US large cap equities (S&P 500^® Index)

2.16% 

15.21%

US small cap equities (Russell 2000^® Index)

0.95  

12.08  

International equities (MSCI Europe, Australasia, Far East Index)

2.12  

4.61  

Emerging market equities (MSCI Emerging Markets Index)

(1.25) 

2.63  

3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)

0.06  

0.08  

US Treasury securities (BofA Merrill Lynch 10- Year US Treasury Index)

3.49  

7.46  

US investment grade bonds (Barclays US Aggregate Bond Index)

2.75  

5.25  

Tax-exempt municipal bonds (S&P Municipal Bond Index)

3.65  

9.57  

US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)

6.24  

13.58  

For the 12-month period ended October 31, 2012, the Trust returned 11.63% based on market price and 7.77% based on net asset value (“NAV”). For the same period, the closed-end Lipper Sector Equity Funds category posted an average return of 16.21% based on market price and 11.37% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

The largest contribution to the Trust’s positive performance for the period came from the water resources segment of the portfolio where the Trust’s water utility holdings drove returns. The strongest-performing stock was Manila Water Co., Inc. (Philippines), which announced a company restructuring program that is expected to result in rate rebasing for some of their water properties as well as overall growth for the company. The Trust’s Latin America-based water utilities also made notable contributions to results. The strongest performer in this region was the Brazilian company Cia de Saneamento Basico do Estado de Sao Paulo given expectations that the regulatory environment would remain amenable and the potential for higher tariffs.

In the agriculture segment of the portfolio, exposure to agricultural science companies Syngenta AG and Monsanto Co. were strong contributors to performance. These companies benefited from the expansion of farming cultivation areas and farmers’ desire to increase yields on the back of stronger prices for crops. The new energy space experienced a steady stream of merger and acquisition activity during the period. The Trust’s holding in The Shaw Group, Inc., the energy enabling and infrastructure company, generated significant performance as the company received a bid at a 72% premium over its pre-announcement share price. The Trust’s option writing strategy had a positive impact on results for the period.

Detracting from performance was the Trust’s exposure, although limited, to renewable energy technology companies, an area in which the Trust had largely reduced its allocation. The environment for renewable energy

During the 12-month period, the Trust initiated a position in Novozymes A/S (Denmark) in the new energy segment of the portfolio. In the water resources space, the Trust added two new holdings of US-based multinational water technology companies, Pall Corp. and Xylem, Inc., the latter of which was spun off from the break-up of ITT Corp. The Trust also received shares of water, hygiene and energy technology company Ecolab, Inc. (United States) as a result of its takeover of Nalco Holding Co. (United States). The Trust initiated a position in ITC Holdings Corp., which is the largest independent electricity transmission company in the United States. With its work on grid efficiency and expansion, ITC Holdings Corp. is well positioned to benefit from the US government’s increased spending on energy infrastructure.

The Trust reduced its holdings in Brazilian water companies in the latter part of the period. Although fundamentals in the water sector remained attractive, the Trust reduced its weighting due to concerns that negative investor sentiment in the electric utility sector (following a surprise announcement from Brazil’s government that they would be imposing tariff reductions) would spill over to other regulated sectors such as water.

At the end of period, the Trust continued to hold large allocations to both the agriculture and water resources segments and less emphasis on new energy, which is reflective of the relative outlooks and valuations for these three segments.

  Ten Largest Holdings

Manila Water Co., Inc.

Monsanto Co.

Syngenta AG

Agrium, Inc.

Severn Trent Plc

Inversiones Aguas Metropolitanas SA

Aqua America, Inc.

Sao Martinho SA

Pennon Group Plc

BrasilAgro - Companhia Brasileira de Propriedades AG

  Industry Allocation

Water Utilities

Chemicals

Food Products

Machinery

Electric Utilities

Multi-Utilities

Real Estate Investment Trusts (REITs)

Electrical Equipment

Construction & Engineering

Commercial Services & Supplies

Oil, Gas & Consumable Fuels

Electronic Equipment, Instruments & Components

Materials

Other³

Other includes a 1% holding or less in each of the following industries; for 10/31/12, Auto Components, Building Products, Independent Power Producers & Energy Traders, Metals & Mining, Paper & Forest Products, Road & Rail and Semiconductors & Semiconductor Equipment and for 10/31/11, Auto Components, Building Products, Independent Power Producers & Energy Traders, Paper & Forest Products, Semiconductors & Semiconductor Equipment and Road & Rail.

For the 12-month period ended October 31, 2012, the Trust returned (1.88)% based on market price and (1.76)% based on NAV. For the same period, the closed-end Lipper Sector Equity Funds category posted an average return of 16.21% based on market price and 11.37% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

In a highly volatile period for financial markets broadly, and commodities in particular, the largest detractors from the Trust’s performance were its exposures to higher-beta (i.e., greater sensitivity to market movements) segments of the energy market. This was partly due to volatility in commodity prices, but a significant portion can also be attributed to investors’ general preference for less risky assets during periods of heightened volatility. This tended to make commodity-related equities and particularly higher-beta energy equities less desirable at certain points during the period. As a result, the Trust’s holdings of oil-related exploration & production (“E&P”) names and coal producers had a negative impact on performance. In the E&P group, oil-related names such as Crew Energy, Inc. and Anadarko Petroleum Corp. were negatively impacted by volatile crude oil price movements. While global crude prices ended the period relatively flat, many of these names could not recover losses due to large negative price momentum in the second quarter of 2012. Meanwhile, coal producers lagged throughout the period as pricing remained depressed for thermal and metallurgical coal. Eastern producers such as

The Trust’s option writing strategy was the largest contributor to positive performance for the period. The strategy’s covered call approach produced sizeable gains, particularly within the E&P segment, as a changing price landscape contributed to volatility in the group, producing high premiums on options while stock performance declined. Options written on names in the oil & gas equipment & services group also contributed positively to returns.

Also contributing positively were the Trust’s holdings within the oil & gas storage & transportation group, where Cheniere Energy, Inc. returned more than 23% for the period.

During the 12-month period, the largest additions to the Trust’s portfolio included refiner Valero Energy Corp., E&P names Noble Energy, Inc. and Pioneer Natural Resources Co., and oil & gas equipment & services name Basic Energy Services, Inc. Notable sales during the period included E&P names Brigham Exploration Co. and Apache Corp., integrated oil & gas company Royal Dutch Shell Plc and oil & gas storage & transportation name El Paso Corp.

As of period end, the Trust remains positioned to take advantage of a pro-growth, positive inflationary environment. The Trust’s holdings continue to emphasize producers of oil, natural gas and coal as well as oil & gas storage & transportation companies.

  Ten Largest Holdings

Valero Energy Corp.

Cheniere Energy, Inc.

Range Resources Corp.

Anadarko Petroleum Corp.

Noble Energy, Inc.

National Oilwell Varco, Inc.

Occidental Petroleum Corp.

Cameron International Corp.

Pioneer Natural Resources Co.

Whiting Petroleum Corp.

  Industry Allocation

For the 12-month period ended October 31, 2012, the Trust returned 16.39% based on market price and 12.94% based on NAV. For the same period, the benchmark S&P 500^® Value Index returned 16.72%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

Detracting from performance relative to the S&P 500^® Value Index was stock selection within financials combined with an underweight to the sector, particularly among large diversified banks. Stock selection and an underweight in consumer discretionary also hurt returns. Stock selection in telecommunication services (“telecom”), consumer staples and materials had a negative impact on performance, as did overweights to the consumer staples and materials sectors.

Conversely, stock selection in the information technology (“IT”) sector was the largest contributor to positive performance for the period. Stock selection in industrials and energy also added to returns. A combination of stock selection and a sector underweight in utilities had a positive impact. The Trust’s option writing strategy had a positive impact on performance for the period.

During the 12-month period, the Trust increased exposure to the financials sector by initiating positions in U.S. Bancorp, Aflac, Inc., Hart-ford Financial Services Group, Inc. and Prudential Financial, Inc. The Trust reduced exposure to health care by exiting its position in Bristol-Myers Squibb Co. and consumer staples through its sales of Mondelez International, Inc. and General Mills, Inc.

At period end, the Trust held sector overweights relative to the S&P 500^® Value Index in health care, telecom, IT, materials and consumer staples. The Trust was underweight in financials, consumer discretionary, utilities and industrials, with a slight underweight in energy as well.

As of period end, the Trust was positioned to take advantage of price and valuation dislocations, which have recently occurred mostly in financials and IT, while at the same time maintaining overweight positions in sectors that exhibit greater stability and less sensitivity to economic cycles, such as health care, telecom and consumer staples. The Trust’s sector weights in health care, telecom and IT remained the largest overweight positions relative to the S&P 500^® Value Index. In IT, the Trust continued to focus on companies with low capital intensity, cash generative profiles and substantial net cash on their balance sheets. In health care, the Trust’s positioning reflected a positive view on the sector’s high dividend yields, reasonable valuations and potential benefits of the Affordable Care Act becoming effective in 2014.

  Ten Largest Holdings

Pfizer, Inc.

Merck & Co., Inc.

JPMorgan Chase & Co.

Wells Fargo & Co.

Chevron Corp.

Verizon Communications, Inc.

General Electric Co.

CenturyLink, Inc.

Exxon Mobil Corp.

Unilever NV

  Sector Allocation

Financials

Health Care

Information Technology

Energy

Industrials

Consumer Staples

Telecommunication Services

Consumer Discretionary

Utilities

Materials

On February 27, 2012, the Trust acquired substantially all of the assets and assumed substantially all of the liabilities of the BlackRock Equity Dividend Trust and BlackRock Strategic Equity Dividend Trust in exchange for newly issued shares of the Trust.

For the 12-month period ended October 31, 2012, the Trust returned 11.34% based on market price and 13.22% based on NAV. For the same period, the Russell 1000^® Value Index returned 16.89%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

The Trust’s sector underweight and stock selection within financials detracted from performance relative to the Russell 1000^® Value Index. Stock selection in the industrials and telecommunication services sectors also had a negative impact. Stock selection in health care as well as an underweight to the sector hurt relative performance, as did stock selection in consumer discretionary and materials.

Contributing positively to performance was a combination of stock selection and a sector underweight in information technology. Overweighting industrials, utilities and consumer staples also modestly boosted relative returns, as did stock selection within energy. The Trust’s option writing strategy had a positive impact on performance for the period.

During the 12-month period, the Trust made several changes to its portfolio allocations. The Trust increased exposure to consumer discretionary by initiating positions in securities such as Time Warner Cable, Inc. and The Walt Disney Co., and financials through an investment in ACE Ltd. (property & casualty insurance). In the energy sector, the Trust decreased its holdings in the oil, gas & consumable fuels industry and, in materials, the Trust reduced exposure to metals & mining stocks. Toward the end of the period, the Trust’s cash and cash equivalents levels were elevated given the higher-than-normal correlation in the risk-on/risk-off equity markets, which caused a drag on performance as equities generally advanced.

As of the end of the period, relative to the Russell 1000^® Value Index, the Trust was overweight in the industrials, consumer staples and utilities sectors, and continued to maintain a significant underweight to the financials sector. The Trust continued to focus on companies that reflect the safety and relative stability of US equity markets, but are growing overseas and expanding into emerging markets.

  Ten Largest Holdings

Chevron Corp.

Wells Fargo & Co.

JPMorgan Chase & Co.

Pfizer, Inc.

Exxon Mobil Corp.

The Home Depot, Inc.

Philip Morris International, Inc.

International Business Machines Corp.

Deere & Co.

AT&T Inc.

  Sector Allocation

Financials

Industrials

Consumer Staples

Energy

Consumer Discretionary

Utilities

Health Care

Telecommunication Services

Materials

Information Technology

For the 12-month period ended October 31, 2012, the Trust returned 1.68% based on market price and 7.36% based on NAV. For the same period, the MSCI All Country World Index posted a return of 8.55%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

Detracting from the Trust’s performance relative to the MSCI All Country World Index was stock selection in financials, information technology (“IT”) and energy. In financials, shares of South Korean property and casualty company Dongbu Insurance Co., Ltd. fell as a result of unfavorable regulatory changes and was sold during the period. Holdings in diversified financials also hampered returns as macroeconomic risks in Europe dampened hopes for an uptick in capital markets activity. In IT, stock selection in software and semiconductors detracted from returns. Within energy, stock selection in integrated oil & gas had a negative impact. Shares of Repsol SA, which were sold during the period, negatively impacted returns as the Argentinean government seized control of the company’s assets. The Trust’s average cash position was elevated at period-end to account for the Trust’s quarterly distribution, and detracted from performance relative to the MSCI All Country World Index.

Performance benefited from stock selection in the consumer segments and utilities. In consumer staples, positions in brewers and soft drinks delivered particularly strong returns. In particular the announcement of Anheuser-Busch InBev NV’s takeover of Grupo Modelo SAB de CV posi-

During the 12-month period, the Trust prudently repositioned its investments to benefit from the market advance. On the defensive side, its exposure to the health care sector was increased by making additions to existing pharmaceutical holdings, and overall exposure to telecommunication services was reduced. Among cyclical stocks, the Trust favored higher-quality industrials and gold miners, along with energy companies benefiting from deep-water energy development and liquefied natural gas infrastructure spending. As a result of this sector repositioning, the most substantial change from a regional perspective was increased exposure to developed Europe.

At period end, the Trust’s positioning reflected a positive-yet-conservative outlook for the world economy as well as expectations for continued market volatility and strong demand for higher-quality equities. While Trust management anticipates a modest rate of economic expansion, the headwinds for global economic growth remain significant, so holdings were carefully diversified across defensive and cyclical exposures.

  Ten Largest Holdings

Apple, Inc.

Wells Fargo & Co.

Svenska Cellulosa AB, B Shares

BHP Billiton Ltd. - ADR

British American Tobacco Plc

Eni SpA

Eli Lilly & Co.

Roche Holding AG

China Construction Bank Corp., H Shares

Statoil ASA

  Geographic Allocation

United States

United Kingdom

Germany

France

Japan

Sweden

Australia

Norway

Switzerland

Hong Kong

Mexico

Indonesia

Ireland

Canada

Brazil

South Korea

Netherlands

Other³

Other includes a 1% holding or less in each of the following countries; for 10/31/12 Italy, Taiwan, China, Spain, Singapore, India, Belgium, Cayman Islands, Bermuda, Thailand, and Argentina and for 10/31/11, China, Thailand, Denmark, Italy, Belgium, South Africa, Singapore, Luxembourg, Columbia, Taiwan, Israel, Spain and Indonesia.

For the 12-month period ended October 31, 2012, the Trust returned 18.17% based on market price and 16.42% based on NAV. For the same period, the Russell 3000^® Healthcare Index returned 22.84%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

Relative to the Russell 3000^® Healthcare Index, the largest detractor from the Trust’s performance was an underweight to the pharmaceuticals industry as well as underweight exposures to individual pharmaceutical stocks that performed well during the period. The overall industry underweight hampered relative performance primarily when the market declined during the second quarter of 2012, as investors tend to prefer the stability of large-capitalization, high-dividend yielding companies in down markets. The Trust’s underweight positions in several large index constituents, such as Pfizer, Inc. and Merck & Co., Inc., hindered results as these key pharmaceutical names appreciated during the period. In the health care providers & services industry, the Trust’s overweight to health care distributors and underweight to health care services detracted slightly from relative performance, as did stock selection within the health care services space.

The key contributor to positive performance in the Trust was an overweight relative to the Russell 3000^® Healthcare Index and stock selection in biotechnology. The Trust held several names that experienced strong stock price appreciation driven primarily by clinical developments, such as favorable drug trial results, regulatory approvals (or the anticipation thereof) and the swift adoption of products introduced in the marketplace. In addition, a few biotechnology holdings were acquired at a

During the 12-month period, the Trust significantly reduced its overweight to health care equipment & supplies, while significantly adding to its holdings in the biotechnology industry. The Trust tactically traded exposure to pharmaceuticals as market conditions fluctuated during the period, which resulted in a larger industry allocation at period end. The Trust slightly reduced exposure to the health care providers & services space with a focus on minimizing holdings deemed vulnerable to potential federal government budget reductions and subsequent health care reimbursement cuts.

As of period end, the Trust continued to maintain a focus on innovative companies with products or services that address an unmet health care need or that enhance currently available products or services. As such, the Trust continued to be most heavily weighted toward the biotechnology and pharmaceuticals industries. Given uncertainty around government policy developments, the Trust’s holdings at period end reflected an avoidance of companies that have strong links to, or business mixes that are reliant on government reimbursement and thus would be at risk in a budget-cutting scenario. This positioning was most evident within the Trust’s allocation to the health care providers & services industry, where companies are generally more vulnerable to federal budget cuts. The Trust’s positioning also reflected caution with respect to companies that derive revenue from Europe as the region’s debt problems remain unresolved.

  Ten Largest Holdings

Eli Lilly & Co.

Amgen, Inc.

Pfizer, Inc.

Johnson & Johnson

Celgene Corp.

Merck & Co., Inc.

Roche Holding AG

Express Scripts Holding Co.

Sanofi

Gilead Sciences, Inc.

  Industry Allocation

Pharmaceuticals

Biotechnology

Health Care Providers & Services

Health Care Equipment & Supplies

Life Sciences Tools & Services

Machinery

Other³

Other includes a 1% holding or less in each of the following industries; for 10/31/12, Food & Staples Retailing, Industrial Conglomerates, Diversified Consumer Services, Health Care Technology and Chemicals.

For the 12-month period ended October 31, 2012, the Trust returned 6.61% based on market price and 7.65% based on NAV. For the same period, the MSCI All Country World Index ex-US returned 3.98%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

Positive performance came largely from favorable stock selection in a majority of sectors, primarily materials, utilities, information technology (“IT”), industrials and consumer staples. Within materials, positioning in metals & mining and gold proved beneficial. The Trust continued to favor gold-related stocks amid accelerated currency debasement policies (i.e., those that lower the value of currency) in the United States and Europe. The Trust’s avoidance of suppliers of industrial base metals proved beneficial given the impact of China’s economic slowdown. In utilities, investments in electric utilities and independent power providers in the United Kingdom and Brazil lifted returns. Holdings in the utilities sector benefited from lower commodity prices, favorable regulations and investors seeking companies with stable yields in an era of low interest rates. Within IT, an underweight in computer hardware contributed positively to returns. Trust management continued to believe personal computers are in a secular decline and positioning remained focused on the smartphone supply chain and software names that offer solutions for smaller-ticket items. Stock selection in industrials was a net contributor primarily due to the performance of holdings in construction & engineering and trading. Within consumer staples, the announcement of Anheuser-Busch InBev NV’s takeover of Grupo Modelo SAB de CV posi-

Relative to the MSCI All Country World Index ex-US, the Trust’s underweight exposure to the financials sector was the largest detractor from performance, as banks received a boost from policy action and real estate stocks benefited from investors seeking yield in a low interest rate environment. Stock selection in consumer discretionary hampered returns due to disappointing results in automobile manufacturers and restaurants.

During the 12-month period, the Trust prudently repositioned its investments to benefit from the market advance. On the defensive side, its exposure to the health care sector was increased by making additions to existing pharmaceutical holdings, and overall exposure to telecommunication services was reduced. Among cyclical stocks, the Trust favored higher-quality industrials and gold miners, along with energy companies benefiting from deep-water energy development and liquefied natural gas infrastructure spending. As a result of this sector repositioning, the most substantial change from a regional perspective was increased exposure to developed Europe.

At period end, the Trust’s positioning reflected a positive-yet-conservative outlook for the world economy as well as expectations for continued market volatility and strong demand for higher-quality equities. While Trust management anticipates a modest rate of economic expansion, the headwinds for global economic growth remain significant, so holdings were carefully diversified across defensive and cyclical exposures.

  Ten Largest Holdings

Roche Holding AG

Sanofi

Syngenta AG

BHP Billiton Ltd. - ADR

Rexam Plc

AIA Group Ltd.

Nestle SA

Eni SpA

Volvo AB, B Shares

HSBC Holdings Plc

  Geographic Allocation

United Kingdom

Switzerland

France

Germany

Japan

Australia

Sweden

Canada

Hong Kong

Singapore

Mexico

Netherlands

Ireland

China

Italy

Spain

Brazil

South Korea

United States

Other³

Other includes a 1% holding or less in each of the following countries; for 10/31/12, India, Indonesia, Jersey, Channel Islands, Norway, Belgium, Finland, Taiwan, Cayman Islands, South Africa, Israel, Argentina, Thailand, Malaysia, and Gibraltar and for 10/31/11, Taiwan, Norway, Israel, South Africa, Belgium, Bermuda, Luxembourg, India, Columbia, Indonesia, Thailand, Denmark and Gibraltar.

For the 12-month period ended October 31, 2012, the Trust returned (3.71)% based on market price and (2.79)% based on NAV. For the same period, the closed-end Lipper Sector Equity Funds category posted an average return of 16.21% based on market price and 11.37% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

The Trust’s investments in both the natural resources segment (metals & mining) and the energy segment of the portfolio detracted from performance for the period, while the basic materials segment contributed positively.

Within metals & mining, the Trust’s holding of diversified metals & mining name Iluka Resources Ltd. had a negative impact on performance due to weakness in the zircon market. The effect of this position overshadowed the positive impact of the Trust’s allocation to silver miners.

In the energy segment of the Trust, returns were hampered by an allocation to coal producers. Coal producers lagged throughout the period as prices remained depressed for thermal and metallurgical coal. Eastern producers such as Alpha Natural Resources, Inc. and Peabody Energy Corp. posted losses during the period. The Trust’s allocation to the oil & gas exploration & production group also detracted from performance as the negative impact of several natural gas producers outweighed positive performance from the Trust’s oil-related holdings. Both commodities were volatile and suffered significant downdrafts and swings over the course of the period.

Contributing positively to performance in the basic materials segment of the portfolio was the Trust’s allocation to paper & forest products, where positions in Weyerhaeuser Co., International Paper Co. and MeadWestvaco Corp. generated particularly strong returns. Agriculture names including Agrium, Inc. and Monsanto Co. also added to results, with each rising more than 20% during the period.

The Trust’s option writing strategy also had a positive impact on performance during the period. In particular, the Trust benefited from writing calls on diversified metals & mining names as these stocks underperformed during the period while volatility remained elevated in this group. Similarly, option writing against oil & gas exploration & production names aided results.

During the 12-month period, the Trust established new positions in energy names Chevron Corp., National Oilwell Varco, Inc., Pioneer Natural Resources Co. and Exxon Mobil Corp. In the metals & mining segment of the portfolio, the Trust selectively added to its copper and gold holdings and reduced exposure to various diversified mining names. Notable sales during the period included energy names Penn West Petroleum Ltd., Schlumberger Ltd. and EQT Corp.

At the end of the period, the Trust held 43% of total long-term investments in metals & mining stocks, with key allocations to copper and iron ore. The Trust’s allocation to the energy sector (32%) was heavily weighted in oil-related exploration & production companies and integrated oil & gas names. The basic materials segment of the portfolio (23%) was allocated across paper products, machinery and chemicals.

  Ten Largest Holdings

BHP Billiton Plc

Rio Tinto Plc

Industrias Penoles SAB de CV