Scottsdale, AZ 85258

(Address of principal executive offices)          (Zip code)

 

 

Huey P. Falgout, Jr., 7337 East Doubletree Ranch Road, Scottsdale, AZ 85258 

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 1-800-992-0180

 

Date of fiscal year end:

February 28

Date of reporting period:

May 31, 2007

 



 

Item 1. Schedule of Investments

 

The schedules of investments as of the close of the reporting period are set forth below for:

 

ING Risk Managed Natural Resources Fund

 

The schedules are not audited.

 



 

 

 

PORTFOLIO OF INVESTMENTS

 

ING Risk Managed Natural Resources Fund

 

as of May 31, 2007 (Unaudited)

 

Shares

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

COMMON STOCK: 100.5%

 

 

 

 

 

 

 

 

 

 

 

Chemicals: 6.4%

 

 

 

30,650

 

 

 

Air Products & Chemicals, Inc.

 

$

2,390,394

 

8,050

 

 

 

Ashland, Inc.

 

485,576

 

132,500

 

 

 

Dow Chemical Co.

 

6,012,850

 

11,500

 

 

 

Eastman Chemical Co.

 

760,840

 

24,850

 

 

 

Ecolab, Inc.

 

1,072,278

 

127,600

 

 

 

EI DuPont de Nemours & Co.

 

6,676,032

 

17,150

 

@

 

Hercules, Inc.

 

322,935

 

10,850

 

 

 

International Flavors & Fragrances, Inc.

 

556,931

 

75,250

 

 

 

Monsanto Co.

 

4,635,400

 

22,900

 

 

 

PPG Industries, Inc.

 

1,744,751

 

40,250

 

 

 

Praxair, Inc.

 

2,740,623

 

19,700

 

 

 

Rohm & Haas Co.

 

1,044,297

 

18,500

 

 

 

Sigma-Aldrich Corp.

 

800,680

 

 

 

 

 

 

 

29,243,587

 

 

 

 

 

Coal: 2.1%

 

 

 

38,800

 

 

 

Arch Coal, Inc.

 

1,566,744

 

85,450

 

 

 

Consol Energy, Inc.

 

4,152,016

 

69,300

 

 

 

Peabody Energy Corp.

 

3,744,972

 

 

 

 

 

 

 

9,463,732

 

 

 

 

 

Electric: 0.2%

 

 

 

23,400

 

@

 

Mirant Corp.

 

1,085,760

 

 

 

 

 

 

 

1,085,760

 

 

 

 

 

Energy - Alternate Sources: 0.1%

 

 

 

42,500

 

@

 

Evergreen Energy, Inc.

 

293,675

 

 

 

 

 

 

 

293,675

 

 

 

 

 

Engineering & Construction: 0.8%

 

 

 

1,008,600

 

@, @@

 

Boart Longyear Group

 

1,829,020

 

24,400

 

@

 

McDermott International, Inc.

 

1,903,200

 

 

 

 

 

 

 

3,732,220

 

 

 

 

 

Forest Products & Paper: 1.5%

 

 

 

63,400

 

 

 

International Paper Co.

 

2,483,378

 

25,650

 

 

 

MeadWestvaco Corp.

 

897,750

 

14,950

 

 

 

Temple-Inland, Inc.

 

941,850

 

29,250

 

 

 

Weyerhaeuser Co.

 

2,397,330

 

 

 

 

 

 

 

6,720,308

 

 

 

 

 

Iron/Steel: 2.0%

 

 

 

13,950

 

 

 

Allegheny Technologies, Inc.

 

1,612,481

 

11,800

 

@@

 

Arcelor Mittal

 

707,882

 

10,500

 

 

 

Cleveland-Cliffs, Inc.

 

927,045

 

52,000

 

 

 

Nucor Corp.

 

3,512,080

 

22,300

 

 

 

United States Steel Corp.

 

2,523,468

 

 

 

 

 

 

 

9,282,956

 

 

 

 

 

Metal Fabricate/Hardware: 0.1%

 

 

 

9,000

 

@, @@, #

 

TMK OAO GDR

 

328,500

 

 

 

 

 

 

 

328,500

 

 

 

 

 

Mining: 8.4%

 

 

 

17,300

 

@@

 

Aber Diamond Corp.

 

731,790

 

15,000

 

@@

 

Agnico-Eagle Mines Ltd.

 

544,650

 

22,500

 

@@

 

Alcan, Inc.

 

1,952,100

 

120,150

 

 

 

Alcoa, Inc.

 

4,959,792

 

25,300

 

@, @@

 

Banro Corp.

 

261,602

 

27,300

 

@@

 

Barrick Gold Corp.

 

795,249

 

26,400

 

@@

 

Cameco Corp.

 

1,368,130

 

24,800

 

@@

 

Cia Vale do Rio Doce ADR

 

1,127,160

 

209,800

 

@, @@

 

Eldorado Gold Corp.

 

1,198,465

 

126,000

 

@, @@

 

European Goldfields Limited

 

597,251

 

8,800

 

@@

 

First Quantum Minerals Ltd.

 

704,675

 

24,800

 

@, @@

 

FNX Mining Co., Inc.

 

808,040

 

82,703

 

 

 

Freeport-McMoRan Copper & Gold, Inc.

 

6,508,726

 

27,100

 

@@

 

GoldCorp, Inc.

 

652,839

 

58,900

 

@, @@

 

Great Basin Gold Ltd.

 

145,928

 

47,100

 

@, @@

 

Kinross Gold Corp.

 

628,314

 

656,567

 

@, @@

 

Lihir Gold Ltd.

 

1,736,069

 

101,800

 

@, @@

 

Mag Silver Corp.

 

985,069

 

35,500

 

@, @@

 

Major Drilling Group International

 

1,227,365

 

1,432,200

 

@, @@

 

Merafe Resources Ltd.

 

369,356

 

24,100

 

@

 

Meridian Gold, Inc.

 

618,165

 

62,300

 

 

 

Newmont Mining Corp.

 

2,534,364

 

116,400

 

@, @@

 

Paladin Resources Ltd.

 

844,488

 

50,800

 

@, @@, #

 

Polymetal GDR

 

299,720

 

24,600

 

@@

 

Randgold Resources Ltd. ADR

 

576,624

 

5,300

 

@@

 

Rio Tinto PLC ADR

 

1,552,635

 

182,900

 

@, @@

 

Shore Gold, Inc.

 

803,693

 

321,143

 

@@

 

Solid Resources Ltd.

 

300,246

 

24,000

 

@, @@

 

SXR Uranium One, Inc.

 

374,046

 

23,900

 

@@

 

Teck Cominco Ltd.

 

1,009,536

 

13,000

 

 

 

Vulcan Materials Co.

 

1,555,970

 

 



 

 

 

PORTFOLIO OF INVESTMENTS

 

ING Risk Managed Natural Resources Fund

 

as of May 31, 2007 (Unaudited) (continued)

 

Shares

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Mining (continued)

 

 

 

46,400

 

@@

 

Yamana Gold, Inc.

 

$

624,080

 

 

 

 

 

 

 

38,396,137

 

 

 

 

 

Oil & Gas: 63.2%

 

 

 

63,300

 

@

 

American Oil & Gas, Inc.

 

325,995

 

108,250

 

 

 

Anadarko Petroleum Corp.

 

5,374,613

 

77,000

 

 

 

Apache Corp.

 

6,217,750

 

87,600

 

 

 

Cabot Oil & Gas Corp.

 

3,416,400

 

244,200

 

@, I

 

Cano Petroleum, Inc.

 

1,245,420

 

116,900

 

 

 

Chesapeake Energy Corp.

 

4,075,134

 

449,950

 

 

 

Chevron Corp.

 

36,666,426

 

446,800

 

 

 

ConocoPhillips

 

34,595,716

 

37,300

 

@

 

Delta Petroleum Corp.

 

732,572

 

26,900

 

@

 

Denbury Resources, Inc.

 

975,394

 

97,600

 

 

 

Devon Energy Corp.

 

7,493,728

 

84,200

 

@, @@

 

Energy XXI Acquisition Corp. Bermuda Ltd.

 

437,840

 

45,300

 

 

 

ENSCO International, Inc.

 

2,743,821

 

77,850

 

 

 

EOG Resources, Inc.

 

5,986,665

 

102,500

 

@

 

EXCO Resources, Inc.

 

1,852,175

 

803,350

 

 

 

ExxonMobil Corp.

 

66,814,620

 

12,500

 

 

 

GlobalSantaFe Corp.

 

853,750

 

147,350

 

 

 

Hess Corp.

 

8,726,067

 

24,600

 

@, @@

 

InterOil Corp.

 

904,050

 

175,900

 

@

 

Kodiak Oil & Gas Corp.

 

1,090,580

 

102,400

 

 

 

Marathon Oil Corp.

 

12,678,144

 

57,000

 

 

 

Murphy Oil Corp.

 

3,363,000

 

89,200

 

@, @@

 

Nabors Industries Ltd.

 

3,116,648

 

35,800

 

@

 

Newfield Exploration Co.

 

1,719,832

 

41,100

 

 

 

Noble Corp.

 

3,797,229

 

265,150

 

 

 

Occidental Petroleum Corp.

 

14,575,296

 

90,100

 

@

 

Parallel Petroleum Corp.

 

2,077,706

 

40,700

 

@, I

 

PetroHawk Energy Corp.

 

663,410

 

26,375

 

@@

 

Petroleo Brasileiro SA ADR

 

2,852,720

 

71,200

 

@

 

Petroquest Energy, Inc.

 

1,008,192

 

68,900

 

@

 

Plains Exploration & Production Co.

 

3,646,188

 

31,400

 

@

 

Quicksilver Resources, Inc.

 

1,396,986

 

25,000

 

 

 

Range Resources Corp.

 

968,500

 

54,800

 

 

 

Rowan Cos., Inc.

 

2,163,504

 

36,570

 

@@

 

Royal Dutch Shell PLC ADR

 

2,717,151

 

60,400

 

@

 

Southwestern Energy Co.

 

2,875,040

 

55,800

 

 

 

Sunoco, Inc.

 

4,447,818

 

23,900

 

@

 

Todco

 

1,182,094

 

26,400

 

@@

 

Total SA ADR

 

1,991,880

 

70,550

 

@

 

Transocean, Inc.

 

6,930,832

 

28,600

 

@, @@, I

 

Triangle Petroleum Corp.

 

58,630

 

14,800

 

@

 

Unit Corp.

 

911,828

 

185,650

 

 

 

Valero Energy Corp.

 

13,853,203

 

149,750

 

 

 

XTO Energy, Inc.

 

8,686,998

 

 

 

 

 

 

 

288,211,545

 

 

 

 

 

Oil & Gas Services: 12.5%

 

 

 

78,600

 

@

 

Allis-Chalmers Energy, Inc.

 

1,587,720

 

73,700

 

 

 

Baker Hughes, Inc.

 

6,078,776

 

88,600

 

 

 

BJ Services Co.

 

2,598,638

 

11,200

 

@

 

Cameron International Corp.

 

794,080

 

49,500

 

@

 

Geokinetics, Inc.

 

1,388,475

 

22,100

 

@

 

Grant Prideco, Inc.

 

1,255,059

 

218,750

 

 

 

Halliburton Co.

 

7,864,063

 

34,699

 

@

 

Hercules Offshore, Inc.

 

1,212,036

 

68,300

 

@

 

Key Energy Services, Inc.

 

1,266,965

 

50,450

 

@

 

National Oilwell Varco, Inc.

 

4,765,003

 

127,400

 

@

 

Particle Drilling Technologies, Inc.

 

336,336

 

241,250

 

 

 

Schlumberger Ltd.

 

18,786,138

 

35,750

 

 

 

Smith International, Inc.

 

1,984,483

 

17,500

 

@

 

Superior Energy Services

 

702,800

 

120,500

 

@

 

Weatherford International Ltd.

 

6,547,970

 

 

 

 

 

 

 

57,168,542

 

 

 

 

 

Packaging & Containers: 0.6%

 

 

 

14,550

 

 

 

Ball Corp.

 

805,488

 

15,450

 

 

 

Bemis Co.

 

519,584

 

18,700

 

@

 

Pactiv Corp.

 

635,239

 

22,350

 

 

 

Sealed Air Corp.

 

721,905

 

 

 

 

 

 

 

2,682,216

 

 

 

 

 

Pipelines: 2.6%

 

 

 

207,900

 

 

 

El Paso Corp.

 

3,542,616

 

113,557

 

 

 

Spectra Energy Corp.

 

3,024,023

 

13,900

 

 

 

Targa Resources Partners LP

 

462,175

 

154,200

 

 

 

Williams Cos., Inc.

 

4,897,392

 

 

 

 

 

 

 

11,926,206

 

 

 

 

 

Total Common Stock

 

 

 

 

 

 

 

(Cost $382,898,869)

 

458,535,384

 

 

 

 

 

 

 

 

 

WARRANTS: 0.0%

 

 

 

 

 

 

 

 

 

 

 

Mining: 0.0%

 

 

 

29,500

 

@, @@

 

Great Basin Gold Ltd.

 

19,582

 

 



 

 

 

PORTFOLIO OF INVESTMENTS

 

ING Risk Managed Natural Resources Fund

 

as of May 31, 2007 (Unaudited) (continued)

 

 

Shares

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Mining (continued)

 

 

 

 

 

 

 

Total Warrants

 

 

 

 

 

 

 

(Cost $9,788)

 

$

19,582

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional Amount

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

POSITIONS IN PURCHASED OPTIONS:0.7%

 

 

 

 

 

 

 

 

 

 

 

150,700

 

 

 

Put Option OTC - JPMorgan Basic Industries Select Sector Index Strike 363.25, exp 06/15/07

 

$

9,042

 

406,600

 

 

 

Put Option OTC - JPMorgan Energy Select Sector Index Strike 538.32, exp 06/15/07

 

4,066

 

72,300

 

 

 

Put Option OTC - JPMorgan Basic Industries Select Sector Index Strike 394.40, exp 09/21/07

 

564,663

 

176,800

 

 

 

Put Option OTC - JPMorgan Energy Select Sector Index Strike 644.77, exp 09/21/07

 

2,646,696

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Purchased Options

 

 

 

 

 

 

 

(Cost $10,477,567)

 

3,224,467

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Long-Term Investments

 

 

 

 

 

 

 

(Cost $393,386,224)

 

461,779,433

 

 

 

 

 

 

 

 

 

Principal Amount

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS: 1.0%

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreement: 1.0%

 

 

 

$

4,577,000

 

Z

 

Goldman Sachs Repurchase Agreement dated 05/31/07, 5.290%, due 06/01/07, $4,577,673 to be received upon repurchase (Collateralized by $3,670,000 U.S. Treasury, 7.625%, Market Value plus accrued interest $4,669,617, due 11/15/22)

 

4,577,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments

 

 

 

 

 

 

 

(Cost $4,577,000)

 

4,577,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investments in Securities

 

 

 

 

 

 

 

 

 

(Cost $397,963,224)*

 

102.2%

 

$

466,356,433

 

 

 

 

 

Other Assets and Liabilities - Net

 

(2.2)

 

(10,056,410)

 

 

 

 

 

Net Assets

 

100.0%

 

$

456,300,023

 

 

 

 

 

 

 

 

 

 

 

@  

 

Non-income producing security

 

 

 

 

 

@@  

 

Foreign Issuer

 

 

 

 

 

ADR  

 

American Depositary Receipt

 

 

 

 

 

GDR  

 

Global Depositary Receipt

 

 

 

 

 

#  

 

Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. These securities have been determined to be liquid under the guidelines established by the Funds’ Board of Directors/Trustees.

 

 

 

 

 

I  

 

Illiquid security

 

 

 

 

 

Z  

 

Indicates Zero Coupon Bond; coupon shown reflects effective yield on the date of purchase

 

 

 

 

 

 

 

 

 

 

 

 

 

*  

 

Cost for federal income tax purposes is $398,384,318.

 

 

 

 

 

 

 

Net unrealized appreciation consists of:

 

 

 

 

 

 

 

Gross Unrealized Appreciation

 

 

 

$

76,767,023

 

 

 

 

 

Gross Unrealized Depreciation

 

 

 

(8,794,908)

 

 

 

 

 

Net Unrealized Appreciation

 

 

 

$

67,972,115

 

 

At May 31, 2007 the following forward currency contracts were outstanding for the ING Risk Managed Natural Resources Fund:

 

Currency

 

Buy/Sell

 

Settlement
Date

 

In Exchange
For

 

Value

 

Unrealized
Appreciation/
(Depreciation)

 

 

 

 

 

 

 

 

 

USD

 

 

 

 

 

Australia Dollars

 

 

 

 

 

 

 

 

 

 

 

 

 

AUD 1,600,000

 

Sell

 

6/22/07

 

1,275,520

 

1,324,113

 

$

(48,593)

 

Canada Dollars

 

 

 

 

 

 

 

 

 

 

 

 

 

CAD 11,500,000

 

Sell

 

6/22/07

 

9,871,245

 

10,759,357

 

(888,112)

 

British Pound Sterling
GBP 350,000

 

Sell

 

6/22/07

 

684,670

 

692,921

 

(8,251)

 

South Africa Rand
ZAR 5,400,000

 

Sell

 

6/22/07

 

722,408

 

756,508

 

(34,100)

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(979,056)

 

 



 

Item 2. Controls and Procedures.

 

(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-Q 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-Q and the officer certifications of such Form N-Q.

 

 

 

(b)

 

There were no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last 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.

 

Item 3. Exhibits.

 

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.

 



 

SIGNATURES

 

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

 

(Registrant):   ING Risk Managed Natural Resources Fund

 

By

/s/ Shaun P. Mathews

 

 

Shaun P. Mathews

 

 

President and Chief Executive Officer

 

 

 

 

Date:

July 30, 2007

 

 

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/ Shaun P. Mathews

 

 

Shaun P. Mathews

 

 

President and Chief Executive Officer

 

 

 

 

Date:

July 30, 2007

 

 

 

 

By

/s/ Todd Modic

 

 

Todd Modic

 

 

Senior Vice President and Chief Financial Officer

 

 

 

 

Date:

July 30, 2007